10 citations · 34 across the 17 of their papers we have counts for
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math.OC2022
Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models
Louis Sharrock
We analyse the asymptotic properties of a continuous-time, two-timescale stochastic approximation algorithm designed for stochastic bilevel optimisation problems in continuous-time…
math.OC2020★ 10 cited
Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation
Louis Sharrock, Nikolas Kantas
In this paper, we consider the problem of jointly performing online parameter estimation and optimal sensor placement for a partially observed infinite dimensional linear diffusion…
math.OC2020
Two-Timescale Stochastic Gradient Descent in Continuous Time with Applications to Joint Online Parameter Estimation and Optimal Sensor Placement
Louis Sharrock, Nikolas Kantas
In this paper, we establish the almost sure convergence of two-timescale stochastic gradient descent algorithms in continuous time under general noise and stability conditions, ext…