相关论文: Monte Carlo Techniques for Approximating the Myers…

Simulation studies are used to evaluate and compare the properties of statistical methods in controlled experimental settings. In most cases, performing a simulation study requires knowledge of the true value of the parameter, or estimand,…

We study an evolutionary prisoner's dilemma game with two layered graphs, where the lower layer is the physical infrastructure on which the interactions are taking place and the upper layer represents the connections for the strategy…

We study a cooperative game setting where the grand coalition may change since the initial players can invite more players. We focus on monotone games, i.e., adding more players to the grand coalition is not harmful. We model the invitation…

This paper is a broad and accessible survey of the methods we have at our disposal for Monte Carlo gradient estimation in machine learning and across the statistical sciences: the problem of computing the gradient of an expectation of a…

Population Monte Carlo (PMC) sampling methods are powerful tools for approximating distributions of static unknowns given a set of observations. These methods are iterative in nature: at each step they generate samples from a proposal…

Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to…

Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance sampling techniques presented by Vazquez-Abad…

Policy-guided Monte Carlo is an adaptive method to simulate classical interacting systems. It adjusts the proposal distribution of the Metropolis-Hastings algorithm to maximize the sampling efficiency, using a formalism inspired by…

Markov Chain Monte Carlo (MCMC) requires to evaluate the full data likelihood at different parameter values iteratively and is often computationally infeasible for large data sets. In this paper, we propose to approximate the log-likelihood…

Purpose: In recent years Monte-Carlo sampling methods, such as Monte Carlo tree search, have achieved tremendous success in model free reinforcement learning. A combination of the so called upper confidence bounds policy to preserve the…

Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…

We consider a randomized algorithm for the unique games problem, using independent multinomial probabilities to assign labels to the vertices of a graph. The expected value of the solution obtained by the algorithm is expressed as a…

This paper presents a tool for addressing a key component in many algorithms for planning robot trajectories under uncertainty: evaluation of the safety of a robot whose actions are governed by a closed-loop feedback policy near a nominal…

Markov chain Monte Carlo algorithms are used to simulate from complex statistical distributions by way of a local exploration of these distributions. This local feature avoids heavy requests on understanding the nature of the target, but it…

Computing systems interacting with real-world processes must safely and reliably process uncertain data. The Monte Carlo method is a popular approach for computing with such uncertain values. This article introduces a framework for…

We introduce a class of cooperative games induced by weighted directed graphs. Specifically, the coalitional value combines an internal interaction term given by the induced subgraph game with an external component based on minimal incoming…

Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice paradigm, we propose an allocation criterion for the variance of the sum of $n$ possibly dependent random variables. This criterion, the…

In cooperative game theory, the primary focus is the equitable allocation of payoffs or costs among agents. However, in the practical applications of cooperative games, accurately representing games is challenging. In such cases, using an…

Monte Carlo simulations are based on the manipulation of random numbers to evaluate probable outcomes, with applicability in a variety of different fields. By assigning probabilities, which can be determined a priori, to various events, it…

We introduce a stacking version of the Monte Carlo algorithm in the context of option pricing. Introduced recently for aeronautic computations, this simple technique, in the spirit of current machine learning ideas, learns control variates…