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Wasserstein distances are metrics on probability distributions inspired by the problem of optimal mass transportation. Roughly speaking, they measure the minimal effort required to reconfigure the probability mass of one distribution in order to recover th ...
Dynamic optimization problems affected by uncertainty are ubiquitous in many application domains. Decision makers typically model the uncertainty through random variables governed by a probability distribution. If the distribution is precisely known, then ...
How many samples are sufficient to guarantee that the eigenvectors and eigenvalues of the sample covariance matrix are close to those of the actual covariance matrix? For a wide family of distributions, including distributions with finite second moment and ...
We derive sharp probability bounds on the tails of a product of symmetric non-negative random variables using only information about their first two moments. If the covariance matrix of the random variables is known exactly, these bounds can be computed nu ...
In this paper, we present and analyze an event distribution system for brain-computer interfaces. Events are commonly used to mark and describe incidents during an experiment and are therefore critical for later data analysis or immediate real-time process ...
Institute of Electrical and Electronics Engineers2017
We consider two prominent mechanisms for the electricity market; the pay-as-bid mechanism, currently applied in certain control reserve markets, and the proposed Vickrey- Clarke-Groves mechanism, an established auction mechanism used in advertising and spe ...
The goal of scenario reduction is to approximate a given discrete distribution with another discrete distribution that has fewer atoms. We distinguish continuous scenario reduction, where the new atoms may be chosen freely, and discrete scenario reduction, ...
We study a robust monopoly pricing problem with a minimax regret objective, where a seller endeavors to sell multiple goods to a single buyer, only knowing that the buyer's values for the goods range over a rectangular uncertainty set. We interpret this pr ...
Risk assessment of dam's running status is an important part of dam management. A data-driven method based on monitored displacement data has been applied in risk assessment, owing to its easy operation and real-time analysis. However, previous data-driven ...
We investigate the effect of limiting the number of reserve prices on the revenue in a probabilistic single item auction. In the model considered, bidders compete for an impression drawn from a known distribution of possible types. The auction mechanism se ...