4 citations · 4 across the 7 of their papers we have counts for
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Convergence and Regret of the Policy Gradient for Multi-Armed Bandits in Diffusion Environment
Yanwei Jia, Du Ouyang
This paper studies the policy gradient update for a multi-arm bandit problem in diffusion environment that is described by a stochastic differential equation (SDE) under the contin…
A Zeroth-Order Deep Learning Method for Fully Nonlinear Parabolic Partial Differential Equations with Unknown Coefficients
Yanwei Jia, Du Ouyang, Huyên Pham +1
High-dimensional partial differential equations (PDEs) with unknown coefficients arise widely in scientific machine learning, including continuous-time reinforcement learning, yet…
Quasi-Monte Carlo for SDE Simulation: Error Analysis and Dimensionality Reduction
Du Ouyang, Zexin Pan, Zhijian He
We investigate the numerical simulation of general stochastic differential equations (SDEs) using Quasi-Monte Carlo (QMC) methods. First, we provide a rigorous theoretical analysis…
Uncertainty quantification using importance-sampled quasi-Monte Carlo with dimension-independent convergence rates
Zexin Pan, Du Ouyang, Zhijian He
Quasi-Monte Carlo (QMC) integration over unbounded domains remains challenging due to the high dimensionality of sampling space and the boundary growth of the integr…