Related papers: What's in YOUR wallet?
We present an algorithm that can efficiently compute a broad class of inferences for discrete-time imprecise Markov chains, a generalised type of Markov chains that allows one to take into account partially specified probabilities and other…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
How many fair coin tosses to choose 1 of $n$ options with uniform probability? Although a probability problem, the solution is essentially number-theoretic, with special roles for Mersenne numbers, Fermat numbers, and the haupt exponent. We…
Let $q \in (0,1)$ and $\delta \in (0,1)$ be real numbers, and let $C$ be a coin that comes up heads with an unknown probability $p$, such that $p \neq q$. We present an algorithm that, on input $C$, $q$, and $\delta$, decides, with…
We develop a martingale approximation approach to studying the limiting behavior of quadratic forms of Markov chains. We use the technique to examine the asymptotic behavior of lag-window estimators in time series and we apply the results…
This article describes a method for computing limits of a class of non-stationary Markov chains motivated by healthcare sojourn-time cycles. A mathematical validation of the computation method is also given. Applications are described that…
We use the $f-divergence$ also called relative entropy as a measure of diversity between probability densities and review its basic properties. In the sequence we define a few objects which capture relevant information from the sample of a…
Given a batch of human computation tasks, a commonly ignored aspect is how the price (i.e., the reward paid to human workers) of these tasks must be set or varied in order to meet latency or cost constraints. Often, the price is set…
We determine the number of statistically significant factors in a forecast model using a random matrices test. The applied forecast model is of the type of Reduced Rank Regression (RRR), in particular, we chose a flavor which can be seen as…
We present two related anytime algorithms for control of nonlinear systems when the processing resources available are time-varying. The basic idea is to calculate tentative control input sequences for as many time steps into the future as…
In this paper, we study the problem of estimating uniformly well the mean values of several distributions given a finite budget of samples. If the variance of the distributions were known, one could design an optimal sampling strategy by…
A method of constructing Markov chains on finite state spaces is provided. The chain is specified by three constraints: stationarity, dependence and marginal distributions. The generalized Pythagorean theorem in information geometry plays a…
We consider quantile estimation using Markov chain Monte Carlo and establish conditions under which the sampling distribution of the Monte Carlo error is approximately Normal. Further, we investigate techniques to estimate the associated…
Money laundering is not only about moving illicit funds, but about hiding the money's origin and traces to complicate detection. Financial criminals resort to many methods to avoid regulators and legal thresholds. But analysts investigating…
We present a system for online probabilistic event forecasting. We assume that a user is interested in detecting and forecasting event patterns, given in the form of regular expressions. Our system can consume streams of events and forecast…
The efficiency of a Markov chain Monte Carlo algorithm might be measured by the cost of generating one independent sample, or equivalently, the total cost divided by the effective sample size, defined in terms of the integrated…
Using methods from the statistical mechanics of disordered systems we analyze the properties of bimatrix games with random payoffs in the limit where the number of pure strategies of each player tends to infinity. We analytically calculate…
A randomized algorithm for finding sparse cuts is given which is based on constructing a dual markov chain called multiscale rings process(MRP) and a new concept of entropy. It is shown how the time to absorption of the dual process…
A cryptocurrency is a digital asset maintained by a decentralised system using cryptography. Investors in this emerging digital market are exploring the profitability potential of portfolios in place of single coins. Portfolios are…
Probabilistic model checking mainly concentrates on techniques for reasoning about the probabilities of certain path properties or expected values of certain random variables. For the quantitative system analysis, however, there is also…