71 citations · 210 across the 21 of their papers we have counts for
4 papers · 1 filter
Breaking Reversibility Accelerates Langevin Dynamics for Global Non-Convex Optimization
Xuefeng Gao, Mert Gurbuzbalaban, Lingjiong Zhu
Langevin dynamics (LD) has been proven to be a powerful technique for optimizing a non-convex objective as an efficient algorithm to find local minima while eventually visiting a g…
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,…