Zobrazeno 1 - 10
of 98
pro vyhledávání: '"Dieker, A. B."'
Autor:
Dieker, A. B., Kim, Seong-Hee
We consider a ranking and selection (R&S) problem with the goal to select a system with the largest or smallest expected performance measure among a number of simulated systems with a pre-specified probability of correct selection. Fully sequential p
Externí odkaz:
http://arxiv.org/abs/2104.08784
Autor:
Dieker, A. B., Lagos, Guido
In this paper we derive weak limits for the discretization errors of sampling barrier-hitting and extreme events of Brownian motion by using the Euler discretization simulation method. Specifically, we consider the Euler discretization approximation
Externí odkaz:
http://arxiv.org/abs/1708.04356
We consider the random field M(t)=\sup_{n\geq 1}\big\{-\log A_{n}+X_{n}(t)\big\}\,,\qquad t\in T\, for a set $T\subset \mathbb{R}^{m}$, where $(X_{n})$ is an iid sequence of centered Gaussian random fields on $T$ and $0
Externí odkaz:
http://arxiv.org/abs/1609.06001
Autor:
Dieker, A. B., Saliola, Franco
We compute the eigenvalues and eigenspaces of random-to-random Markov chains. We use a family of maps which reveal a remarkable recursive structure of the eigenspaces, yielding an explicit and effective construction of all eigenbases starting from ba
Externí odkaz:
http://arxiv.org/abs/1509.08580
Autor:
Dieker, A. B., Vempala, Santosh
Stochastic billiards can be used for approximate sampling from the boundary of a bounded convex set through the Markov Chain Monte Carlo (MCMC) paradigm. This paper studies how many steps of the underlying Markov chain are required to get samples (ap
Externí odkaz:
http://arxiv.org/abs/1410.5775
Autor:
Dieker, A. B., Mikosch, T.
We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable changes of measure.
Externí odkaz:
http://arxiv.org/abs/1406.5624
We consider GI/Ph/n+M parallel-server systems with a renewal arrival process, a phase-type service time distribution, n homogenous servers, and an exponential patience time distribution with positive rate. We show that in the Halfin-Whitt regime, the
Externí odkaz:
http://arxiv.org/abs/1306.5346
Autor:
Dieker, A. B., Suk, Tonghoon
We develop diffusion approximations for parallel-queueing systems with the randomized longest-queue-first scheduling algorithm by establishing new mean-field limit theorems as the number of buffers $n\to\infty$. We achieve this by allowing the number
Externí odkaz:
http://arxiv.org/abs/1306.5347
Autor:
Dieker, Antonius B., Shin, Jinwoo
We construct a generic, simple, and efficient scheduling policy for stochastic processing networks, and provide a general framework to establish its stability. Our policy is randomized and prioritized: with high probability it prioritizes jobs which
Externí odkaz:
http://arxiv.org/abs/1210.0258
Autor:
Dieker, A. B., Yakir, B.
Publikováno v:
Bernoulli 2014, Vol. 20, No. 3, 1600-1619
This paper gives a new representation of Pickands' constants, which arise in the study of extremes for a variety of Gaussian processes. Using this representation, we resolve the long-standing problem of devising a reliable algorithm for estimating th
Externí odkaz:
http://arxiv.org/abs/1206.5840