362 citations · 470 across the 35 of their papers we have counts for
5 papers · 1 filter
Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation
Louis Sharrock, Nikolas Kantas
In this paper, we consider the problem of jointly performing online parameter estimation and optimal sensor placement for a partially observed infinite dimensional linear diffusion…
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
Alexandros Beskos, Dan Crisan, Ajay Jasra +2
We consider the problem of parameter estimation for a class of continuous-time state space models. In particular, we explore the case of a partially observed diffusion, with data a…
Two-Timescale Stochastic Gradient Descent in Continuous Time with Applications to Joint Online Parameter Estimation and Optimal Sensor Placement
Louis Sharrock, Nikolas Kantas
In this paper, we establish the almost sure convergence of two-timescale stochastic gradient descent algorithms in continuous time under general noise and stability conditions, ext…
On stochastic mirror descent with interacting particles: convergence properties and variance reduction
Anastasia Borovykh, Nikolas Kantas, Panos Parpas +1
An open problem in optimization with noisy information is the computation of an exact minimizer that is independent of the amount of noise. A standard practice in stochastic approx…
On the Generalised Langevin Equation for Simulated Annealing
Martin Chak, Nikolas Kantas, Grigorios A. Pavliotis
In this paper, we consider the generalised (higher order) Langevin equation for the purpose of simulated annealing and optimisation of nonconvex functions. Our approach modifies th…