Lukasz Szpruch

According to our database, Lukasz Szpruch authored at least 38 papers between 2009 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

Optimal Scheduling of Entropy Regularizer for Continuous-Time Linear-Quadratic Reinforcement Learning.

Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang

SIAM J. Control. Optim., February, 2024

Gradient Flows for Regularized Stochastic Control Problems.

David Siska, Lukasz Szpruch

SIAM J. Control. Optim., 2024

Linear convergence of proximal descent schemes on the Wasserstein space.

Razvan-Andrei Lascu, Mateusz B. Majka, David Siska, Lukasz Szpruch

CoRR, 2024

Understanding Transfer Learning via Mean-field Analysis.

Gholamali Aminian, Lukasz Szpruch, Samuel N. Cohen

CoRR, 2024

Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas.

Emmanuel Gobet, Adrien Richou, Lukasz Szpruch

CoRR, 2024

A Fisher-Rao gradient flow for entropic mean-field min-max games.

Razvan-Andrei Lascu, Mateusz B. Majka, Lukasz Szpruch

CoRR, 2024

ε-Policy Gradient for Online Pricing.

Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang

CoRR, 2024

Mirror Descent-Ascent for mean-field min-max problems.

Razvan-Andrei Lascu, Mateusz B. Majka, Lukasz Szpruch

CoRR, 2024

Mirror Descent for Stochastic Control Problems with Measure-valued Controls.

Bekzhan Kerimkulov, David Siska, Lukasz Szpruch, Yufei Zhang

CoRR, 2024

Generalization Error of Graph Neural Networks in the Mean-field Regime.

Gholamali Aminian, Yixuan He, Gesine Reinert, Lukasz Szpruch, Samuel N. Cohen

Proceedings of the Forty-first International Conference on Machine Learning, 2024

2023

Multi-index antithetic stochastic gradient algorithm.

Mateusz B. Majka, Marc Sabate Vidales, Lukasz Szpruch

Stat. Comput., April, 2023

On the geometry of Stein variational gradient descent.

Andrew B. Duncan, Nikolas Nüsken, Lukasz Szpruch

J. Mach. Learn. Res., 2023

A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces.

Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch, Yufei Zhang

CoRR, 2023

The AI Revolution: Opportunities and Challenges for the Finance Sector.

Carsten Maple, Lukasz Szpruch, Gregory Epiphaniou, Kalina Staykova, Simran Singh, William Penwarden, Yisi Wen, Zijian Wang, Jagdish Hariharan, Pavle Avramovic

CoRR, 2023

Insurance pricing on price comparison websites via reinforcement learning.

Tanut Treetanthiploet, Yufei Zhang, Lukasz Szpruch, Isaac Bowers-Barnard, Henrietta Ridley, James Hickey, Chris Pearce

CoRR, 2023

Mean-field Analysis of Generalization Errors.

Gholamali Aminian, Samuel N. Cohen, Lukasz Szpruch

CoRR, 2023

Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations.

Samuel N. Cohen, Marc Sabate Vidales, David Siska, Lukasz Szpruch

Proceedings of the Financial Cryptography and Data Security. FC 2023 International Workshops, 2023

2022

A Framework for Auditable Synthetic Data Generation.

Florimond Houssiau, Samuel N. Cohen, Lukasz Szpruch, Owen Daniel, Michaela G. Lawrence, Robin Mitra, Henry Wilde, Callum D. Mole

CoRR, 2022

TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data.

Florimond Houssiau, James Jordon, Samuel N. Cohen, Owen Daniel, Andrew Elliott, James Geddes, Callum D. Mole, Camila Rangel Smith, Lukasz Szpruch

CoRR, 2022

Optimal scheduling of entropy regulariser for continuous-time linear-quadratic reinforcement learning.

Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang

CoRR, 2022

Synthetic Data - what, why and how?

James Jordon, Lukasz Szpruch, Florimond Houssiau, Mirko Bottarelli, Giovanni Cherubin, Carsten Maple, Samuel N. Cohen, Adrian Weller

CoRR, 2022

Convergence of Policy Gradient for Entropy Regularized MDPs with Neural Network Approximation in the Mean-Field Regime.

James-Michael Leahy, Bekzhan Kerimkulov, David Siska, Lukasz Szpruch

Proceedings of the International Conference on Machine Learning, 2022

2021

Exploration-exploitation trade-off for continuous-time episodic reinforcement learning with linear-convex models.

Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang

CoRR, 2021

Identifiability in inverse reinforcement learning.

Haoyang Cao, Samuel N. Cohen, Lukasz Szpruch

Proceedings of the Advances in Neural Information Processing Systems 34: Annual Conference on Neural Information Processing Systems 2021, 2021

Sig-wasserstein GANs for time series generation.

Hao Ni, Lukasz Szpruch, Marc Sabate Vidales, Baoren Xiao, Magnus Wiese, Shujian Liao

Proceedings of the ICAIF'21: 2nd ACM International Conference on AI in Finance, Virtual Event, November 3, 2021

2020

Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions.

Bekzhan Kerimkulov, David Siska, Lukasz Szpruch

SIAM J. Control. Optim., 2020

Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations.

Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch, Sebastian J. Vollmer, Konstantinos C. Zygalakis

Stat. Comput., 2020

Robust pricing and hedging via neural SDEs.

Patryk Gierjatowicz, Marc Sabate Vidales, David Siska, Lukasz Szpruch, Zan Zuric

CoRR, 2020

Conditional Sig-Wasserstein GANs for Time Series Generation.

Hao Ni, Lukasz Szpruch, Magnus Wiese, Shujian Liao, Baoren Xiao

CoRR, 2020

Sig-SDEs model for quantitative finance.

Imanol Pérez Arribas, Cristopher Salvi, Lukasz Szpruch

Proceedings of the ICAIF '20: The First ACM International Conference on AI in Finance, 2020

2019

An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis.

Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch

SIAM J. Numer. Anal., 2019

Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections.

Denis Belomestny, Lukasz Szpruch, Shuren Tan

CoRR, 2019

2018

V-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs.

Lukasz Szpruch, Xiling Zhang

Math. Comput., 2018

Martingale Functional Control variates via Deep Learning.

Marc Sabate Vidales, David Siska, Lukasz Szpruch

CoRR, 2018

2014

First order strong approximations of scalar SDEs defined in a domain.

Andreas Neuenkirch, Lukasz Szpruch

Numerische Mathematik, 2014

2013

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients.

Xuerong Mao, Lukasz Szpruch

J. Comput. Appl. Math., 2013

2010

Almost sure exponential stability of numerical solutions for stochastic delay differential equations.

Fuke Wu, Xuerong Mao, Lukasz Szpruch

Numerische Mathematik, 2010

2009

Comparing Hitting Time Behavior of Markov Jump Processes and Their Diffusion Approximations.

Lukasz Szpruch, Desmond J. Higham

Multiscale Model. Simul., 2009