38 citations · 105 across the 18 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
math.OC2019★ 4 cited
Discrete-time risk-aware optimal switching with non-adapted costs
Randall Martyr, John Moriarty, Magnus Perninge
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existe…
math.PR2019
A Metropolis-class sampler for targets with non-convex support
John Moriarty, Jure Vogrinc, Alessandro Zocca
We aim to improve upon the exploration of the general-purpose random walk Metropolis algorithm when the target has non-convex support , by reusing proposals…