...

not available

0

In a previous paper we introduced a new variance-reduction technique for regenerative simulations based on permuting regeneration cycles. In this paper we apply this idea to large classes of other estimators. In particular, we derive permuted versions of likelihood-ratio derivative estimators for steady-state performance measures, importance-sampling estima-tors of the mean cumulative reward un...

We describe an application of using a change of sampling density to get easier access to rare events during numeric simulations (this is called importance sampling). Our emphasis is on the derivation of the change of density instead of the algorithmic details. We work a small example to make the technique concrete.

A reliable motion estimation algorithm must function under a wide range of conditions. One regime, which we consider here, is the case of moving objects with contours but no visible texture. Tracking distinctive features such as corners can disambiguate the motion of contours, but spurious features such as T-junctions can be badly misleading. It is difficult to determine the reliability of moti...

In this paper we address reinforcement learning problems with continuous state-action spaces. We propose a new algorithm, tted natural actor-critic (FNAC), that extends the work in [1] to allow for general function approximation and data reuse. We combine the natural actor-critic architecture [1] with a variant of tted value iteration using importance sampling. The method thus obtained combines...

This paper relates computational commutative algebra to tree classification with binary covariates. With a single classification variable, properties of uniqueness of a tree polynomial are established. In a binary multivariate context, it is shown how trees for many response variables can be made into a single ideal of polynomials for computations. Finally, a new sequential algorithm is propose...

In this article, we propose a nonparametric adaptive importance sampling (NAIS) algorithm to estimate rare event quantile. Indeed, Importance Sampling (IS) is a well-known adapted random simulation technique. It consists in generating random weighted samples from an auxiliary distribution rather than the distribution of interest. The optimization of this auxiliary distribution is often very dif...

Modern stochastic optimization methods often rely on uniform sampling which is agnostic to the underlying characteristics of the data. This might degrade the convergence by yielding estimates that suffer from a high variance. A possible remedy is to employ non-uniform importance sampling techniques, which take the structure of the dataset into account. In this work, we investigate a recently pr...