25 citations · 48 across the 13 of their papers we have counts for
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math.PR2019★ 1 cited
Markov chains in random environment with applications in queueing theory and machine learning
Attila Lovas, Miklós Rásonyi
We prove the existence of limiting distributions for a large class of Markov chains on a general state space in a random environment. We assume suitable versions of the standard dr…
q-fin.PM2019
Learning Threshold-Type Investment Strategies with Stochastic Gradient Method
Zsolt Nika, Miklós Rásonyi
In online portfolio optimization the investor makes decisions based on new, continuously incoming information on financial assets (typically their prices). In our study we consider…
math.ST2019★ 25 cited
On stochastic gradient Langevin dynamics with dependent data streams: the fully non-convex case
Ngoc Huy Chau, Éric Moulines, Miklos Rásonyi +2
We consider the problem of sampling from a target distribution, which is \emph {not necessarily logconcave}, in the context of empirical risk minimization and stochastic optimizati…