Related papers: Online minimum search for a Brownian bridge

We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…

We consider the query complexity of finding a local minimum of a function defined on a graph. This abstract problem is fundamental to many optimization tasks, such as finding a local minimum of the loss function when training deep neural…

Consider the {$\ell_{\alpha}$} regularized linear regression, also termed Bridge regression. For $\alpha\in (0,1)$, Bridge regression enjoys several statistical properties of interest such as sparsity and near-unbiasedness of the estimates…

We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling…

We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…

An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on…

We give an explicitly computable lower bound for the arithmetic self-intersection number of the dualizing sheaf on a large class of arithmetic surfaces. If some technical conditions are satisfied, then this lower bound is positive. In…

We present an implementation and an experimental evaluation of an algorithm that, given a connected graph G (represented by adjacency lists), estimates in sublinear time, with a relative error, the Minimum Spanning Tree Weight of G; the…

We study the following problem for critical site percolation on the triangular lattice. Let A and B be sites on a horizontal line e separated by distance n. Consider, in the half-plane above e, the lowest occupied crossing R from the…

We study the minimum cut problem in the presence of uncertainty and show how to apply a novel robust optimization approach, which aims to exploit the similarity in subsequent graph measurements or similar graph instances, without posing any…

The (standard) Brownian web is a collection of coalescing one- dimensional Brownian motions, starting from each point in space and time. It arises as the diffusive scaling limit of a collection of coalescing random walks. We show that it is…

Given a road network modelled as a planar straight-line graph $G=(V,E)$ with $|V|=n$, let $(u,v)\in V\times V$, the shortest path (distance) between $u,v$ is denoted as $\delta_G(u,v)$. Let $\delta(G)=\max_{(u,v)}\delta_G(u,v)$, for…

We present an algorithm for computing upper bounds for the Online Bin Stretching Problem with a small number of bins and the resulting upper bounds for 4, 5 and 6 bins. This both demonstrates the possibility of using computer search for…

We propose polynomial-time algorithms to minimise labelled Markov chains whose transition probabilities are not known exactly, have been perturbed, or can only be obtained by sampling. Our algorithms are based on a new notion of an…

This article provides an overview of the performance and the theoretical complexity of approximate and exact methods for various versions of the shortest path problem. The proposed study aims to improve the resolution of a more general…

A general class of Bayesian lower bounds when the underlying loss function is a Bregman divergence is demonstrated. This class can be considered as an extension of the Weinstein--Weiss family of bounds for the mean squared error and relies…

We describe an algorithm for computing boundary slopes of 2-bridge links. As an example, we work out the slopes of the links obtained by 1/k surgery on one component of the Borromean rings. A table of all boundary slopes of all 2-bridge…

We present a general method for obtaining strong bounds for discrete optimization problems that is based on a concept of branching duality. It can be applied when no useful integer programming model is available, and we illustrate this with…

This is a short survey on existing upper and lower bounds on the probability of the union of a finite number of events using partial information given in terms of the individual or pairwise event probabilities (or their sums). New proofs…

We compute the maximal Thurston-Bennequin number for a Legendrian two-bridge knot or oriented two-bridge link in standard contact R^3, by showing that the upper bound given by the Kauffman polynomial is sharp. As an application, we present…