Related papers: A Tsallis-like effective exponential delay discoun…
Recently, the distributed state estimation problem for continuous-time linear systems over jointly connected switching networks was solved. It was shown that the estimation errors will asymptotically converge to the origin by using the…
A method for sequential inference of the fixed parameters of a dynamic latent Gaussian models is proposed and evaluated that is based on the iterated Laplace approximation. The method provides a useful trade-off between computational…
We present a delay-compensating control method that transforms exponentially stabilizing controllers for an undelayed system into a sample-based predictive controller with numerical integration. Our method handles both first-order and…
The Tsallis entropy, which possesses non-extensive property, is derived from the first principle employing the non-extensive Hamiltonian or the $q$-deformed Hamiltonian with the canonical ensemble assumption in statistical mechanics. Here,…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…
There are some real life issues that are exists in nature which has early failure. This type of problems can be modelled either by a complex distribution having more than one parameter or by finite mixture of some distribution. In this…
We derive and study quasicanonical Gibbs distribution function which is characterized by the thermostat with finite number of particles (quasithermostat). We show that this naturally leads to Tsallis nonextensive statistics and…
We consider the scattering by a one-dimensional random potential and derive the probability distribution of the corresponding Wigner time delay. It is shown that the limiting distribution is the same for two different models and coincides…
One of the key performance measures in queueing systems is the exponential decay rate of the steady-state tail probabilities of the queue lengths. It is known that if a corresponding fluid model is stable and the stochastic primitives have…
Inspired by applications in sports where the skill of players or teams competing against each other varies over time, we propose a probabilistic model of pairwise-comparison outcomes that can capture a wide range of time dynamics. We…
One of the main goal of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new…
We study the evolution of Tsallis entropy along the heat flow and establish its concavity in arbitrary dimensions. Extending prior results that were restricted to the one-dimensional setting, we prove that the Tsallis entropy is concave in…
We propose an interpretation of previous experimental and numerical experiments, showing that for a large class of systems, distributions of global quantities are similar to a distribution originally obtained for the magnetization in the…
Exponential distribution is ubiquitous in the framework of multi-agent systems. An alternative approach with an economic motivation to derive the exponential distribution in the framework of iterations in the space of distributions is…
In this paper, we deal with a Cucker-Smale model with time-dependent time delay and communication failures. Namely, we investigate the situation in which the agents involved in a flocking process can possibly suspend the exchange of…
Understanding the properties of response time distributions is a long-standing problem in cognitive science. We provide a tutorial overview of several contemporary models that assume power law scaling is a plausible description of the…
We introduce a double/debiased machine learning estimator for the impulse response function in settings where a time series of interest is subjected to multiple discrete treatments, assigned over time, which can have a causal effect on…
We apply the methods developed by Lockhart et al. (2013) and Taylor et al. (2013) on significance tests for penalized regression to forward stepwise model selection. A general framework for selection procedures described by quadratic…
Systems whose time evolutions are entirely deterministic can nevertheless be studied probabilistically, i.e. in terms of the evolution of probability distributions rather than individual trajectories. This approach is central to the…
This paper addresses the problem of dynamic asset allocation under uncertainty, which can be formulated as a linear quadratic (LQ) control problem with multiplicative noise. To handle exploration exploitation trade offs and induce sparse…