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math.NA2025
Stochastic conformal integrators for linearly damped stochastic Poisson systems
Charles-Edouard Bréhier, David Cohen, Yoshio Komori
We propose and study conformal integrators for linearly damped stochastic Poisson systems. We analyse the qualitative and quantitative properties of these numerical integrators: pr…
math.NA2024
Error analysis for stochastic gradient optimization schemes using modified equations
Charles-Edouard Bréhier, Marc Dambrine, Nassim En-Nebbazi
We consider a class of stochastic gradient optimization schemes. Assuming that the objective function is strongly convex, we prove weak error estimates which are uniform in time fo…