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Regular version of the site

Uncertainty quantification in high-dimensional models

Priority areas of development: IT and mathematics, mathematics
2020

Publications:


Belomestny D., Kaledin M., Schoenmakers J. Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm // Mathematical Finance. 2020. Vol. 30. No. 4. P. 1591-1616. doi
Moulines E., Robin G., Klopp O., Josse J., Tibshirani R. Main Effects and Interactions in Mixed and Incomplete Data Frames // Journal of the American Statistical Association. 2020. Vol. 115. No. 531. P. 1292-1303. doi
Nesterov Y., Protasov V. Y. Computing closest stable nonnegative matrix // SIAM Journal on Matrix Analysis and Applications. 2020. Vol. 41. No. 1. P. 1-28. doi
Ivanova A., Стонякин Ф., Пасечнюк Д., Воронцова Е., Gasnikov A. Adaptive Mirror Descent for the Network Utility Maximization Problem / Working papers by Cornell University.. Series - "Optimization and Control". 2019.
Dvurechensky P., Gasnikov A., Остроухов П., Uribe C., Ivanova A. Near-optimal tensor methods for minimizing the gradient norm of convex function / Working papers by Cornell University.. Series - "Optimization and Control". 2020.
Иванова А. С., Gasnikov A., Pasechnyuk D., Grishchenko D., Shulgin E., Matyukhin V. Adaptive Catalyst for Smooth Convex Optimization / Working papers by Cornell University.. Series - "Optimization and Control". 2019.
Belomestny D., Schoenmakers J. Optimal Stopping of McKean-Vlasov Diffusions via Regression on Particle Systems // SIAM Journal on Control and Optimization. 2020. Vol. 58. No. 1. P. 529-550. doi
Иванова А. С., Пасечнюк Д., Двуреченский П. Е., Гасников А. В., Воронцова Е. Numerical methods for the resource allocation problem in networks / Cornell University. Серия "Working papers by Cornell University". 2019.
Bobkov S. Edgeworth Corrections in Randomized Central Limit Theorems, in: Geometric Aspects of Functional Analysis Vol. 1: Israel Seminar (GAFA) 2017-2019. Springer, 2020. doi Ch. 5. P. 71-97. doi
Puchkin N., Spokoiny V. An adaptive multiclass nearest neighbor classifier // ESAIM: Probability and Statistics. 2020. Vol. 24. P. 69-99. doi
Belomestny D., Bayer C., Redmann M., Riedel S., Schoenmakers J. Solving linear parabolic rough partial differential equations // Journal of Mathematical Analysis and Applications. 2020. Vol. 490 doi
Belomestny D., Goldenshluger A. Nonparametric density estimation from observations with multiplicative measurement errors // Annales de l’Institut Henri Poincaré. 2020. Vol. 56. No. 1. P. 36-67. doi
Protasov V. Y., Cvetkovic A. Maximal acyclic subgraphs and closest stable matrices // SIAM Journal on Matrix Analysis and Applications. 2020. P. 1-31.
Протасов В. Ю., Карапетянц М. А. О пространстве двоично-обобщенных функций // Функциональный анализ и его приложения. 2020. С. 1-5.
Naumov A., Tikhomirov A., Гётце Ф. Local laws for non-Hermitian random matrices and their products // Random Matrices-Theory and Applications. 2020. Vol. 9. No. 4. P. 2150004. doi
Kaledin M., Moulines E., Naumov A., Tadic V., Wai H. Finite Time Analysis of Linear Two-timescale Stochastic Approximation with Markovian Noise, in: Proceedings of Machine Learning Research Vol. 125: Proceedings of Thirty Third Conference on Learning Theory. , 2020. P. 2144-2203.
Ivanova A., Gasnikov A., Dvurechensky P., Двинских Д., Тюрин А. И., Воронцова Е., Пасечнюк Д. Oracle Complexity Separation in Convex Optimization / Working papers by Cornell University.. Series - "Optimization and Control". 2020.
Ivanova A., Dvurechensky P., Gasnikov A., Kamzolov D. Composite optimization for the resource allocation problem // Optimization Methods and Software. 2020. P. 1-35. doi