Related papers: Optimizing stakes in simultaneous bets

In this paper, we formulate and solve a randomized optimal consensus problem for multi-agent systems with stochastically time-varying interconnection topology. The considered multi-agent system with a simple randomized iterating rule…

This paper revisits the classical problem of determining the bias of a weighted coin, where the bias is known to be either $p = 1/2 + \varepsilon$ or $p = 1/2 - \varepsilon$, while minimizing the expected number of coin tosses and the error…

Given a subset $S\subseteq\mathbb{P}$, let $\Pa(S;n)$ be the number of permutations in the symmetric group of ${1,2,...,n}$ that have peak set $S$. We prove a recent conjecture due to Billey, Burdzy and Sagan, which determines the sets that…

We consider the classical last-success problem for sequential Bernoulli trials in the homogeneous setting where $X_1,\ldots,X_n$ are i.i.d. $\mathrm{Bernoulli}(p)$ but the success probability $p\in(0,1)$ is unknown to the decision maker.…

We consider the distributed optimization problem for the sum of convex functions where the underlying communications network connecting agents at each time is drawn at random from a collection of directed graphs. Building on an earlier work…

Let $(\xi_i)_{i=1,...,n}$ be a sequence of independent and symmetric random variables. We consider the upper bounds on tail probabilities of self-normalized deviations $$ \mathbf{P} \Big( \max_{1\leq k \leq n} \sum_{i=1}^{k} |\xi_i|\big/…

The scenario approach developed by Calafiore and Campi to attack chance-constrained convex programs utilizes random sampling on the uncertainty parameter to substitute the original problem with a representative continuous convex…

We consider the fundamental problem of selecting $k$ out of $n$ random variables in a way that the expected highest or second-highest value is maximized. This question captures several applications where we have uncertainty about the…

In this paper, we propose a computer-oriented method of construction of optimal group sequential hypothesis tests with variable group sizes. In particular, for independent and identically distributed observations we obtain the form of…

Let $X_1,\ldots,X_n$ be independent identically distributed random vectors in $\mathbb{R}^d$. We consider upper bounds on $\max_x \mathbb{P}(a_1X_1+\cdots+a_nX_n=x)$ under various restrictions on $X_i$ and the weights $a_i$. When…

The estimation of a probability p from repeated Bernoulli trials is considered in this paper. A sequential approach is followed, using a simple stopping rule. A closed-form expression and an upper bound are obtained for the mean absolute…

Let $\eta_i, i=1,..., n$ be iid Bernoulli random variables. Given a multiset $\bv$ of $n$ numbers $v_1, ..., v_n$, the \emph{concentration probability} $\P_1(\bv)$ of $\bv$ is defined as $\P_1(\bv) := \sup_{x} \P(v_1 \eta_1+ ... v_n…

Given a set of independent Poisson random variables with common mean, we study the distribution of their maximum and obtain an accurate asymptotic formula to locate the most probable value of the maximum. We verify our analytic results with…

Given a stream of Bernoulli random variables, consider the problem of estimating the mean of the random variable within a specified relative error with a specified probability of failure. Until now, the Gamma Bernoulli Approximation Scheme…

Let $b(x)$ be the probability that a sum of independent Bernoulli random variables with parameters $p_1, p_2, p_3, \ldots \in [0,1)$ equals $x$, where $\lambda := p_1 + p_2 + p_3 + \cdots$ is finite. We prove two inequalities for the…

We consider upper exponential bounds for the probability of the event that an absolute deviation of sample mean from mathematical expectation p is bigger comparing with some ordered level epsilon. These bounds include 2 coefficients {alpha,…

As was noted already by A. N. Kolmogorov, any random variable has a Bernoulli component. This observation provides a tool for the extension of results which are known for Bernoulli random variables to arbitrary distributions. Two…

The classical problem of maximizing the Shannon entropy of a sum of independent random variables supported on a finite alphabet is considered and settled in the ternary case. Namely, the following theorem is established: if…

Consider a gambling game in which we are allowed to repeatedly bet a portion of our bankroll at favorable odds. We investigate the question of how to minimize the expected number of rounds needed to increase our bankroll to a given target…

For $k\mid n$ let $Comb_{n,k}$ denote the tree consisting of an $(n/k)$-vertex path with disjoint $k$-vertex paths beginning at each of its vertices. An old conjecture says that for any $k=k(n)$ the threshold for the random graph $G(n,p)$…