相关论文: On systems of quotas based on bankruptcy with a pr…

This paper studies value iteration for infinite horizon contracting Markov decision processes under convexity assumptions and when the state space is uncountable. The original value iteration is replaced with a more tractable form and the…

Historically used in settings where the outcome is rare or data collection is expensive, outcome-dependent sampling is relevant to many modern settings where data is readily available for a biased sample of the target population, such as…

Multi-armed bandit methods have been used for dynamic experiments particularly in online services. Among the methods, thompson sampling is widely used because it is simple but shows desirable performance. Many thompson sampling methods for…

Motivated by the desire to bridge the gap between the microscopic description of price formation (agent-based modeling) and the stochastic differential equations approach used classically to describe price evolution at macroscopic time…

We introduce a class of acquisition functions for sample selection that leads to faster convergence in applications related to Bayesian experimental design and uncertainty quantification. The approach follows the paradigm of active…

We consider an urn model with multiple drawing and random time-dependent addition matrix. The model is very general with respect to previous literature: the number of sampled balls at each time-step is random, the addition matrix has…

Policy learning using historical observational data is an important problem that has found widespread applications. Examples include selecting offers, prices, advertisements to send to customers, as well as selecting which medication to…

A new approach of obtaining stratified random samples from statistically dependent random variables is described. The proposed method can be used to obtain samples from the input space of a computer forward model in estimating expectations…

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…

Staffing rules are an essential management tool in service industries for meeting target service levels. The square-root safety rule, based on the Poisson arrival assumption, has been commonly used. However, empirical findings suggest that…

Truncated sum rules have been used to calculate the fundamental limits of the nonlinear susceptibilities; and, the results have been consistent with all measured molecules. However, given that finite-state models result in inconsistencies…

We model stochastic choice as environment-dependent switching among a small library of deterministic decision rules. A Random Rule Model generates menu-level choice probabilities via named, interpretable rules weighted by observable menu…

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman…

Bankruptcy prediction is very important for all the organization since it affects the economy and rise many social problems with high costs. There are large number of techniques have been developed to predict the bankruptcy, which helps the…

In this paper, we are presenting a method for estimation of market parameters modeled by jump diffusion process. The method proposed is based on Gibbs sampler, while the market parameters are the drift, the volatility, the jump intensity…

We study the approximation of $\mathbb{E}f(X_T)$ by a Monte Carlo algorithm, where $X$ is the solution of a stochastic differential equation and $f$ is a given function. We introduce a new variance reduction method, which can be viewed as a…

We consider elections where the voters come one at a time, in a streaming fashion, and devise space-efficient algorithms which identify an approximate winning committee with respect to common multiwinner proportional representation voting…

The sequential sampling of populations with unequal probabilities and with replacement in a closed population is a recurrent problem in ecology and evolution. Many of these questions can be reformulated as urn problems, often as special…

This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…

Data scientists often draw on multiple relational data sources for analysis. A standard assumption in learning and approximate query answering is that the data is a uniform and independent sample of the underlying distribution. To avoid the…