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Adaptive Importance Sampling via Stochastic Convex Programming
Adaptive Importance Sampling via Stochastic Convex Programming
2015/7/8
We show that the variance of the Monte Carlo estimator that is importance sampled from an exponential family is a convex function of the natural parameter of the distribution. With this insight, we pr...
Nucleation of Breathers via Stochastic Resonance in Nonlinear Lattices
Staggered driving force the nonlinear discrete model discrete respirator resonance phenomenon
2014/12/24
By applying a staggered driving force in a prototypical discrete model with a quartic nonlinearity, we demonstrate the spontaneous formation and destruction of discrete breathers with a selected frequ...
Rare event simulation for processes generated via stochastic fixed point equations
Monte Carlo methods importance sampling perpetuities
2011/7/19
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable V satisfying the distributional equation ...
Rare event simulation for processes generated via stochastic fixed point equations
Monte Carlo methods importance sampling perpetuities large deviations nonlinear renewal theory Harris recurrent Markov chains
2011/9/13
Abstract: In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable V satisfying the distributional...
Construction of Bayesian Deformable Models via Stochastic Approximation Algorithm：A Convergence Study
stochastic approximation algorithms non rigid-deformable templates shapes statistics Bayesian modeling MAP estimation
2010/4/29
The problem of the definition and the estimation of generative models based on deformable templates from raw data is of particular importance for modeling non-aligned data affected by various types of...
Stock Market Trading Via Stochastic Network Optimization
Queueing analysis stochastic control universal
2010/11/2
We consider the problem of dynamic buying and selling of shares from a collection of N stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of s...