The “Montagnes Russes” algorithm for finding the global minima of a lower semi-continuous function (thus involving state constraints) is a descent algorithm applied to an auxiliary function whose local and global minima are the global minima of the original function. Although this auxiliary...

We study the stability of subcritical multi-class queueing networks with feedback allowed and a work-conserving head-of-the-line service discipline. Assuming that the fluid limit model associated to the queueing network satisfies a state space collapse condition, we show that the queueing...

This paper is concerned with parameter estimation in linear and non-linear Itô type stochastic differential equations using Markov chain Monte Carlo (MCMC) methods. The MCMC methods studied in this paper are the Metropolis–Hastings and Hamiltonian Monte Carlo (HMC) algorithms. In these kind...