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math.ST2024
Wasserstein Projection Tests: Higher-Order Asymptotics and Connections to Empirical Likelihood
Sirui Lin, Jose Blanchet, Peter Glynn +1
Tests of moment restrictions can be constructed by projecting the empirical distribution onto the set of laws satisfying the null. Wasserstein projection (WP) performs this project…
math.OC2024
An Efficient High-Dimensional Gradient Estimator for Stochastic Differential Equations
Shengbo Wang, Jose Blanchet, Peter Glynn
Overparameterized stochastic differential equation (SDE) models have achieved remarkable success in various complex environments, such as PDE-constrained optimization, stochastic c…
cs.LG2024★ 1 cited
Deep Learning for Computing Convergence Rates of Markov Chains
Yanlin Qu, Jose Blanchet, Peter Glynn
Convergence rate analysis for general state-space Markov chains is fundamentally important in areas such as Markov chain Monte Carlo and algorithmic analysis (for computing explici…