Journal ArticleDOI
Probability and measure, by Patrick Billingsley. Pp 515. £15·20. 1979. SBN 0 471 03173 9 (Wiley)
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This article is published in The Mathematical Gazette.The article was published on 1980-12-01. It has received 134 citations till now. The article focuses on the topics: Measure (physics).read more
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Proceedings Article
A Distributional Perspective on Reinforcement Learning
TL;DR: This paper argues for the fundamental importance of the value distribution: the distribution of the random return received by a reinforcement learning agent, and designs a new algorithm which applies Bellman's equation to the learning of approximate value distributions.
Journal ArticleDOI
Costly Monitoring, Loan Contracts, and Equilibrium Credit Rationing
TL;DR: This paper developed a model with asymmetrically informed agents and costly monitoring of loan contracts, where an equilibrium can exhibit credit rationing, and the aggregate quantity of loans and equilibrium interest rates respond differently depending on whether there is rationing in equilibrium.
Proceedings Article
Private Convex Empirical Risk Minimization and High-dimensional Regression
TL;DR: In this article, the authors consider differentially private algorithms for convex empirical risk minimization (ERM) problems, in which one aims to find solutions (e.g., regression parameters) with few nonzero coefficients.
Book ChapterDOI
On the detection of anomalous system call arguments
TL;DR: In this article, learning-based anomaly detection systems build models of the expected behavior of applications by analyzing events that are generated during their normal operation, and subsequent events are analyzed to identify deviations, given the assumption that anomalies usually represent evidence of an attack.
Journal ArticleDOI
Dynamic stochastic programmingfor asset-liability management
TL;DR: The CALM model, designed to deal with uncertainty affecting both assets and liabilities (in the form of scenario dependent payments or borrowing costs) is presented, which is based on the current version of MSLiP.
References
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Journal ArticleDOI
EVPI-Based Importance Sampling Solution Procedures for Multistage Stochastic Linear Programmes on Parallel MIMD Architectures
TL;DR: The nodal parallelization technique is presented in this article, as it balances load more efficiently than its alternative, and achieves near linear speedup on a variety of multicomputing platforms: problems with few variables and constraints per node do not gain from this parallelisation.
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On a generalization of the Jensen-Shannon divergence and the JS-symmetrization of distances relying on abstract means.
TL;DR: This work presents a generalization of the Jensen-Shannon (JS) divergence using abstract means which yields closed-form expressions when the mean is chosen according to the parametric family of distributions.
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Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming
TL;DR: Under general assumptions it is shown that both an expected value of perfect information (EVPI) process and the corresponding marginal EVPI process are nonanticipative nonnegative supermartingales.
Journal ArticleDOI
Pricing Kernel Monotonicity and Conditional Information
TL;DR: In this paper, a nonparametric estimator of the pricing kernel is proposed to reflect the information available to investors who set option prices, and the estimator outperforms current techniques.