3 papers
math.ST2021
Product-form estimators: exploiting independence to scale up Monte Carlo
Juan Kuntz, Francesca R. Crucinio, Adam M. Johansen
We introduce a class of Monte Carlo estimators that aim to overcome the rapid growth of variance with dimension often observed for standard estimators by exploiting the target's in…
math.PR2019
Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
Juan Kuntz, Philipp Thomas, Guy-Bart Stan +1
Computing the stationary distributions of a continuous-time Markov chain (CTMC) involves solving a set of linear equations. In most cases of interest, the number of equations is in…
math.OC2018
Approximations of countably-infinite linear programs over bounded measure spaces
Juan Kuntz, Philipp Thomas, Guy-Bart Stan +1
We study a class of countably-infinite-dimensional linear programs (CILPs) whose feasible sets are bounded subsets of appropriately defined spaces of measures. The optimal value, o…