Abstract. Many applications rely on the security of their random number generator. It is therefore essential that such devices be extensively tested for malfunction. The purpose of...
We consider the problem of efficient estimation of first passage time probabilities for a multidimensional random walk with t distributed increments, via simulation. In addition...
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...
From a computational perspective, there is a close connection between various probabilistic reasoning tasks and the problem of counting or sampling satisfying assignments of a pro...
This paper introduces disjunctive decomposition for two-stage mixed 0-1 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting plane...