Related papers: Nash implementation by stochastic mechanisms: a si…
Our goal is to develop a partial ordering method for comparing stochastic choice functions on the basis of their individual rationality. To this end, we assign to any stochastic choice function a one-parameter class of deterministic choice…
Probabilistic and stochastic behavior are omnipresent in computer controlled systems, in particular, so-called safety-critical hybrid systems, because of fundamental properties of nature, uncertain environments, or simplifications to…
In this paper, the author considers the numerical computation of CVA for large systems by Mote Carlo methods. He introduces two types of stochastic mesh methods for the computations of CVA. In the first method, stochastic mesh method is…
We consider the concept of statistical complexity to write the quasiperiodical damped systems applying the snapshot attractors. This allows us to understand the behaviour of these dynamical systems by the probability distribution of the…
In this paper, a sample-based procedure for obtaining simple and computable approximations of chance-constrained sets is proposed. The procedure allows to control the complexity of the approximating set, by defining families of…
It was shown in Mishura et al. (Stochastic Process. Appl. 123 (2013) 2353-2369), that any random variable can be represented as improper pathwise integral with respect to fractional Brownian motion. In this paper, we extend this result to…
We consider dynamical systems arising from substitutions over a finite alphabet. We prove that such a system is linearly repetitive if and only if it is minimal. Based on this characterization we extend various results from primitive…
The aggregation of conflicting preferences is a central problem in multiagent systems. The key difficulty is that the agents may report their preferences insincerely. Mechanism design is the art of designing the rules of the game so that…
Likelihood-based inference in stochastic non-linear dynamical systems, such as those found in chemical reaction networks and biological clock systems, is inherently complex and has largely been limited to small and unrealistically simple…
This article aims to explain the Nested Benders algorithm for the solution of large-scale stochastic programming problems in a way that is intelligible to someone coming to it for the first time. In doing so it gives an explanation of…
Single-cell gene expression measurements encode variability spanning molecular noise, cell-to-cell heterogeneity, and technical artifacts. Mechanistic stochastic models provide powerful approaches to disentangle these sources, yet inferring…
This work presents an approach to express the second moment of the completion time with a preempt-repeat model job processed on a machine subject to stochastic breakdowns by some distribution characters of the uptime, downtime and…
One key in real-life Nash equilibrium applications is to calibrate players' cost functions. To leverage the approximation ability of neural networks, we proposed a general framework for optimizing and learning Nash equilibrium using neural…
We consider nonparametric estimation for functional autoregressive processes with Markov switching. First, we study the case where complete data is available; i.e. when we observe the Markov switching regime. Then we estimate the regression…
We characterize the identified sets of a wide range of stochastic choice models, including random utility, various models of boundedly-rational behavior, and dynamic discrete choice. In each of these settings, we show two distributions over…
Stochastic games generalize Markov decision processes (MDPs) to a multiagent setting by allowing the state transitions to depend jointly on all player actions, and having rewards determined by multiplayer matrix games at each state. We…
We present a reformulation of stochastic global optimization as a filtering problem. The motivation behind this reformulation comes from the fact that for many optimization problems we cannot evaluate exactly the objective function to be…
Adaptive networks model social, physical, technical, or biological systems as attributed graphs evolving at the level of both their topology and data. They are naturally described by graph transformation, but the majority of authors take an…
Shellings of simplicial complexes have long been a useful tool in topological and algebraic combinatorics. Shellings of a complex expose a large amount of information in a helpful way, but are not easy to construct, often requiring deep…
We study pure Nash equilibria in games on graphs with an imperfect monitoring based on a public signal. In such games, deviations and players responsible for those deviations can be hard to detect and track. We propose a generic epistemic…