A fully data-driven approach to minimizing CVaR for portfolio of assets via SGLD with discontinuous updating. Sabanis, Sotirios; Zhang, Ying. arXiv:2007.01672 [q-fin.PM]
Nonasymptotic analysis of Stochastic Gradient Hamiltonian Monte Carlo under local conditions for nonconvex optimization. Akyildiz, Ömer Deniz ; Sabanis, Sotirios. arXiv:2002.05465 [math.OC]
Nonasymptotic estimates for Stochastic Gradient Langevin Dynamics under local conditions in nonconvex optimization. Zhang, Ying ; Akyildiz, Ömer Deniz ; Damoulas, Theo ; Sabanis, Sotirios. 2019. arXiv:1910.02008 [math.ST]
M. Cucuringu, H. Tyagi, "Provably robust estimation of modulo 1 samples of a smooth function with applications to phase unwrapping", arXiv:1803.03669 (2018), accepted to Journal of Machine Learning Research (JMLR)
Mihai Cucuringu, Hemant Tyagi; On denoising modulo 1 samples of a function; Proceedings of the Twenty-First International Conference on Artificial Intelligence and Statistics, PMLR 84:1868-1876, AISTATS 2018
On fixed gain recursive estimators with discontinuity in the parameters. Chau, H. N., Kumar, C., Rásonyi, M. & Sabanis, S. In : ESAIM: Probability and Statistics. 2019 ; Vol. 23. pp. 217-244