no code implementations • 12 Feb 2024 • Razvan-Andrei Lascu, Mateusz B. Majka, Łukasz Szpruch
We study two variants of the mirror descent-ascent algorithm for solving min-max problems on the space of measures: simultaneous and sequential.
1 code implementation • 10 Jun 2020 • Mateusz B. Majka, Marc Sabate-Vidales, Łukasz Szpruch
In this paper, we construct a Multi-index Antithetic Stochastic Gradient Algorithm (MASGA) whose implementation is independent of the structure of the target measure and which achieves performance on par with Monte Carlo estimators that have access to unbiased samples from the distribution of interest.
no code implementations • 21 Aug 2018 • Mateusz B. Majka, Aleksandar Mijatović, Lukasz Szpruch
Finally, we provide a weak convergence analysis that covers both the standard and the randomised (inaccurate) drift case.
no code implementations • 4 May 2016 • Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch, Sebastian Vollmer, Konstantinos Zygalakis
We show that this is the first stochastic gradient MCMC method with complexity $\mathcal{O}(\varepsilon^{-2}|\log {\varepsilon}|^{3})$, in contrast to the complexity $\mathcal{O}(\varepsilon^{-3})$ of currently available methods.
