Zobrazeno 1 - 10
of 18
pro vyhledávání: '"Pierre Nyquist"'
Publikováno v:
ACM Transactions on Modeling and Computer Simulation. 32:1-25
This paper considers importance sampling for estimation of rare-event probabilities in a specific collection of Markovian jump processes used for e.g. modelling of credit risk. Previous attempts at designing importance sampling algorithms have result
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::26b3cb801b3c9ed1ce34bad84086560f
https://doi.org/10.1145/3502432
https://doi.org/10.1145/3502432
We introduce and study the basic properties of two ergodic stochastic control problems associated with the quasistationary distribution (QSD) of a diffusion process $X$ relative to a bounded domain. The two problems are in some sense dual, with one d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::351580dc91ed10b85845806d3e7d2326
Publikováno v:
Springer Proceedings in Mathematics & Statistics ISBN: 9783030434649
Given the important role latent variable models play, for example in statistical learning, there is currently a growing need for efficient Monte Carlo methods for conducting inference on the latent variables given data. Recently, Desjardins et al. (J
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33e3a298b80d6f14175555026e7bb71d
https://doi.org/10.1007/978-3-030-43465-6_14
https://doi.org/10.1007/978-3-030-43465-6_14
Autor:
Pierre Nyquist
Publikováno v:
Journal of Applied Probability. 54:490-506
Importance sampling has become an important tool for the computation of extreme quantiles and tail-based risk measures. For estimation of such nonlinear functionals of the underlying distribution, the standard efficiency analysis is not necessarily a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2b4b55ab59c7a81e3508e21bfecc2891
https://doi.org/10.1017/jpr.2017.13
https://doi.org/10.1017/jpr.2017.13
Publikováno v:
Applied Mathematics and Optimization, 78(1), 103-144. Springer
Parallel tempering, or replica exchange, is a popular method for simulating complex systems. The idea is to run parallel simulations at different temperatures, and at a given swap rate exchange configurations between the parallel simulations. From th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::19ead6d6768575b92f1e0d26a5e6d004
https://doi.org/10.1007/s00245-017-9401-9
https://doi.org/10.1007/s00245-017-9401-9
Publikováno v:
arXiv, 2019:1909.02054v1. Cornell University Library
Potential Analysis, 58(1), 71-121. Springer
Potential Analysis, 58(1), 71-121. Springer
We study a system of hard rods of finite size in one space dimension, which move by Brownian noise while avoiding overlap. We consider a scaling in which the number of particles tends to infinity while the volume fraction of the rods remains constant
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e6b3eb28eda04801373ac7ddfb99c2b
In the present paper we examine the risk-sensitive and sampling issues associated with the problem of calculating generalized averages. By combining thermodynamic integration, stationary phase Monte Carlo, and infinite swapping techniques, we develop
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4c36b345be03ea2f253a15fcad8df088
http://arxiv.org/abs/1610.09968
http://arxiv.org/abs/1610.09968
Autor:
Amarjit Budhiraja, Pierre Nyquist
Publikováno v:
J. Appl. Probab. 52, no. 4 (2015), 1097-1114
Shot-noise processes are used in applied probability to model a variety of physical systems in, for example, teletraffic theory, insurance and risk theory, and in the engineering sciences. In this paper we prove a large deviation principle for the sa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69bd7971fa95c138e82631301cd5d5eb
Autor:
Pierre Nyquist
Importance sampling has become an important tool for the computation of tail-based risk measures. Since such quantities are often determined mainly by rare events standard Monte Carlo can be inefficient and importance sampling provides a way to speed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9c40c6e9f991111cd8d04c9f6ba55e61
Autor:
Pierre Nyquist, Henrik Hult
Importance sampling is a popular method for efficient computation of various properties of a distribution such as probabilities, expectations, quantiles etc. The output of an importance sampling algorithm can be represented as a weighted empirical me
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::554a8cce47c8695e5dba16a9dd8b60a7