Develops robust SGLD with non-asymptotic convergence bounds for non-convex DRO and applies it to neural network regression under adversarial corruption.
Duality formulas for robust pricing and hedging in discrete time.SIAM Journal on Financial Mathematics, 8(1):738–765, 2017
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2024 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems
Develops robust SGLD with non-asymptotic convergence bounds for non-convex DRO and applies it to neural network regression under adversarial corruption.