In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities ("Greeks"). These estimators are ba...
We consider on-line density estimation with the multivariate Gaussian distribution. In each of a sequence of trials, the learner must posit a mean µ and covariance Σ; the learner...
—This paper introduces a new high-rate analysis of the multiple description scalar quantizer (MDSQ) with balanced descriptions. The analysis provides insight into the structure o...
— For decoding low-density parity-check (LDPC) codes on discrete memoryless channels, a method to quantize messages and to find message-passing decoding functions for the variab...
Brian M. Kurkoski, Kazuhiko Yamaguchi, Kingo Kobay...
Generalized multiple description coding (GMDC) is source coding for multiple channels such that a decoder which receives an arbitrary subset of the channels may produce a useful r...
Vivek K. Goyal, Jelena Kovacevic, Ramon Arean, Mar...