Related papers: The Last-Success Stopping Problem with Random Obse…
The absence of an algorithm that effectively monitors deep learning models used in side-channel attacks increases the difficulty of evaluation. If the attack is unsuccessful, the question is if we are dealing with a resistant implementation…
Real numbers from the interval [0, 1] are randomly selected with uniform distribution. There are $n$ of them and they are revealed one by one. However, we do not know their values but only their relative ranks. We want to stop on recently…
A novel quickest detection setting is proposed which is a generalization of the well-known Bayesian change-point detection model. Suppose \{(X_i,Y_i)\}_{i\geq 1} is a sequence of pairs of random variables, and that S is a stopping time 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…
In this paper, we study the problem of determining $k$ anomalous random variables that have different probability distributions from the rest $(n-k)$ random variables. Instead of sampling each individual random variable separately as in the…
Let $X_n,...,X_1$ be i.i.d. random variables with distribution function $F$. A statistician, knowing $F$, observes the $X$ values sequentially and is given two chances to choose $X$'s using stopping rules. The statistician's goal is to stop…
The following optimal stopping problem is considered. The vertices of a graph $G$ are revealed one by one, in a random order, to a selector. He aims to stop this process at a time $t$ that maximizes the expected number of connected…
This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…
The negative binomial distribution NB$(k,r)$ of Type I is the probability distribution for a sequence of independent Bernoulli trials (with success parameter $p\in(0,1)$) with $r$ nonoverlapping success runs of length $\ge k$. We present a…
Originally motivated by default risk management applications, this paper investigates a novel problem, referred to as the profitable bandit problem here. At each step, an agent chooses a subset of the K possible actions. For each action…
We give asymptotic lower bounds of the value for Bruss' optimal stopping problem with multiple stopping chances. It interestingly consists of the asymptotic threshold values in the optimal multiple stopping strategy. Another interesting…
We consider an original problem that arises from the issue of security analysis of a power system and that we name optimal discovery with probabilistic expert advice. We address it with an algorithm based on the optimistic paradigm and on…
Optimal stopping problems consider the question of deciding when to stop an observation-generating process in order to maximize a return. We examine the problem of simultaneously learning and planning in such domains, when data is collected…
We study decision timing problems on finite horizon with Poissonian information arrivals. In our model, a decision maker wishes to optimally time her action in order to maximize her expected reward. The reward depends on an unobservable…
We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the problem into an auxiliary problem for the ladder height…
We study linear chance-constrained problems where the coefficients follow a Gaussian mixture distribution. We provide mixed-binary quadratic programs that give inner and outer approximations of the chance constraint based on piecewise…
We consider the problem of jointly testing multiple hypotheses and estimating a random parameter of the underlying distribution. This problem is investigated in a sequential setup under mild assumptions on the underlying random process. The…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…
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 $X_1,X_2,..., X_n,...$ be a stochastic process with independent values whose distribution $P_\theta$ depends on an unknown parameter $\theta$, $\theta\in\Theta$, where $\Theta$ is an open subset of the real line. The problem of testing…