Related papers: Optimality Regions and Fluctuations for Bernoulli …
The question of the optimality of Thompson Sampling for solving the stochastic multi-armed bandit problem had been open since 1933. In this paper we answer it positively for the case of Bernoulli rewards by providing the first finite-time…
We study some optimal control problems on networks with junctions, approximate the junctions by a switching rule of delay-relay type and study the passage to the limit when $\varepsilon$, the parameter of the approximation, goes to zero.…
We consider the estimation of a regression function with random design and heteroscedastic noise in a nonparametric setting. More precisely, we address the problem of characterizing the optimal penalty when the regression function is…
We develop a cut finite element method for the Bernoulli free boundary problem. The free boundary, represented by an approximate signed distance function on a fixed background mesh, is allowed to intersect elements in an arbitrary fashion.…
We show that classical integrable models of last passage percolation and the related nonintersecting random walks converge uniformly on compact sets to the Airy line ensemble. Our core approach is to show convergence of nonintersecting…
Various best-choice problems related to the planar homogeneous Poisson process in finite or semi-infinite rectangle are studied. The analysis is largely based on properties of the one-dimensional box-area process associated with the…
We consider the problem of a particle traveling from an initial configuration to a final configuration (given by a point in the plane along with a prescribed velocity vector) in minimum time with non-homogeneous velocity and with…
We describe an apparatus for subgradient-following of the optimum of convex problems with variational penalties. In this setting, we receive a sequence $y_i,\ldots,y_n$ and seek a smooth sequence $x_1,\ldots,x_n$. The smooth sequence needs…
We consider a framework for approximating the obstacle problem through a penalty approach by nonlinear PDEs. By using tools from capacity theory, we show that derivatives of the solution maps of the penalised problems converge in the weak…
Considered are the large $N$, or large intensity, forms of the distribution of the length of the longest increasing subsequences for various models. Earlier work has established that after centring and scaling, the limit laws for these…
We prove a large deviation principle and give an expression for the rate function, for the last passage time in a Bernoulli environment. The model is exactly solvable and its invariant version satisfies a Burke-type property. Finally, we…
In this two-part study we develop a general approach to the design and analysis of exact penalty functions for various optimal control problems, including problems with terminal and state constraints, problems involving differential…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We prove a strong law of large numbers for directed last passage times in an independent but inhomogeneous exponential environment. Rates for the exponential random variables are obtained from a discretisation of a speed function that may…
The free energy of the Random Energy Model at the transition point between ferromagnetic and spin glass phases is calculated. At this point, equivalent to the decoding error threshold in optimal codes, free energy has finite size…
We study a family of optimal control problems in which one aims at minimizing a cost that mixes a quadratic control penalization and the variance of the system, both for finitely many agents and for the mean-field dynamics as their number…
While there are numerous results on minimizers or stable solutions of the Bernoulli problem proving regularity of the free boundary and analyzing singularities, much less in known about critical points of the corresponding energy. Saddle…
In this paper, we consider the optimization problem of minimizing a continuously differentiable function subject to both convex constraints and sparsity constraints. By exploiting a mixed-integer reformulation from the literature, we define…
We consider a variational convex relaxation of a class of optimal partitioning and multiclass labeling problems, which has recently proven quite successful and can be seen as a continuous analogue of Linear Programming (LP) relaxation…
We study the problem of change point localization in dynamic networks models. We assume that we observe a sequence of independent adjacency matrices of the same size, each corresponding to a realization of an unknown inhomogeneous Bernoulli…