• Corpus ID: 249642237

Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models

@inproceedings{Sharrock2022TwoTimescaleSA,
  title={Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models},
  author={Louis Sharrock},
  year={2022}
}
We analyse the asymptotic properties of a continuous-time, two-timescale stochastic approximation algorithm designed for stochastic bilevel optimisation problems in continuous-time models. We obtain the weak convergence rate of this algorithm in the form of a central limit theorem. We also demonstrate how this algorithm can be applied to several continuous-time bilevel optimisation problems. 

Parameter Estimation for the McKean-Vlasov Stochastic Differential Equation

We consider the problem of parameter estimation for a stochastic McKean-Vlasov equation, and the associated system of weakly interacting particles. We study two cases: one in which we observe

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