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math.OC2023
First order algorithms for computing linear and polyhedral estimates
Yannis Bekri, Anatoli Juditsky, Arkadi Nemirovski
It was recently shown [7, 9] that "properly built" linear and polyhedral estimates nearly attain minimax accuracy bounds in the problem of recovery of unknown signal from noisy obs…
math.OC2023
Accelerated stochastic approximation with state-dependent noise
Sasila Ilandarideva, Anatoli Juditsky, Guanghui Lan +1
We consider a class of stochastic smooth convex optimization problems under rather general assumptions on the noise in the stochastic gradient observation. As opposed to the classi…