Lukasz Szpruch

Publication Activity (10 Years)

Years Active: 2009-2024
Publications (10 Years): 37

Top Topics

Reinforcement Learning

Stochastic Differential Equations

Top Venues

SIAM J. Control. Optim.

Publications

Gholamali Aminian, Yixuan He, Gesine Reinert, Lukasz Szpruch, Samuel N. Cohen
Generalization Error of Graph Neural Networks in the Mean-field Regime. CoRR (2024)
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
ε-Policy Gradient for Online Pricing. CoRR (2024)
Razvan-Andrei Lascu, Mateusz B. Majka, Lukasz Szpruch
A Fisher-Rao gradient flow for entropic mean-field min-max games. CoRR (2024)
Razvan-Andrei Lascu, Mateusz B. Majka, Lukasz Szpruch
Mirror Descent-Ascent for mean-field min-max problems. CoRR (2024)
Emmanuel Gobet, Adrien Richou, Lukasz Szpruch
Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas. CoRR (2024)
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
Optimal Scheduling of Entropy Regularizer for Continuous-Time Linear-Quadratic Reinforcement Learning. SIAM J. Control. Optim. 62 (1) (2024)
Bekzhan Kerimkulov, David Siska, Lukasz Szpruch, Yufei Zhang
Mirror Descent for Stochastic Control Problems with Measure-valued Controls. CoRR (2024)
Carsten Maple, Lukasz Szpruch, Gregory Epiphaniou, Kalina Staykova, Simran Singh, William Penwarden, Yisi Wen, Zijian Wang, Jagdish Hariharan, Pavle Avramovic
The AI Revolution: Opportunities and Challenges for the Finance Sector. CoRR (2023)
Mateusz B. Majka, Marc Sabate Vidales, Lukasz Szpruch
Multi-index antithetic stochastic gradient algorithm. Stat. Comput. 33 (2) (2023)
Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch, Yufei Zhang
A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces. CoRR (2023)
Gholamali Aminian, Samuel N. Cohen, Lukasz Szpruch
Mean-field Analysis of Generalization Errors. CoRR (2023)
Samuel N. Cohen, Marc Sabate Vidales, David Siska, Lukasz Szpruch
Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations. FC Workshops (2023)
Tanut Treetanthiploet, Yufei Zhang, Lukasz Szpruch, Isaac Bowers-Barnard, Henrietta Ridley, James Hickey, Chris Pearce
Insurance pricing on price comparison websites via reinforcement learning. CoRR (2023)
Andrew Duncan, Nikolas Nüsken, Lukasz Szpruch
On the geometry of Stein variational gradient descent. J. Mach. Learn. Res. 24 (2023)
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
Optimal scheduling of entropy regulariser for continuous-time linear-quadratic reinforcement learning. CoRR (2022)
James Jordon, Lukasz Szpruch, Florimond Houssiau, Mirko Bottarelli, Giovanni Cherubin, Carsten Maple, Samuel N. Cohen, Adrian Weller
Synthetic Data - what, why and how? CoRR (2022)
James-Michael Leahy, Bekzhan Kerimkulov, David Siska, Lukasz Szpruch
Convergence of Policy Gradient for Entropy Regularized MDPs with Neural Network Approximation in the Mean-Field Regime. ICML (2022)
Florimond Houssiau, James Jordon, Samuel N. Cohen, Owen Daniel, Andrew Elliott, James Geddes, Callum D. Mole, Camila Rangel Smith, Lukasz Szpruch
TAPAS: a Toolbox for Adversarial Privacy Auditing of Synthetic Data. CoRR (2022)
Bekzhan Kerimkulov, James-Michael Leahy, David Siska, Lukasz Szpruch
Convergence of policy gradient for entropy regularized MDPs with neural network approximation in the mean-field regime. CoRR (2022)
Florimond Houssiau, Samuel N. Cohen, Lukasz Szpruch, Owen Daniel, Michaela G. Lawrence, Robin Mitra, Henry Wilde, Callum D. Mole
A Framework for Auditable Synthetic Data Generation. CoRR (2022)
Haoyang Cao, Samuel N. Cohen, Lukasz Szpruch
Identifiability in inverse reinforcement learning. CoRR (2021)
Hao Ni, Lukasz Szpruch, Marc Sabate Vidales, Baoren Xiao, Magnus Wiese, Shujian Liao
Sig-Wasserstein GANs for Time Series Generation. CoRR (2021)
Haoyang Cao, Samuel N. Cohen, Lukasz Szpruch
Identifiability in inverse reinforcement learning. NeurIPS (2021)
Hao Ni, Lukasz Szpruch, Marc Sabate Vidales, Baoren Xiao, Magnus Wiese, Shujian Liao
Sig-wasserstein GANs for time series generation. ICAIF (2021)
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
Exploration-exploitation trade-off for continuous-time episodic reinforcement learning with linear-convex models. CoRR (2021)
Michael B. Giles, Mateusz B. Majka, Lukasz Szpruch, Sebastian J. Vollmer, Konstantinos C. Zygalakis
Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations. Stat. Comput. 30 (3) (2020)
David Siska, Lukasz Szpruch
Gradient Flows for Regularized Stochastic Control Problems. CoRR (2020)
Mateusz B. Majka, Marc Sabate Vidales, Lukasz Szpruch
Multi-index Antithetic Stochastic Gradient Algorithm. CoRR (2020)
Hao Ni, Lukasz Szpruch, Magnus Wiese, Shujian Liao, Baoren Xiao
Conditional Sig-Wasserstein GANs for Time Series Generation. CoRR (2020)
Patryk Gierjatowicz, Marc Sabate Vidales, David Siska, Lukasz Szpruch, Zan Zuric
Robust pricing and hedging via neural SDEs. CoRR (2020)
Bekzhan Kerimkulov, David Siska, Lukasz Szpruch
Exponential Convergence and Stability of Howard's Policy Improvement Algorithm for Controlled Diffusions. SIAM J. Control. Optim. 58 (3) (2020)
Imanol Perez Arribas, Cristopher Salvi, Lukasz Szpruch
Sig-SDEs model for quantitative finance. ICAIF (2020)
Denis Belomestny, Lukasz Szpruch, Shuren Tan
Iterative Multilevel density estimation for McKean-Vlasov SDEs via projections. CoRR (2019)
Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch
An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis. SIAM J. Numer. Anal. 57 (1) (2019)
A. Duncan, Nikolas Nüsken, Lukasz Szpruch
On the geometry of Stein variational gradient descent. CoRR (2019)
Marc Sabate Vidales, David Siska, Lukasz Szpruch
Martingale Functional Control variates via Deep Learning. CoRR (2018)
Lukasz Szpruch, Xiling Zhang
V-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs. Math. Comput. 87 (310) (2018)
Andreas Neuenkirch, Lukasz Szpruch
First order strong approximations of scalar SDEs defined in a domain. Numerische Mathematik 128 (1) (2014)
Xuerong Mao, Lukasz Szpruch
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients. J. Comput. Appl. Math. 238 (2013)
Fuke Wu, Xuerong Mao, Lukasz Szpruch
Almost sure exponential stability of numerical solutions for stochastic delay differential equations. Numerische Mathematik 115 (4) (2010)
Lukasz Szpruch, Desmond J. Higham
Comparing Hitting Time Behavior of Markov Jump Processes and Their Diffusion Approximations. Multiscale Model. Simul. 8 (2) (2009)