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07/17/2023
Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation
We propose a general purpose confidence interval procedure (CIP) for sta...
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12/13/2022
Minimax Optimal Estimation of Stability Under Distribution Shift
The performance of decision policies and prediction models often deterio...
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10/17/2022
Risk-Sensitive Markov Decision Processes with Long-Run CVaR Criterion
CVaR (Conditional Value at Risk) is a risk metric widely used in finance...
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10/11/2022
The Typical Behavior of Bandit Algorithms
We establish strong laws of large numbers and central limit theorems for...
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08/30/2022
A New Truncation Algorithm for Markov Chain Equilibrium Distributions with Computable Error Bounds
This paper introduces a new algorithm for numerically computing equilibr...
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06/23/2022
On Convergence of a Truncation Scheme for Approximating Stationary Distributions of Continuous State Space Markov Chains and Processes
In the analysis of Markov chains and processes, it is sometimes convenie...
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03/29/2022
On Convergence of General Truncation-Augmentation Schemes for Approximating Stationary Distributions of Markov Chains
In the analysis of Markov chains and processes, it is sometimes convenie...
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09/28/2021
The Fragility of Optimized Bandit Algorithms
Much of the literature on optimal design of bandit algorithms is based o...
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07/06/2021
Distributed stochastic optimization with large delays
One of the most widely used methods for solving large-scale stochastic o...
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06/14/2021
Distributionally Robust Martingale Optimal Transport
We study the problem of bounding path-dependent expectations (within any...
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06/04/2021
Unbiased Optimal Stopping via the MUSE
We propose a new unbiased estimator for estimating the utility of the op...
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05/19/2021
Diffusion Approximations for Thompson Sampling
We study the behavior of Thompson sampling from the perspective of weak ...
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03/12/2021
On Incorporating Forecasts into Linear State Space Model Markov Decision Processes
Weather forecast information will very likely find increasing applicatio...
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04/14/2020
Sequential Batch Learning in Finite-Action Linear Contextual Bandits
We study the sequential batch learning problem in linear contextual band...
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05/29/2019
Multivariate Distributionally Robust Convex Regression under Absolute Error Loss
This paper proposes a novel non-parametric multidimensional convex regre...
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04/22/2019
Unbiased Multilevel Monte Carlo: Stochastic Optimization, Steady-state Simulation, Quantiles, and Other Applications
We present general principles for the design and analysis of unbiased Mo...
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09/07/2018
Change-Point Testing and Estimation for Risk Measures in Time Series
We investigate methods of change-point testing and confidence interval c...
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12/26/2013