A guiding principle in the efficient estimation of rare-event probabilities by Monte Carlo is that importance sampling based on the change of measure suggested by a large deviations analysis can ...

I consider a standard specification of the Bayesian linear model and derive necessary and sufficient conditions for the variance of the case-deletion importance sampling weights to be finite. The ...

Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, we extend them to jump processes. Our approach relies on a change in the ...

Quants often need to develop algorithmic decision rules for selecting execution strategies based on trade characteristics. While A-B testing is commonly used to evaluate potential decision rules, it ...

A very important aspect of memory design is yield analysis which takes into account the performance of SRAM cells in the presence of process variations. This project involves a study of algorithms for ...