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Register a new userA new approach to mutual information
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A new expression as a certain asymptotic limit via discrete micro-states of permutations is provided to the mutual information of both continuous and discrete random variables.
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This review paper provides an introduction of Markov chains and their convergence rates which is an important and interesting mathematical topic which also has important applications for very widely used Markov chain Monte Carlo (MCMC) algorithm. We first discuss eigenvalue analysis for Markov chains on finite state spaces. Then, using the coupling construction, we prove two quantitative bounds based on minorization condition and drift conditions, and provide descriptive and intuitive examples to showcase how these theorems can be implemented in practice. This paper is meant to provide a general overview of the subject and spark interest in new Markov chain research areas.
In this paper we develop a unified approach for solving a wide class of sequential selection problems. This class includes, but is not limited to, selection problems with no-information, rank-dependent rewards, and considers both fixed as well as random problem horizons. The proposed framework is based on a reduction of the original selection problem to one of optimal stopping for a sequence of judiciously constructed independent random variables. We demonstrate that our approach allows exact and efficient computation of optimal policies and various performance metrics thereof for a variety of sequential selection problems, several of which have not been solved to date.
We propose a geometric approach for bounding average stopping times for stopped random walks in discrete and continuous time. We consider stopping times in the hyperspace of time indexes and stochastic processes. Our techniques relies on exploring geometric properties of continuity or stopping regions. Especially, we make use of the concepts of convex sets and supporting hyperplane. Explicit formulae and efficiently computable bounds are obtained for average stopping times. Our techniques can be applied to bound average stopping times involving random vectors, nonlinear stopping boundary, and constraints of time indexes. Moreover, we establish a stochastic characteristic of convex sets and generalize Jensens inequality, Walds equations and Lordens inequality, which are useful for investigating average stopping times.
We describe a new framework of a sublinear expectation space and the related notions and results of distributions, independence. A new notion of G-distributions is introduced which generalizes our G-normal-distribution in the sense that mean-uncertainty can be also described. W present our new result of central limit theorem under sublinear expectation. This theorem can be also regarded as a generalization of the law of large number in the case of mean-uncertainty.
A new method to measure nonlinear dependence between two variables is described using mutual information to analyze the separate linear and nonlinear components of dependence. This technique, which gives an exact value for the proportion of linear dependence, is then compared with another common test for linearity, the Brock, Dechert and Scheinkman (BDS) test.
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