We study a sequential variance reduction technique for Monte Carlo estimation of functionals in Markov Chains. The method is based on designing sequential control variates using s...
First-order Markov models have been successfully applied to many problems, for example in modeling sequential data using Markov chains, and modeling control problems using the Mar...
We study the profit-maximization problem of a monopolistic market-maker who sets two-sided prices in an asset market. The sequential decision problem is hard to solve because the ...
We consider the design of systems for sequential decentralized detection, a problem that entails several interdependent choices: the choice of a stopping rule (specifying the samp...
XuanLong Nguyen, Martin J. Wainwright, Michael I. ...