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August 17, 2026
‘I Dream of Simple Things
Anastasia Gergenreter specialises in applied statistics and econometrics. In this interview for the Young Scientists of HSE University project, she talked about why she studies addictive substance use, two very different Fishers, and the cherry blossom season at the Main Botanical Garden in Moscow.
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Empirical Variance Minimization with Applications in Variance Reduction and Optimal Control

Bernoulli: a journal of mathematical statistics and probability. 2022. Vol. 28. No. 2. P. 1382–1407.
Belomestny Denis, Iosipoi L., Paris Q., Zhivotovskiy N.

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.

Research target: Mathematics Computer Science
Language: English
Full text
DOI
Text on another site
Keywords: optimal controlvariance reductionempirical variance minimizationcontrol variates
Publication based on the results of:
Stochastic Algorithms in Machine Learning (2022)
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