4 citations · 9 across the 13 of their papers we have counts for
15 papers
Unbiased Derivative Estimation for Stationary Mean of Parameterized Markov chains
Jeffrey Wang, Chang-han Rhee
We propose a new approach to unbiased estimation of the gradients of the stationary means associated with parametrized families of Markov chains. Our estimators are particularly ef…
Strongly Efficient Rare-Event Simulation for Regularly Varying Lévy Processes with Infinite Activities
Xingyu Wang, Chang-Han Rhee
In this paper, we address rare-event simulation for heavy-tailed Lévy processes with infinite activities. The presence of infinite activities poses a critical challenge, making it…
Large Deviations and Metastability Analysis for Heavy-Tailed Dynamical Systems
Xingyu Wang, Chang-Han Rhee
This paper introduces novel frameworks for large deviations and metastability analysis in heavy-tailed stochastic dynamical systems. We develop and apply these frameworks within th…
Large deviations for stochastic fluid networks with Weibullian tails
Mihail Bazhba, Chang-Han Rhee, Bert Zwart
We consider a stochastic fluid network where the external input processes are compound Poisson with heavy-tailed Weibullian jumps. Our results comprise of large deviations estimate…
Eliminating Sharp Minima from SGD with Truncated Heavy-tailed Noise
Xingyu Wang, Sewoong Oh, Chang-Han Rhee
The empirical success of deep learning is often attributed to SGD's mysterious ability to avoid sharp local minima in the loss landscape, as sharp minima are known to lead to poor…
Sample-path large deviations for a class of heavy-tailed Markov additive processes
Bohan Chen, Chang-Han Rhee, Bert Zwart
For a class of additive processes driven by the affine recursion , we develop a sample-path large deviations principle in the topology on .…