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» Optimizing the CVaR via Sampling
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AAAI
2015
4 years 4 months ago
Optimizing the CVaR via Sampling
Conditional Value at Risk (CVaR) is a prominent risk measure that is being used extensively in various domains. We develop a new formula for the gradient of the CVaR in the form o...
Aviv Tamar, Yonatan Glassner, Shie Mannor
ORL
2008
124views more  ORL 2008»
9 years 7 months ago
Sample average approximation of expected value constrained stochastic programs
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
Wei Wang, Shabbir Ahmed
ECAI
2004
Springer
10 years 1 months ago
On-Line Search for Solving Markov Decision Processes via Heuristic Sampling
In the past, Markov Decision Processes (MDPs) have become a standard for solving problems of sequential decision under uncertainty. The usual request in this framework is the compu...
Laurent Péret, Frédérick Garc...
INFOCOM
2003
IEEE
10 years 1 months ago
Detecting Network Intrusions via Sampling: A Game Theoretic Approach
In this paper, we consider the problem of detecting an intruding packet in a communication network. Detection is accomplished by sampling a portion of the packets transiting selec...
Murali S. Kodialam, T. V. Lakshman
ICASSP
2009
IEEE
10 years 2 months ago
Jitter compensation in sampling via polynomial least squares estimation
Sampling error due to jitter, or noise in the sample times, affects the precision of analog-to-digital converters in a signi´Čücant, nonlinear fashion. In this paper, a polynomial...
Daniel S. Weller, Vivek K. Goyal
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