Related papers: Entropy-Based Strategies for Multi-Bracket Pools
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
Multivariate circular observations, i.e. points on a torus are nowadays very common. Multivariate wrapped models are often appropriate to describe data points scattered on p-dimensional torus. However, statistical inference based on this…
Poker is ideal for testing automated reasoning under uncertainty. It introduces uncertainty both by physical randomization and by incomplete information about opponents hands.Another source OF uncertainty IS the limited information…
We develop parallel predictive entropy search (PPES), a novel algorithm for Bayesian optimization of expensive black-box objective functions. At each iteration, PPES aims to select a batch of points which will maximize the information gain…
For independent multi-outcome events under multiplicative parlay pricing, we give a short exact proof of the optimal Kelly strategy using the implicit-cash viewpoint. The proof is entirely eventwise. One first solves each event in…
This note proposes a procedure for enhancing the quality of probabilistic prediction algorithms via betting against their predictions. It is inspired by the success of the conformal test martingales that have been developed recently.
Recommendations based on behavioral data may be faced with ambiguous statistical evidence. We consider the case of association rules, relevant e.g.~for query and product recommendations. For example: Suppose that a customer belongs to…
We consider the problem of deciding on sampling strategy, in particular sampling design. We propose a risk measure, whose minimizing value guides the choice. The method makes use of a superpopulation model and takes into account uncertainty…
A tournament on $n$ agents is a complete oriented graph with the agents as vertices and edges that describe the win-loss outcomes of the $\binom{n}{2}$ matches played between each pair of agents. The winner of a tournament is determined by…
Multiple types of inference are available for probabilistic graphical models, e.g., marginal, maximum-a-posteriori, and even marginal maximum-a-posteriori. Which one do researchers mean when they talk about "planning as inference"? There is…
Panels with large time $(T)$ and cross-sectional $(N)$ dimensions are a key data structure in social sciences and other fields. A central question in panel data analysis is whether to pool data across individuals or to estimate separate…
Incentives are key to the success of crowdsourcing which heavily depends on the level of user participation. This paper designs an incentive mechanism to motivate a heterogeneous crowd of users to actively participate in crowdsourcing…
We consider a matching problem, which is meaningful in team competitions, as well as in information theory, recommender systems, and assignment problems. In the competitions which we study, each competitor in a team order plays a match with…
Some risks have extremely high stakes. For example, a worldwide pandemic or asteroid impact could potentially kill more than a billion people. Comfortingly, scientific calculations often put very low probabilities on the occurrence of such…
The conditional maximum-entropy method (abbreviated here as C-MaxEnt) is formulated for selecting prior probability distributions in Bayesian statistics for parameter estimation. This method is inspired by a statistical-mechanical approach…
Most online service providers deploy their own data stream processing systems in the cloud to conduct large-scale and real-time data analytics. However, such systems, e.g., Apache Heron, often adopt naive scheduling schemes to distribute…
The paper presents a scheme for computing lower and upper bounds on the posterior marginals in Bayesian networks with discrete variables. Its power lies in its ability to use any available scheme that bounds the probability of evidence or…
The task of ranking individuals or teams, based on a set of comparisons between pairs, arises in various contexts, including sporting competitions and the analysis of dominance hierarchies among animals and humans. Given data on which…
Thompson sampling has impressive empirical performance for many multi-armed bandit problems. But current algorithms for Thompson sampling only work for the case of conjugate priors since these algorithms require to infer the posterior,…
We study the problem of maximizing R{\'e}nyi entropy of order $2$ (equivalently, minimizing the index of coincidence) over the set of joint distributions with prescribed marginals. A closed-form optimizer is known under a feasibility…