Develops robust SGLD with non-asymptotic convergence bounds for non-convex DRO and applies it to neural network regression under adversarial corruption.
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem.Mathemati- cal Finance, 26(2):233–251, 2016
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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.