Related papers: Optimal Unbiased Estimation for Expected Cumulativ…
Biased stochastic estimators, such as finite-differences for noisy gradient estimation, often contain parameters that need to be properly chosen to balance impacts from the bias and the variance. While the optimal order of these parameters…
We propose a new approach for estimating the parameters of a probability distribution. It consists on combining two new methods of estimation. The first is based on the definition of a new distance measuring the difference between…
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
Truncated conditional expectation functions are objects of interest in a wide range of economic applications, including income inequality measurement, financial risk management, and impact evaluation. They typically involve truncating the…
We consider a model selection estimator of the covariance of a random process. Using the Unbiased Risk Estimation (URE) method, we build an estimator of the risk which allows to select an estimator in a collection of model. Then, we present…
We propose an unconstrained stochastic approximation method of finding the optimal measure change (in an a priori parametric family) for Monte Carlo simulations. We consider different parametric families based on the Girsanov theorem and…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
We propose a methodology to parallelize Hamiltonian Monte Carlo estimators. Our approach constructs a pair of Hamiltonian Monte Carlo chains that are coupled in such a way that they meet exactly after some random number of iterations. These…
In this paper, we present an online reinforcement learning algorithm, called Renewal Monte Carlo (RMC), for infinite horizon Markov decision processes with a designated start state. RMC is a Monte Carlo algorithm and retains the advantages…
Many large-scale stochastic optimization algorithms involve repeated solutions of linear systems or evaluations of log-determinants. In these regimes, computing exact solutions is often unnecessary; it is more computationally efficient to…
We study the convergence rate of randomly truncated stochastic algorithms, which consist in the truncation of the standard Robbins-Monro procedure on an increasing sequence of compact sets. Such a truncation is often required in practice to…
We study the convergence rate of randomly truncated stochastic algorithms, which consist in the truncation of the standard Robbins-Monro procedure on an increasing sequence of compact sets. Such a truncation is often required in practice to…
Adaptive Monte Carlo methods are very efficient techniques designed to tune simulation estimators on-line. In this work, we present an alternative to stochastic approximation to tune the optimal change of measure in the context of…
Random sampling is an essential tool in the processing and transmission of data. It is used to summarize data too large to store or manipulate and meet resource constraints on bandwidth or battery power. Estimators that are applied to the…
For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution.…
We consider the problem of sequential sampling from a finite number of independent statistical populations to maximize the expected infinite horizon average outcome per period, under a constraint that the expected average sampling cost does…
We present new estimators of the mean of a real valued random variable, based on PAC-Bayesian iterative truncation. We analyze the non-asymptotic minimax properties of the deviations of estimators for distributions having either a bounded…
Motivated by various computational applications, we investigate the problem of estimating nested expectations. Building upon recent work by the authors, we propose a novel Monte Carlo estimator for nested expectations, inspired by sparse…
Bayesian quadrature optimization (BQO) maximizes the expectation of an expensive black-box integrand taken over a known probability distribution. In this work, we study BQO under distributional uncertainty in which the underlying…
In optimization problems, the quality of a candidate solution can be characterized by the optimality gap. For most stochastic optimization problems, this gap must be statistically estimated. We show that for risk-averse problems, standard…