We are interested in computing tail probabilities for the maxima of Gaussian random fields. In this paper, we discuss two special cases: random fields defined over a finite number...
Let be a finite index set and k 1 a given integer. Let further S []k be an arbitrary family of k element subsets of . Consider a (binomial) random subset p of , where p = (pi :...
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
Several optimization techniques are hindered by uncertainties about the control flow in a program, which can generally not be determined by static methods at compile time. We pres...