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29
Importance sampling, large deviations, and differential games
 Stoch. and Stoch. Reports
"... A heuristic that has emerged in the area of importance sampling is that the changes of measure used to prove large deviation lower bounds give good performance when used for importance sampling. Recent work, however, has suggested that the heuristic is incorrect in many situations. The perspective p ..."
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Cited by 69 (18 self)
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. The result indicates that an adaptive change of measure, rather than a static change of measure, is what the large deviations analysis truly suggests. The proofs utilize a controltheoretic approach to large deviations, which naturally leads to the construction of asymptotically optimal adaptive schemes
Stochastic resonance: nonrobust and robust tuning notions
, 2003
"... We consider a dynamical system describing the diusive motion of a particle in a double well potential with a periodic perturbation of very small frequency, and an additive stochastic perturbation of amplitude ". It is in stochastic resonance if the solution trajectories amplify the small perio ..."
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Cited by 3 (3 self)
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periodic perturbation in a `best possible way'. Systems of this type rst appeared in simple energy balance models designed for a qualitative explanation of global glacial cycles. Large deviations theory provides a lower bound for the proportion of the amplitude and the logarithm of the period above
The Shape of the Loss Curve and the Impact of LongRange Dependence on Network Performance
"... Abstract: Empirical studies showed that many types of network traffic exhibit longrange dependence (LRD), i.e., burstiness on a wide variety of timescales. Given that traffic streams are indeed endowed with LRD properties, a next question is: what is their impact on network performance? To assess ..."
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FIFO queue, with the queueing resources scaled accordingly. Large deviations analysis says that the (steadystate) overflow probability decays exponentially in n; we call the corresponding decay rate, as a function of the buffer size B, the loss curve. To get insight into the influence
Scaling of a random walk on a supercritical contact process
"... A proof is provided of a strong law of large numbers for a onedimensional random walk in a dynamic random environment given by a supercritical contact process in equilibrium. The proof is based on a coupling argument that traces the spacetime cones containing the infection clusters generated by si ..."
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Cited by 2 (1 self)
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environment, contact process, strong law of large numbers, functional central limit theorem, large deviation principle, spacetime cones, clusters of infections, coupling, regeneration times. 1
Version 17 Lurching Toward Chernobyl Dysfunctions of RealTime Computation
, 2008
"... Cognitive biological structures, social organizations, and computing machines operating in real time are subject to Rate Distortion Theorem constraints driven by the homology between information source uncertainty and free energy density. This exposes the unitary structure/environment system to a ..."
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relentless entropic torrent compounded by sudden large deviations causing increased average distortion between intent and impact, particularly as demands escalate. The phase transitions characteristic of information phenomena suggest that, rather than graceful decay under increasing load, these structures
Version 18 Lurching Toward Chernobyl Dysfunctions of RealTime Computation
, 2008
"... Cognitive biological structures, social organizations, and computing machines operating in real time are subject to Rate Distortion Theorem constraints driven by the homology between information source uncertainty and free energy density. This exposes the unitary structure/environment system to a ..."
Abstract
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relentless entropic torrent compounded by sudden large deviations causing increased average distortion between intent and impact, particularly as demands escalate. The phase transitions characteristic of information phenomena suggest that, rather than graceful decay under increasing load, these structures
Quantitative Economics 5 (2014), 675–704 17597331/20140675 Optimal fiscal policy with heterogeneous agents
"... The aim of this paper is to study the relationship between the intertemporal behavior of taxes and wealth distribution. The optimaltaxation literature has often concentrated on representativeagent models, in which it is optimal to smooth distortionary taxes. When tax liabilities are unevenly spre ..."
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spread in the population, deviations from tax smoothing lead to interest rate changes that redistribute wealth. When a “bad shock ” hits the economy, the optimal policy will then call for smaller or larger deficits, depending on the political power of different groups. This effect is particularly
Novel Bernsteinlike Concentration Inequalities for the Missing Mass
"... We are concerned with obtaining novel concentration inequalities for the missing mass, i.e. the total probability mass of the outcomes not observed in the sample. We not only derive for the first time distributionfree Bernsteinlike deviation bounds with sublinear exponents in deviation size f ..."
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We are concerned with obtaining novel concentration inequalities for the missing mass, i.e. the total probability mass of the outcomes not observed in the sample. We not only derive for the first time distributionfree Bernsteinlike deviation bounds with sublinear exponents in deviation size
Outliers in clinical chemistry qualitycontrol schemes
 Clin. Chem
, 1979
"... Results submitted to largescale qualitycontrol schemes are commonly judged against the mean and standard deviation (SD) of the results from other laboratories. It is desirable to ignore outlying values in estimating this mean and standard deviation, and results more than 2.5 or 3 SD from the mean ..."
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Cited by 3 (0 self)
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Results submitted to largescale qualitycontrol schemes are commonly judged against the mean and standard deviation (SD) of the results from other laboratories. It is desirable to ignore outlying values in estimating this mean and standard deviation, and results more than 2.5 or 3 SD from
OPTIMAL ENVIRONMENTAL TAXES: EFFECTS OF POLLUTION DECAY AND CONSUMER AWARENESS
"... Abstract. The effects of nonlinear decay and consumer preferences are analyzed in a setting where optimal extraction of nonrenewable resources is combined with stock externalities. The control is exercised via a corrective tax and the time horizon is divided into two periods: an initial phase with ..."
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with extraction and a terminal phase without extraction. The time horizon with extraction is determined endogenously. The model does not assume separability of the objective function. The purpose here is to demonstrate that relatively simple deviations from the standard assumptions, such as linear decay
Results 1  10
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29