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May 2022 Empirical variance minimization with applications in variance reduction and optimal control
Denis Belomestny, Leonid Iosipoi, Quentin Paris, Nikita Zhivotovskiy
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Bernoulli 28(2): 1382-1407 (May 2022). DOI: 10.3150/21-BEJ1392

Abstract

We study the problem of empirical minimization for variance-type functionals over functional classes. Sharp non-asymptotic bounds for the excess variance are derived under mild conditions. In particular, it is shown that under some restrictions imposed on the functional class fast convergence rates can be achieved including the optimal non-parametric rates for expressive classes in the non-Donsker regime under some additional assumptions. Our main applications include variance reduction and optimal control.

Funding Statement

This article was prepared within the framework of the HSE University Basic Research Program.
Results of Section 3 were obtained by Denis Belomestny and Leonid Iosipoi under support of the RSF grant 19-71-30020 (HSE University).
Nikita Zhivotovskiy is funded in part by ETH Foundations of Data Science (ETH-FDS).

Citation

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Denis Belomestny. Leonid Iosipoi. Quentin Paris. Nikita Zhivotovskiy. "Empirical variance minimization with applications in variance reduction and optimal control." Bernoulli 28 (2) 1382 - 1407, May 2022. https://doi.org/10.3150/21-BEJ1392

Information

Received: 1 September 2020; Revised: 1 June 2021; Published: May 2022
First available in Project Euclid: 3 March 2022

Digital Object Identifier: 10.3150/21-BEJ1392

Keywords: control variates , Empirical variance minimization , optimal control , variance reduction

Rights: Copyright © 2022 ISI/BS

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Vol.28 • No. 2 • May 2022
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