3 papers
math.PR2025
Efficient Importance Sampling for Wrong Exit Probabilities over Combinatorially Many Rare Regions
Yanglei Song, Georgios Fellouris
We consider importance sampling for estimating the probability that a light-tailed -dimensional random walk exits through one of many disjoint rare-event regions before reaching…
math.ST2025
Optimal Decision Rules for Composite Binary Hypothesis Testing under Neyman-Pearson Framework
Yanglei Song, Berkan Dulek, Sinan Gezici
The composite binary hypothesis testing problem within the Neyman-Pearson framework is considered. The goal is to maximize the expectation of a nonlinear function of the detection…
math.ST2025
Minimax Rate-Optimal Algorithms for High-Dimensional Stochastic Linear Bandits
Jingyu Liu, Yanglei Song
We study the stochastic linear bandit problem with multiple arms over rounds, where the covariate dimension may exceed , but each arm-specific parameter vector is -sp…