3 papers
math.ST2026
Extending Subsampling to Sequential Stopping
Jose Blanchet, Peter Glynn, Wenhao Yang
Fixed-width sequential stopping rules terminate a stochastic simulation once an estimated confidence interval reaches a prescribed width. Classical fixed-width theory typically rel…
stat.ML2024
Limit Theorems for Stochastic Gradient Descent with Infinite Variance
Jose Blanchet, Aleksandar Mijatović, Wenhao Yang
Stochastic gradient descent is a classic algorithm that has gained great popularity especially in the last decades as the most common approach for training models in machine learni…
stat.ML2024
Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions
Patrick Kuiper, Ali Hasan, Wenhao Yang +4
The goal of this paper is to develop distributionally robust optimization (DRO) estimators, specifically for multidimensional Extreme Value Theory (EVT) statistics. EVT supports us…