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stat.ML2022
Exponential Concentration in Stochastic Approximation
Kody Law, Neil Walton, Shangda Yang
We analyze the behavior of stochastic approximation algorithms where iterates, in expectation, progress towards an objective at each step. When progress is proportional to the step…
math.NA2022
Multi-index Sequential Monte Carlo ratio estimators for Bayesian Inverse problems
Kody J. H. Law, Neil Walton, Shangda Yang +1
We consider the problem of estimating expectations with respect to a target distribution with an unknown normalizing constant, and where even the unnormalized target needs to be ap…