Efficient estimation of tail probabilities involving heavy tailed random variables is amongst the most challenging problems in Monte-Carlo simulation. In the last few years, appli...
For a large class of examples arising in statistical physics known as attractive spin systems (e.g., the Ising model), one seeks to sample from a probability distribution π on an...
A large class of stochastic optimization problems can be modeled as minimizing an objective function f that depends on a choice of a vector x ∈ X, as well as on a random external...
A new, general approach is described for approximate inference in first-order probabilistic languages, using Markov chain Monte Carlo (MCMC) techniques in the space of concrete po...
We study approximations of optimization problems with probabilistic constraints in which the original distribution of the underlying random vector is replaced with an empirical dis...