Apr 2015 - Mar 2016

Math-Fi seminar on 13 Aug.

2015.08.11 Tue up
  • Date : 13 Aug. (Thu.)
  • Place: W.W. 7th-floor, 4th lab.
  • Time : 16:30-18:00
  • Speaker: Noufel Frikha (University of Paris VII)
  • Title: Multi-level stochastic approximation algorithm
  • Abstract: During this presentation we study multi-level stochastic approximation algorithm. Our aim is to extend the scope of the multi-level Monte Carlo method recently introduced by Giles (Giles 2008) to the framework of stochastic optimization by means of stochastic approximation algorithm. We first introduce and study a two-level method, also referred as statistical romberg stochastic approximation algorithm. Then, its extension to multi-level is proposed. We prove a central limit theorem for both methods and describe the possible optimal choices of step size sequence. Numerical results confirm the theoretical analysis and show a significant reduction in the initial computational cost. If time permits I will present how the principle of Richardson-Romberg extrapolation method can be applied to stochastic optimization.

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