3 papers
math.OC2026
Fast Spawn\&Prune (FS\&P): Global convergence of stochastic conic particle gradient descent via birth/death process
Yohann De Castro, Sébastien Gadat, Clément Marteau
We investigate the global optimization of the objective function arising in continuous sparse regression, specifically the Beurling LASSO (BLASSO), over the space of measures. Whil…
math.ST2025
On-line Pick-Freeze Mirror algorithm for Sensitity Analysis
Manon Costa, Sébastien Gadat, Xavier Gendre +1
The main objective of this paper is to propose a new approach for estimating the entire collection of Sobol' indices simultaneously. Our approach exploits the fact that Sobol' indi…
math.OC2024
CV@R penalized portfolio optimization with biased stochastic mirror descent
Manon Costa, Sébastien Gadat, Lorick Huang
This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased M…