Belomestny, Denis; Iosipoi, Leonid; Paris, Quentin; Zhivotovskiy, Nikita Empirical variance minimization with applications in variance reduction and optimal control. (English) Zbl 07526588 Bernoulli 28, No. 2, 1382-1407 (2022). MSC: 62Gxx 62Hxx 60Gxx PDFBibTeX XMLCite \textit{D. Belomestny} et al., Bernoulli 28, No. 2, 1382--1407 (2022; Zbl 07526588) Full Text: DOI arXiv Link
Belomestny, Denis; Iosipoi, Leonid; Moulines, Eric; Naumov, Alexey; Samsonov, Sergey Variance reduction for dependent sequences with applications to stochastic gradient MCMC. (English) Zbl 1478.60206 SIAM/ASA J. Uncertain. Quantif. 9, 507-535 (2021). MSC: 60J20 65C40 PDFBibTeX XMLCite \textit{D. Belomestny} et al., SIAM/ASA J. Uncertain. Quantif. 9, 507--535 (2021; Zbl 1478.60206) Full Text: DOI arXiv
Belomestny, Denis; Iosipoi, Leonid Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity. (English) Zbl 1524.65009 Math. Comput. Simul. 181, 351-363 (2021). MSC: 65C05 60E10 60G51 60J22 PDFBibTeX XMLCite \textit{D. Belomestny} and \textit{L. Iosipoi}, Math. Comput. Simul. 181, 351--363 (2021; Zbl 1524.65009) Full Text: DOI arXiv
Belomestny, D.; Iosipoi, L.; Moulines, E.; Naumov, A.; Samsonov, S. Variance reduction for Markov chains with application to MCMC. (English) Zbl 1447.62107 Stat. Comput. 30, No. 4, 973-997 (2020). MSC: 62M15 60K50 65C05 PDFBibTeX XMLCite \textit{D. Belomestny} et al., Stat. Comput. 30, No. 4, 973--997 (2020; Zbl 1447.62107) Full Text: DOI arXiv