Related papers: Sharp error terms for return time statistics under…
We study linear chance-constrained problems where the coefficients follow a Gaussian mixture distribution. We provide mixed-binary quadratic programs that give inner and outer approximations of the chance constraint based on piecewise…
We introduce a generalisation of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation…
Strong invariance principles describe the error term of a Brownian approximation of the partial sums of a stochastic process. While these strong approximation results have many applications, the results for continuous-time settings have…
The article starts with generalizations of some classical results and new truncation error upper bounds in the sampling theorem for bandlimited stochastic processes. Then, it investigates $L_p([0,T])$ and uniform approximations of…
The statistical leverage scores of a matrix $A$ are the squared row-norms of the matrix containing its (top) left singular vectors and the coherence is the largest leverage score. These quantities are of interest in recently-popular…
We study the problem of parameter estimation in time series stemming from general stochastic processes, where the outcomes may exhibit arbitrary temporal correlations. In particular, we address the question of how much Fisher information is…
We study the time taken by a language learner to correctly identify the meaning of all words in a lexicon under conditions where many plausible meanings can be inferred whenever a word is uttered. We show that the most basic form of…
The stochastic simulation algorithm (SSA) is widely used to perform exact forward simulation of discrete stochastic processes in biology. However, the computational cost, driven by sequential event-by-event sampling across large ensembles,…
Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the possible violation of a restriction. Each risk constraint induces an uncertainty set of coefficients,…
We study the finite-time convergence of projected linear two-time-scale stochastic approximation with constant step sizes and Polyak--Ruppert averaging. We establish an explicit mean-square error bound, decomposing it into two interpretable…
We analyze the asymptotic behavior of sequences of random variables defined by an initial condition, a stationary and ergodic sequence of random matrices, and an induction formula involving multiplication is the so-called max-plus algebra.…
The main contribution of this paper is a mathematical definition of statistical sparsity, which is expressed as a limiting property of a sequence of probability distributions. The limit is characterized by an exceedance measure~$H$ and a…
We give a simple optimistic algorithm for which it is easy to derive regret bounds of $\tilde{O}(\sqrt{t_{\rm mix} SAT})$ after $T$ steps in uniformly ergodic Markov decision processes with $S$ states, $A$ actions, and mixing time parameter…
We describe a general formalism based on the partial-wave decomposition to compute the iterative $s$-channel discontinuity of four-point amplitudes at any loop order. As an application, we focus on the low-energy expansions of type I and II…
Original paper: We revisit the probability that any two consecutive events in a Poisson process N on [0,t] are separated by a time interval which is greater than s(<t) (a particular scan statistic probability), and the closely related…
From a continuous-time long memory stochastic process, a discrete-time randomly sampled one is drawn. We investigate the second-order properties of this process and establish some time-and frequency-domain asymptotic results. We mainly…
This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector \(\xiv\) with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The…
We analyse the convergence of the proximal gradient algorithm for convex composite problems in the presence of gradient and proximal computational inaccuracies. We derive new tighter deterministic and probabilistic bounds that we use to…
We study 4 problems in string matching, namely, regular expression matching, approximate regular expression matching, string edit distance, and subsequence indexing, on a standard word RAM model of computation that allows logarithmic-sized…
We study a stochastically perturbed version of the well-known Krasnoselski--Mann iteration for computing fixed points of nonexpansive maps in finite dimensional normed spaces. We discuss sufficient conditions on the stochastic noise and…