Search Results - subject:"large deviations theory"

Practical nonparametric sampling strategies for quantile-based ordinal optimization

Shin, Dongwook; Broadie, Mark; Zeevi, Assaf - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 2, pp. 752-768

Persistent link: https://www.econbiz.de/10013361348

From data to decisions : distributionally robust optimization is optimal

Parys, Bart P. G. van; Mohajerin Esfahani, Peyman; … - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3387-3402

Persistent link: https://www.econbiz.de/10012606903

Hidden Hamiltonian cycle recovery via linear programming

Bagaria, Vivek; Ding, Jian; Tse, David; Wu, Yihong; Xu, … - In: Operations research 68 (2020) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10012172286

Indifference pricing for contingent claims : large deviations effects

Robertson, Scott; Spiliopoulos, Konstantinos - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 335-371

Persistent link: https://www.econbiz.de/10011969147

Classification error analysis in stereo vision

Gross, Eitan - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 1-10

Depth perception in humans is obtained by comparing images generated by the two eyes to each other. Given the highly stochastic nature of neurons in the brain, this comparison requires maximizing the mutual information (MI) between the neuronal responses in the two eyes by distributing the...

Persistent link: https://www.econbiz.de/10011264529

Escape dynamics: A continuous-time approximation

Kolyuzhnov, Dmitri; Bogomolova, Anna; Slobodyan, Sergey - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 161-183

relatively well. We express reservations regarding the applicability of any approach based on large deviations theory to … dimension without resort to large deviations theory. This procedure delivers mean escape time results that fit the simulations … closely. We explain inapplicability of large deviations theory by insufficient averaging near the point of self …

Persistent link: https://www.econbiz.de/10010730088

Escape dynamics : a continuous-time approximation

Kolyuzhnov, Dmitri; Bogomolova, Anna; Slobodyan, Sergey - In: Journal of economic dynamics & control 38 (2014), pp. 161-183

Persistent link: https://www.econbiz.de/10010387850

Escape Dynamics: A Continuous—Time Approximation

Kolyuzhnov, Dmitri; Bogomolova, Anna; Slobodyan, Sergey - Center for Economic Research and Graduate Education and … - 2006

constant gain. This approach is based on applying results of continuous—time version of large deviations theory to the … considerations and formulae generate much better mean escape time results than the large deviations theory. We explain it by …

Persistent link: https://www.econbiz.de/10005086597

Large deviations and multinomial probit choice

Dokumacı, Emin; Sandholm, William H. - In: Journal of Economic Theory 146 (2011) 5, pp. 2151-2158

of m i.i.d. shocks, and use tools from large deviations theory to characterize the rate of decay of the probability of …

Persistent link: https://www.econbiz.de/10011042985

Upper bounds of the Gärtner-Ellis theorem for the sequences of random variables

Nyrhinen, Harri - In: Statistics & Probability Letters 73 (2005) 1, pp. 57-60

Let Y1,Y2,... be real valued random variables. The Gärtner-Ellis theorem gives sufficient conditions for a large deviations principle for the sequence {Yn/n}. Briefly, the theorem provides sufficient conditions for exponential upper bounds for the probabilities P(Yn/n[set membership, variant]F)...

Persistent link: https://www.econbiz.de/10005223513