4 citations · 5 across the 3 of their papers we have counts for
7 papers
Non-Convex Optimization via Non-Reversible Stochastic Gradient Langevin Dynamics
Yuanhan Hu, Xiaoyu Wang, Xuefeng Gao +2
Stochastic Gradient Langevin Dynamics (SGLD) is a powerful algorithm for optimizing a non-convex objective, where a controlled and properly scaled Gaussian noise is added to the st…
Regime Switching Bandits
Xiang Zhou, Yi Xiong, Ningyuan Chen +1
We study a multi-armed bandit problem where the rewards exhibit regime switching. Specifically, the distributions of the random rewards generated from all arms are modulated by a c…
Affine Point Processes: Refinements to Large-Time Asymptotics
Xuefeng Gao, Lingjiong Zhu
Affine point processes are a class of simple point processes with self- and mutually-exciting properties, and they have found useful applications in several areas. In this paper, w…
Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization: Non-Asymptotic Performance Bounds and Momentum-Based Acceleration
Xuefeng Gao, Mert Gürbüzbalaban, Lingjiong Zhu
Stochastic gradient Hamiltonian Monte Carlo (SGHMC) is a variant of stochastic gradient with momentum where a controlled and properly scaled Gaussian noise is added to the stochast…
Optimal Market Making in the Presence of Latency
Xuefeng Gao, Yunhan Wang
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's opt…
Bounded-Velocity Stochastic Control for Dynamic Resource Allocation
Xuefeng Gao, Yingdong Lu, Mayank Sharma +2
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications,…