114 citations · 348 across the 55 of their papers we have counts for
10 papers · 1 filter
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)…
The Typical Behavior of Bandit Algorithms
Lin Fan, Peter W. Glynn
We establish strong laws of large numbers and central limit theorems for the regret of two of the most popular bandit algorithms: Thompson sampling and UCB. Here, our characterizat…
A New Truncation Algorithm for Markov Chain Equilibrium Distributions with Computable Error Bounds
Alex Infanger, Peter W. Glynn
This paper introduces a new algorithm for numerically computing equilibrium (i.e. stationary) distributions for Markov chains and Markov jump processes with either a very large fin…
A Short Proof of a Convex Representation for Stationary Distributions of Markov Chains with an Application to State Space Truncation
Zeyu Zheng, Alex Infanger, Peter W. Glynn
In an influential paper, Courtois and Semal (1984) establish that when is an irreducible substochastic matrix for which , then the stationary di…