Pierre Bras

collaborators

3 papers

stat.ML2023

Policy Gradient Optimal Correlation Search for Variance Reduction in Monte Carlo simulation and Maximum Optimal Transport

Pierre Bras, Gilles Pagès

We propose a new algorithm for variance reduction when estimating $f (X_{T})$ where $X$ is the solution to some stochastic differential equation and $f$ is a test function. The new es…

math.ST2023

A note on $L^{1}$ -Convergence of the Empiric Minimizer for unbounded functions with fast growth

Pierre Bras

For $V : R^{d} \to R$ coercive, we study the convergence rate for the $L^{1}$ -distance of the empiric minimizer, which is the true minimum of the function $V$ sampled…

math.PR2022

Convergence of Langevin-Simulated Annealing algorithms with multiplicative noise II: Total Variation

Pierre Bras, Gilles Pagès

We study the convergence of Langevin-Simulated Annealing type algorithms with multiplicative noise, i.e. for $V : R^{d} \to R$ a potential function to minimize, we…

Policy Gradient Optimal Correlation Search for Variance Reduction in Monte Carlo simulation and Maximum Optimal Transport

A note on L1-Convergence of the Empiric Minimizer for unbounded functions with fast growth

Convergence of Langevin-Simulated Annealing algorithms with multiplicative noise II: Total Variation

A note on $L^{1}$ -Convergence of the Empiric Minimizer for unbounded functions with fast growth