Related papers: Optimizing stakes in simultaneous bets

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Let $G_1,\dots, G_m$ be independent identically distributed Bernoulli random subgraphs of the complete graph ${\cal K}_n$ having vertex sets of random sizes $X_1,\dots, X_m\in \{0,1,2,\dots\}$ and random edge densities $Q_1,\dots, Q_m\in…

This paper considers smooth strongly convex and strongly concave (SC-SC) stochastic saddle point (SSP) problems. Suppose there is an arbitrary oracle that in expectation returns an $\epsilon$-solution in the sense of certain gaps, which can…

We consider the regression model with (known) random design. We investigate the minimax performances of an adaptive wavelet block thresholding estimator under the $\mathbb{L}^p$ risk with $p\ge 2$ over Besov balls. We prove that it is near…

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In the contest design problem, there are $n$ strategic contestants, each of whom decides an effort level. A contest designer with a fixed budget must then design a mechanism that allocates a prize $p_i$ to the $i$-th rank based on the…

Concentration inequalities, a major tool in probability theory, quantify how much a random variable deviates from a certain quantity. This paper proposes a systematic convex optimization approach to studying and generating concentration…

One key challenge for solving a general stochastic optimization problem with expectations in the objective and constraint functions using ordinary stochastic iterative methods lies in the infeasibility issue caused by the randomness over…

In 1959 Fejes T\'oth posed a conjecture that the sum of pairwise non-obtuse angles between $N$ unit vectors in $\mathbb S^d$ is maximized by periodically repeated elements of the standard orthonormal basis. We obtain new improved upper…

For a sequence $\{X_{n}, \, n \geqslant 1 \}$ of nonnegative random variables where $\max[\min(X_{n} - s,t),0]$, $t > s \geqslant 0$, satisfy a moment inequality, sufficient conditions are given under which $\sum_{k=1}^n (X_k - \mathbb{E}…

In this article, we show that a linear combination $X$ of $n$ independent, unbiased Bernoulli random variables $\{X_k\}$ can match the first $2n$ moments of a random variable $Y$ which is uniform on an interval. More generally, for each $p…

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A refinement of Bennett's inequality is introduced which is strictly tighter than the classical bound. The new bound establishes the convergence of the average of independent random variables to its expected value. It also carefully…

We study the performances of an adaptive procedure based on a convex combination, with data-driven weights, of term-by-term thresholded wavelet estimators. For the bounded regression model, with random uniform design, and the nonparametric…

We show that there is a constant $K > 0$ such that for all $N, s \in \N$, $s \le N$, the point set consisting of $N$ points chosen uniformly at random in the $s$-dimensional unit cube $[0,1]^s$ with probability at least $1-\exp(-\Theta(s))$…

Let $X$ be a random variable distributed according to the binomial distribution with parameters $n$ and $p$. It is shown that $P(X>EX)\ge1/4$ if $1>p\ge c/n$, where $c:=\ln(4/3)$, the best possible constant factor.

Consider the extreme value of a Bernoulli random walk on the one-dimensional integer lattice, with reflection at 0, over a finite discrete time interval. Only the asymmetric (biased) case is discussed. Asymptotic mean/variance results are…

We study variants of a stochastic game inspired by backgammon where players may propose to double the stake, with the game state dictated by a one-dimensional random walk. Our variants allow for different numbers of proposals and different…

The problem of minimizing convex functionals of probability distributions is solved under the assumption that the density of every distribution is bounded from above and below. A system of sufficient and necessary first-order optimality…

A casino offers the following game. There are three cups each containing a die. You are being told that the dice in the cups are all the same, but possibly nonstandard. For a bet of \$1, the game master shakes all three cups and lets you…