arXiv subjects

Gilles Pages

Publications and source records attributed to Gilles Pages.

3 recordsLinked to original sources

arXiv2020

Unadjusted Langevin algorithm with multiplicative noise: Total variation and Wasserstein bounds

In this paper, we focus on non-asymptotic bounds related to the Euler scheme of an ergodic diffusion with a possibly multiplicative diffusion term (non-constant diffusion coefficient). More precisely, the objective of this paper is to control the distance of the standard Euler scheme with decreasing step ({usually called Unadjusted Langevin Algorithm in the Monte Carlo literature}) to the invariant distribution of such an ergodic diffusion. In an appropriate Lyapunov setting and under {uniform} ellipticity assumptions on the diffusion coefficient, we establish (or improve) such bounds for Total Variation and $L^1$-Wasserstein distances in both multiplicative and additive and frameworks. These bounds rely on weak error expansions using {Stochastic Analysis} adapted to decreasing step setting.

math.PR↗

arXiv2004

Sharp asymptotics of the functional quantization problem for Gaussian processes

The sharp asymptotics for the L^2-quantization errors of Gaussian measures on a Hilbert space and, in particular, for Gaussian processes is derived. The condition imposed is regular variation of the eigenvalues.

math.PR↗

arXiv2004

When can the two-armed bandit algorithm be trusted?

We investigate the asymptotic behavior of one version of the so-called two-armed bandit algorithm. It is an example of stochastic approximation procedure whose associated ODE has both a repulsive and an attractive equilibrium, at which the procedure is noiseless. We show that if the gain parameter is constant or goes to 0 not too fast, the algorithm does fall in the noiseless repulsive equilibrium with positive probability, whereas it always converges to its natural attractive target when the gain parameter goes to zero at some appropriate rates depending on the parameters of the model. We also elucidate the behavior of the constant step algorithm when the step goes to 0. Finally, we highlight the connection between the algorithm and the Polya urn. An application to asset allocation is briefly described.

math.PR↗