8 citations · 23 across the 13 of their papers we have counts for
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A weak convergence approach to large deviations for stochastic approximations
Henrik Hult, Adam Lindhe, Pierre Nyquist +1
The theory of stochastic approximations form the theoretical foundation for studying convergence properties of many popular recursive learning algorithms in statistics, machine lea…
A large deviation principle for the empirical measures of Metropolis-Hastings chains
Federica Milinanni, Pierre Nyquist
To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant me…
Large deviations for the empirical measure of the zig-zag process
Joris Bierkens, Pierre Nyquist, Mikola C. Schlottke
The zig-zag process is a piecewise deterministic Markov process in position and velocity space. The process can be designed to have an arbitrary Gibbs type marginal probability den…
Importance sampling for a simple Markovian intensity model using subsolutions
Boualem Djehiche, Henrik Hult, Pierre Nyquist
This paper considers importance sampling for estimation of rare-event probabilities in a specific collection of Markovian jump processes used for e.g. modelling of credit risk. Pre…
A large deviations analysis of certain qualitative properties of parallel tempering and infinite swapping algorithms
J. D. Doll, Paul Dupuis, Pierre Nyquist
Parallel tempering, or replica exchange, is a popular method for simulating complex systems. The idea is to run parallel simulations at different temperatures, and at a given swap…
Large deviations for multidimensional state-dependent shot noise processes
Amarjit Budhiraja, Pierre Nyquist
Shot noise processes are used in applied probability to model a variety of physical systems in, for example, teletraffic theory, insurance and risk theory and in the engineering sc…
Moderate deviations for importance sampling estimators of risk measures
Pierre Nyquist
Importance sampling has become an important tool for the computation of tail-based risk measures. Since such quantities are often determined mainly by rare events standard Monte Ca…
Large deviations for weighted empirical measures arising in importance sampling
Henrik Hult, Pierre Nyquist
Importance sampling is a popular method for efficient computation of various properties of a distribution such as probabilities, expectations, quantiles etc. The output of an impor…