114 citations · 348 across the 55 of their papers we have counts for
60 papers
Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation
Ziwei Su, Raghu Pasupathy, Yingchieh Yeh +1
We propose a general purpose confidence interval procedure (CIP) for statistical functionals constructed using data from a stationary time series. The procedures we propose are bas…
Asymptotic product-form steady-state for generalized Jackson networks in multi-scale heavy traffic
J. G. Dai, Peter Glynn, Yaosheng Xu
We prove that under a multi-scale heavy traffic condition, the stationary distribution of the scaled queue length vector process in any generalized Jackson network has a product-fo…
Gaussian Limits for Scheduled Traffic with Super-Heavy Tailed Perturbations
Victor F. Araman, Peter W. Glynn
A scheduled arrival model is one in which customers are scheduled to arrive at constant interarrival times, but each customer actual arrival time is perturbed from her scheduled ar…
Stability of a Queue Fed by Scheduled Traffic at Critical Loading
Victor F. Araman, Peter W. Glynn
Consider the workload process for a single server queue with deterministic service times in which customers arrive according to a scheduled traffic process. A scheduled arrival seq…
Minimax Optimal Estimation of Stability Under Distribution Shift
Hongseok Namkoong, Yuanzhe Ma, Peter W. Glynn
The performance of decision policies and prediction models often deteriorates when applied to environments different from the ones seen during training. To ensure reliable operatio…
Risk-Sensitive Markov Decision Processes with Long-Run CVaR Criterion
Li Xia, Peter W. Glynn
CVaR (Conditional Value at Risk) is a risk metric widely used in finance. However, dynamically optimizing CVaR is difficult since it is not a standard Markov decision process (MDP)…