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stat.ML2026
Score-based Metropolis-Hastings for Fractional Langevin Algorithms
Ahmed Aloui, Junyi Liao, Ali Hasan +2
Sampling from heavy-tailed and multimodal distributions is challenging when neither the target density nor the proposal density can be evaluated, as in -stable Lévy-driven fra…
stat.ML2025
Limit Theorems for Stochastic Gradient Descent with Infinite Variance
Jose Blanchet, Aleksandar MijatoviÄ, 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…