315 research outputs found

    European Options Sensitivities via Monte Carlo Techniques

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    Differentiability of product measures

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    A Smoothed Perturbation Analysis Approach to Parisian Options

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    Automated negotiation with Gaussian process-based utility models

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    Designing agents that can efficiently learn and integrate user's preferences into decision making processes is a key challenge in automated negotiation. While accurate knowledge of user preferences is highly desirable, eliciting the necessary information might be rather costly, since frequent user interactions may cause inconvenience. Therefore, efficient elicitation strategies (minimizing elicitation costs) for inferring relevant information are critical. We introduce a stochastic, inverse-ranking utility model compatible with the Gaussian Process preference learning framework and integrate it into a (belief) Markov Decision Process paradigm which formalizes automated negotiation processes with incomplete information. Our utility model, which naturally maps ordinal preferences (inferred from the user) into (random) utility values (with the randomness reflecting the underlying uncertainty), provides the basic quantitative modeling ingredient for automated (agent-based) negotiation

    Preference Learning in Automated Negotiation Using Gaussian Uncertainty Models

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    In this paper, we propose a general two-objective Markov Decision Process (MDP) modeling paradigm for automated negotiation with incomplete information, in which preference elicitation alternates with negotiation actions, with the objective to optimize negotiation outcomes. The key ingredient in our MDP framework is a stochastic utility model governed by a Gaussian law, formalizing the agent's belief (uncertainty) over the user's preferences. Our belief model is fairly general and can be updated in real time as new data becomes available, which makes it a fundamental modeling tool

    Towards Machine Wald

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    The past century has seen a steady increase in the need of estimating and predicting complex systems and making (possibly critical) decisions with limited information. Although computers have made possible the numerical evaluation of sophisticated statistical models, these models are still designed \emph{by humans} because there is currently no known recipe or algorithm for dividing the design of a statistical model into a sequence of arithmetic operations. Indeed enabling computers to \emph{think} as \emph{humans} have the ability to do when faced with uncertainty is challenging in several major ways: (1) Finding optimal statistical models remains to be formulated as a well posed problem when information on the system of interest is incomplete and comes in the form of a complex combination of sample data, partial knowledge of constitutive relations and a limited description of the distribution of input random variables. (2) The space of admissible scenarios along with the space of relevant information, assumptions, and/or beliefs, tend to be infinite dimensional, whereas calculus on a computer is necessarily discrete and finite. With this purpose, this paper explores the foundations of a rigorous framework for the scientific computation of optimal statistical estimators/models and reviews their connections with Decision Theory, Machine Learning, Bayesian Inference, Stochastic Optimization, Robust Optimization, Optimal Uncertainty Quantification and Information Based Complexity.Comment: 37 page

    Hunt for new phenomena using large jet multiplicities and missing transverse momentum with ATLAS in 4.7 fb−1 of s√=7TeV proton-proton collisions

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    Results are presented of a search for new particles decaying to large numbers of jets in association with missing transverse momentum, using 4.7 fb−1 of pp collision data at s√=7TeV collected by the ATLAS experiment at the Large Hadron Collider in 2011. The event selection requires missing transverse momentum, no isolated electrons or muons, and from ≥6 to ≥9 jets. No evidence is found for physics beyond the Standard Model. The results are interpreted in the context of a MSUGRA/CMSSM supersymmetric model, where, for large universal scalar mass m 0, gluino masses smaller than 840 GeV are excluded at the 95% confidence level, extending previously published limits. Within a simplified model containing only a gluino octet and a neutralino, gluino masses smaller than 870 GeV are similarly excluded for neutralino masses below 100 GeV

    Measurements of Higgs boson production and couplings in diboson final states with the ATLAS detector at the LHC

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    Measurements are presented of production properties and couplings of the recently discovered Higgs boson using the decays into boson pairs, H →γ γ, H → Z Z∗ →4l and H →W W∗ →lνlν. The results are based on the complete pp collision data sample recorded by the ATLAS experiment at the CERN Large Hadron Collider at centre-of-mass energies of √s = 7 TeV and √s = 8 TeV, corresponding to an integrated luminosity of about 25 fb−1. Evidence for Higgs boson production through vector-boson fusion is reported. Results of combined fits probing Higgs boson couplings to fermions and bosons, as well as anomalous contributions to loop-induced production and decay modes, are presented. All measurements are consistent with expectations for the Standard Model Higgs boson

    Standalone vertex nding in the ATLAS muon spectrometer

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    A dedicated reconstruction algorithm to find decay vertices in the ATLAS muon spectrometer is presented. The algorithm searches the region just upstream of or inside the muon spectrometer volume for multi-particle vertices that originate from the decay of particles with long decay paths. The performance of the algorithm is evaluated using both a sample of simulated Higgs boson events, in which the Higgs boson decays to long-lived neutral particles that in turn decay to bbar b final states, and pp collision data at √s = 7 TeV collected with the ATLAS detector at the LHC during 2011
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