Appendix. Title. Petr Lachout MFF UK, ÚTIA AV ČR
|
|
- Jerome Hunter
- 5 years ago
- Views:
Transcription
1 Title ROBUST - Kráĺıky - únor, 2010
2 Definice Budeme se zabývat optimalizačními úlohami. Uvažujme metrický prostor X a funkci f : X R = [, + ]. Zajímá nás minimální hodnota funkce f na X ϕ (f ) = inf {f (x) x X }. (1)
3 Definice Hodnota + vznikne přepisem podmínek A X, za nichž minimalizujeme funkci g : A R. Tedy úlohu přepisujeme na tvar kde inf {g(x) x A} inf {f (x) x X }, f (x) = g(x) pro x A, = + pro x A.
4 Definice Funkce, které nabývají pouze hodnoty + nebo jejichž minimální hodnota je, nejsou z hlediska optimalizace příliš zajímavé. V dalším se proto omezíme pouze na funkce, které jsou vlastní, tj. pro něž ϕ (f ) R.
5 Definice Definujeme množinu všech minimálních řešení množiny všech ε-minimálních řešení a úrovňové množiny Φ (f ) = {x X f (x) = ϕ (f )}, (2) Ψ (f ; ε) = {x X f (x) ϕ (f ) + ε} ε R, (3) lev (f ) = {x X f (x) } R. (4) Potřebujeme také vhodnou míru vzdálenosti mezi dvěmi množinami. Takovou vhodnou mírou je excess z množiny A X do množiny B X kde d je metrika na X. excess (A, B) = sup inf d (a, b), (5) a A b B
6 Definice Aproximativním řešením minimalizace funkce f na množině X budeme rozumět θ X, které splňuje bud nebo pro předem zadané ε či. θ Ψ (f ; ε) θ lev (f ),
7 Definice Zajímáme se o posloupnost minimalizačních úloh minimalizovat funkci f t na množině X pro t N. Zajímá nás asymptotické chování příslušných aproximativních řešení. Jejich konvergence a řád konvergence.
8 Definice-posloupnost Posloupností aproximativních řešení chápeme posloupnost θ t X, t N, která splňuje bud, pro předem zadaná ε t, t N splňují θ t Ψ (f t ; ε t ), nebo pro předem zadaná t, t N splňují θ t lev t (f t ).
9 Náhodnost Nyní přidejme závislost sledovaných úloh na náhodě. Budeme uvažovat pravděpodobnostní prostor (Ω, A, Prob) a pro t N Případně f t : X Ω R, ϕ (f t (, ω)) R ω Ω, ε t : Ω R. t : Ω R.
10 Náhodnost Nyní musíme zobecnit, vysvětlit pojem posloupnosti aproximativních řešení pro případ, kdy úlohy závisí na náhodě. Budeme uvažovat posloupnost zobrazení ˆθ t : Ω X, t N. Máme několik možností, jaké vlastnosti, kvalitu od ní vyžadovat.
11 Náhodnost-1 Posloupnost ˆθ t : Ω X, t N nazveme náhodná ε-minimální řešení, pokud ˆθ t (ω) Ψ (f t (, ω); ε t (ω)) ω Ω t N, náhodná úrovňově-minimální řešení, pokud ˆθ t (ω) lev t(ω) (f t (, ω)) ω Ω t N.
12 Náhodnost-2 Posloupnost ˆθ t : Ω X, t N nazveme skoro jistě ε-minimální řešení, pokud existuje Ω 0 Ω takové, že Prob (Ω 0 ) = 1 a ˆθ t (ω) Ψ (f t (, ω); ε t (ω)) ω Ω 0 t N, skoro jistě úrovňově-minimální řešení, pokud existuje Ω 0 Ω takové, že Prob (Ω 0 ) = 1 a ˆθ t (ω) lev t(ω) (f t (, ω)) ω Ω 0 t N.
13 Náhodnost-3 Posloupnost ˆθ t : Ω X, t N nazveme striktně asymptotická ε-minimální řešení, pokud existuje Ω 0 Ω takové, že Prob (Ω 0 ) = 1 a ω Ω 0 ˆθ t (ω) Ψ (f t (, ω); ε t (ω)) t N dostatečně velká, striktně asymptotická úrovňově-minimální řešení, pokud existuje Ω 0 Ω takové, že Prob (Ω 0 ) = 1 a ω Ω 0 ˆθ t (ω) lev t(ω) (f t (, ω)) t N dostatečně velká.
14 Náhodnost-4 Posloupnost ˆθ t : Ω X, t N nazveme slabě asymptotická ε-minimální řešení, pokud lim t + Prob ( ω Ω : ˆθt (ω) Ψ (f t (, ω); ε t (ω)) slabě asymptotická úrovňově-minimální řešení, pokud ( ) lim Prob ω Ω : ˆθt (ω) lev t(ω) (f t (, ω)) t + ) = 1, = 1.
15 Konvergence Cílem je ukázat asymptotické chování náhodných aproximativních řešení. Jelikož však nepředpokládáme měřitelnost, je teorie konvergncí trochu složitější. Budeme uvažovat čtyři typy konvergence: as, as, v Prob. a v distribuci. Definice těchto konvergencí, jejich vlastnosti a vztahy jsou uvedeny v [VaartWellner(1996)]. Definition of convergences
16 Konvergence Je třeba si uvědomit, že stačí vyšetřovat pouze náhodná ε-minimální řešení. Všechny ostatní typy lze na ně převést.
17 Převod Nejdříve si povšimněme přímého vztahu mezi ε-optimálním řešením a level-optimálním řešením. Ψ (h; ε) = lev ϕ(h)+ε (h), (6) lev (h) = Ψ (h; ϕ (h)). (7)
18 Konstrukce Uvažujme posloupnost zobrazení ˆθ t : Ω X, t N a ε t : Ω R +,0, t N. Zvolme libovolně, ale pevně, α t : Ω R + s vlastností lim t + α t (ω) = 0 pro každé ω Ω. Nyní dokážeme vybrat ξ t : Ω X, t N tak, že Položme dále ξ t (ω) Ψ (f t (, ω); ε t (ω) + α t (ω)) ω Ω, t N. η t (ω) = ˆθ t (ω) když ˆθ t (ω) Ψ (f t (, ω); ε t (ω)) = ξ t (ω) jinak. Konstrukce dává posloupnost η t, t N, která splňuje η t (ω) Ψ (f t (, ω); ε t (ω) + α t (ω)) ω Ω, t N. Nyní porovnáme asymptotické vlastnosti ˆθ t, t N a η t, t N.
19 Konstrukce-vztahy Lemma Necht ˆθt : Ω X jsou skoro jistě ε-minimální řešení nebo striktně asymptotická ε-minimální řešení. Pak, existuje Ω 0 Ω, Prob (Ω 0 ) = 1 tak, že pro každé ω Ω 0 ˆθ t (ω) = η t (ω) t N dostatečně velká. Následně pro každé ω Ω 0, ) Ls (ˆθt (ω), t N = Ls (η t (ω), t N).
20 Konstrukce-vztahy Označme ε(ω) = lim sup t + ε t (ω). Když vezmeme náhodná zobrazení τ t : Ω R, pak pro každé ω Ω 0 [ ] lim τ t(ω) f t (ˆθ t (ω), ω) f t (η t (ω), ω) = 0, t + [ ( ) lim τ t(ω) excess {ˆθ t (ω)}, Ψ (f t (, ω); ε(ω)) t + excess ({η t (ω)}, Ψ (f t (, ω); ε(ω))) ] = 0.
21 Konstrukce-vztahy Lemma Necht ˆθt : Ω X jsou slabě asymptotická ε-minimální řešení. Pak, ) lim Prob (ˆθt = η t = 1. t +
22 Konstrukce-vztahy Označme ε(ω) = lim sup t + ε t (ω). Následně, když vezmeme náhodná zobrazení τ t : Ω R, pak ] Prob τ t [f t (ˆθ t ) f t (η t ) 0, t + ( ) τ t [excess {ˆθ t }, Ψ (f t ; ε) excess ({η t }, Ψ (f t ; ε)) ] Prob t + 0.
23 Appendix-Topology We have to recall a few from topological terminology. Definition For a sequence η n, n N in a metric space W, we denote the set of its cluster points by Ls (η n, n N), i.e. Ls (η n, n N) = { ψ W subsequence s.t. lim } η n k = ψ. k + Back
24 Appendix-Topology Definition For a sequence A n, n N subsets of a metric space W, we denote the set of its cluster points by Ls (A n, n N), i.e. Ls (A n, n N) = { ψ W } subsequence A nk and a sequence η k A nk s.t. lim η k = ψ. k +
25 Appendix-Topology Definition We say that a sequence η n, n N in a metric space W is compact if each its subsequence possesses at least one cluster point. Compact sequence in metric space possesses an equivalent description. Lemma Let η n, n N be a sequence in a metric space W. Then, the following statements are equivalent: 1. The sequence is compact. 2. There is a compact L W tak, že η n L for all n N. 3. The set {η n n N} Ls (η n, n N) is compact.
26 Appendix-Topology Lemma Let η n, n N be a sequence in a metric space W and K W be a compact. If for every open set G K there is an n G N tak, že η n G for all n N, n n G. Then the sequence is compact and Ls (η n, n N) K.
27 Appendix-Nonmeasurable mappings This auxiliary section contains all necessary theory na nonmeasurable mappings. Definitions and relations are taken from [VaartWellner(1996)], chapter 1.9., p All proofs can be found in [VaartWellner(1996)], also. Definition For a set B Ω its outer probability is defined as Prob (B) = inf {Prob (A) B A, A A} and the inner probability is Prob (B) = Prob (Ω \ B).
28 Appendix-Nonmeasurable mappings Definition For a mapping T : Ω R the outer integral is defined as E [T ] = inf { E [U] U T, U : Ω R measurable and E [U] exists } and the inner integral is E [T ] = E [ T ].
29 Appendix-Nonmeasurable mappings Lemma For any mapping T : Ω R there exists a measurable funkce T : Ω R with 1. T T ; 2. T U a.s. for every measurable U : Ω R with U T. The funkce T is called a minimal measurable majorant of T and is not uniquely defined. The funkce T = ( T ) is called a maximal measurable minorant of T.
30 Appendix-Nonmeasurable mappings Lemma For any T : Ω R 1. E [T ] = E [T ] if one of these integral exists; 2. E [T ] = E [T ] if one of these integral exists.
31 Definition Let X be a metric space with metric d and X n, X : Ω X, n N be arbitrary maps. X n, n N converges almost surely to X if ( ) Prob lim d (X n, X ) = 0 = 1. n + We use notation X n as n + X. X n, n N converges almost uniformly to X if for every ε > 0 there exists a measurable set A ε Ω with Prob (A ε ) 1 ε and d (X n, X ) 0 uniformly na A ε, i.e. sup ω Aε d (X n (ω), X (ω)) 0. We use notation X n au n + X.
32 Definition X n, n N converges outer almost surely to X if d (X n, X ) We use notation X n as n + 0 for some versions of d (X n, X ). as n + X. X n, n N converges in outer probability to X if for every ε > 0 Prob (d (X n, X ) > ε) 0. We use notation X n Prob n + X. Random approximate solutions
33 Appendix-Nonmeasurable mappings There are known relations between all of these notions of convergences. Lemma Let X be a metric space, X : Ω X be Borel measurable and X n : Ω X, n N be a sequence of arbitrary maps. Then, X n X n as n + X implies X n as n + X if and only if X n Prob n + X and X n au n + X. as n + X ;
34 Definition Let X be a metric space. The sequence X n : Ω X, n N of arbitrary maps is called asymptotically measurable if E [f (X n )] E [f (X n )] n + 0 for every bounded continuous funkce f : X R.
35 Definition Let X be a metric space. The sequence X n : Ω X, n N of arbitrary maps is called strongly asymptotically measurable if f (X n ) f (X n ) as n + 0 for every bounded continuous funkce f : X R.
36 Appendix-Nonmeasurable mappings Definition Let X be a metric space, X n : Ω X, n N be an asymptotically measurable sequence and X : Ω X be random variable. We say that X n, n N converges in distribution to X if E [f (X n )] E [f (X )] n + for every bounded continuous funkce f : X R. D We use notation X n X. n +
37 Appendix-Nonmeasurable mappings Lemma Let X be a metric space, X : Ω X be Borel measurable and separable, and X n : Ω X, n N be a sequence of arbitrary maps. Then, as X if and only if X n n + asymptotically measurable. X n as n + X and X n, n N is strongly
38 Appendix-Nonmeasurable mappings Lemma Let X be a metric space, X : Ω X be Borel measurable and separable, and X n : Ω X, n N be a sequence of arbitrary maps, which is asymptotically measurable. Then, X n as n + X implies X n Prob n + X.
39 Appendix-Nonmeasurable mappings Lemma Let X be a metric space, X n : Ω X, n N be an asymptotically measurable sequence and X : Ω X. Then If X n X n X n If X n D n + X then X is measurable, i.e. it is a random variable. as n + X implies X n Prob n + X implies X n D n + X. D n + X. D n + X and X c is nonrandom then X n Prob n + X.
40 Portmanteau lemma Lemma Let X be a metric space, X n : Ω X, n N be an asymptotically measurable sequence and X : Ω X be random variable. Then the following is equivalent: X n D n + X. E [f (X n )] n + E [f (X )] f C b (X ). E [f (X n )] n + E [f (X )] f C b (X ).
41 Portmanteau lemma lim inf Prob (X n G) Prob (X G) G G (X ). n + lim sup Prob (X n F ) Prob (X F ) F F (X ). n + Random approximate solutions
42 References Hoffmann-Jørgensen, J.: Probability with a View Towards to Statistics I, II. Chapman and Hall, New York, Kelley, J.L.: General Topology. D. van Nostrand Comp., New York, Lachout, P.: Stability of stochastic optimization problem - nonmeasurable case. Kybernetika 44,2(2008), Lachout, P.: Stochastic optimization sensitivity without measurability. In: Proceedings of MMEI held in Herĺany (2007), Lachout, P.; Liebscher, E.; Vogel, S.: Strong convergence of estimators as ε n -minimizers of optimization problems. Ann. Inst. Statist. Math. 57,2(2005),
43 References Lachout, P.; Vogel, S.: On Continuous Convergence and Epi-convergence of Random Functions. Part I: Theory and Relations. Kybernetika 39,1(2003), Robinson, S.M.: Analysis of sample-path optimization. Math. Oper. Res. 21,3(1996), Rockafellar, T.; Wets, R.J.-B.: Variational Analysis. Springer-Verlag, Berlin, Vajda, I.; Janžura, M.: On asymptotically optimal estimates for general observations. Stochastic Processes and their Applications 72,1(1997), van der Vaart, A.W.; Wellner, J.A.: Weak Convergence and Empirical Processes Springer, New York, 1996.
ROBUST - September 10-14, 2012
Charles University in Prague ROBUST - September 10-14, 2012 Linear equations We observe couples (y 1, x 1 ), (y 2, x 2 ), (y 3, x 3 ),......, where y t R, x t R d t N. We suppose that members of couples
More informationUniversal Confidence Sets for Solutions of Optimization Problems
Universal Confidence Sets for Solutions of Optimization Problems Silvia Vogel Abstract We consider random approximations to deterministic optimization problems. The objective function and the constraint
More informationEmpirical Processes: General Weak Convergence Theory
Empirical Processes: General Weak Convergence Theory Moulinath Banerjee May 18, 2010 1 Extended Weak Convergence The lack of measurability of the empirical process with respect to the sigma-field generated
More informationKybernetika. Jan Havrda; František Charvát Quantification method of classification processes. Concept of structural a-entropy
Kybernetika Jan Havrda; František Charvát Quantification method of classification processes. Concept of structural a-entropy Kybernetika, Vol. 3 (1967), No. 1, (30)--35 Persistent URL: http://dml.cz/dmlcz/125526
More informationStatistics 581 Revision of Section 4.4: Consistency of Maximum Likelihood Estimates Wellner; 11/30/2001
Statistics 581 Revision of Section 4.4: Consistency of Maximum Likelihood Estimates Wellner; 11/30/2001 Some Uniform Strong Laws of Large Numbers Suppose that: A. X, X 1,...,X n are i.i.d. P on the measurable
More informationAW -Convergence and Well-Posedness of Non Convex Functions
Journal of Convex Analysis Volume 10 (2003), No. 2, 351 364 AW -Convergence Well-Posedness of Non Convex Functions Silvia Villa DIMA, Università di Genova, Via Dodecaneso 35, 16146 Genova, Italy villa@dima.unige.it
More informationEconometrica Supplementary Material
Econometrica Supplementary Material SUPPLEMENT TO USING INSTRUMENTAL VARIABLES FOR INFERENCE ABOUT POLICY RELEVANT TREATMENT PARAMETERS Econometrica, Vol. 86, No. 5, September 2018, 1589 1619 MAGNE MOGSTAD
More informationClosest Moment Estimation under General Conditions
Closest Moment Estimation under General Conditions Chirok Han and Robert de Jong January 28, 2002 Abstract This paper considers Closest Moment (CM) estimation with a general distance function, and avoids
More informationEpiconvergence and ε-subgradients of Convex Functions
Journal of Convex Analysis Volume 1 (1994), No.1, 87 100 Epiconvergence and ε-subgradients of Convex Functions Andrei Verona Department of Mathematics, California State University Los Angeles, CA 90032,
More informationIntroduction to Empirical Processes and Semiparametric Inference Lecture 08: Stochastic Convergence
Introduction to Empirical Processes and Semiparametric Inference Lecture 08: Stochastic Convergence Michael R. Kosorok, Ph.D. Professor and Chair of Biostatistics Professor of Statistics and Operations
More informationRANDOM APPROXIMATIONS IN STOCHASTIC PROGRAMMING - A SURVEY
Random Approximations in Stochastic Programming 1 Chapter 1 RANDOM APPROXIMATIONS IN STOCHASTIC PROGRAMMING - A SURVEY Silvia Vogel Ilmenau University of Technology Keywords: Stochastic Programming, Stability,
More informationDELTA METHOD, INFINITE DIMENSIONAL
DELTA METHOD, INFINITE DIMENSIONAL Let T n be a sequence of statistics with values in some linear topological space D converging to some θ D. Examples are the empirical distribution function in the Skorohod
More informationIntroduction to Empirical Processes and Semiparametric Inference Lecture 09: Stochastic Convergence, Continued
Introduction to Empirical Processes and Semiparametric Inference Lecture 09: Stochastic Convergence, Continued Michael R. Kosorok, Ph.D. Professor and Chair of Biostatistics Professor of Statistics and
More informationThe Golden Ratio and Signal Quantization
The Golden Ratio and Signal Quantization Tom Hejda, tohecz@gmail.com based on the work of Ingrid Daubechies et al. Doppler Institute & Department of Mathematics, FNSPE, Czech Technical University in Prague
More informationGoodness-of-Fit Tests for Time Series Models: A Score-Marked Empirical Process Approach
Goodness-of-Fit Tests for Time Series Models: A Score-Marked Empirical Process Approach By Shiqing Ling Department of Mathematics Hong Kong University of Science and Technology Let {y t : t = 0, ±1, ±2,
More informationTHEOREMS, ETC., FOR MATH 515
THEOREMS, ETC., FOR MATH 515 Proposition 1 (=comment on page 17). If A is an algebra, then any finite union or finite intersection of sets in A is also in A. Proposition 2 (=Proposition 1.1). For every
More informationClosest Moment Estimation under General Conditions
Closest Moment Estimation under General Conditions Chirok Han Victoria University of Wellington New Zealand Robert de Jong Ohio State University U.S.A October, 2003 Abstract This paper considers Closest
More informationMeasurable Choice Functions
(January 19, 2013) Measurable Choice Functions Paul Garrett garrett@math.umn.edu http://www.math.umn.edu/ garrett/ [This document is http://www.math.umn.edu/ garrett/m/fun/choice functions.pdf] This note
More informationStochastic Convergence, Delta Method & Moment Estimators
Stochastic Convergence, Delta Method & Moment Estimators Seminar on Asymptotic Statistics Daniel Hoffmann University of Kaiserslautern Department of Mathematics February 13, 2015 Daniel Hoffmann (TU KL)
More informationA convergence result for an Outer Approximation Scheme
A convergence result for an Outer Approximation Scheme R. S. Burachik Engenharia de Sistemas e Computação, COPPE-UFRJ, CP 68511, Rio de Janeiro, RJ, CEP 21941-972, Brazil regi@cos.ufrj.br J. O. Lopes Departamento
More informationBerge s Maximum Theorem
Berge s Maximum Theorem References: Acemoglu, Appendix A.6 Stokey-Lucas-Prescott, Section 3.3 Ok, Sections E.1-E.3 Claude Berge, Topological Spaces (1963), Chapter 6 Berge s Maximum Theorem So far, we
More informationWeak convergence. Amsterdam, 13 November Leiden University. Limit theorems. Shota Gugushvili. Generalities. Criteria
Weak Leiden University Amsterdam, 13 November 2013 Outline 1 2 3 4 5 6 7 Definition Definition Let µ, µ 1, µ 2,... be probability measures on (R, B). It is said that µ n converges weakly to µ, and we then
More informationExtremal I-Limit Points Of Double Sequences
Applied Mathematics E-Notes, 8(2008), 131-137 c ISSN 1607-2510 Available free at mirror sites of http://www.math.nthu.edu.tw/ amen/ Extremal I-Limit Points Of Double Sequences Mehmet Gürdal, Ahmet Şahiner
More informationSection 45. Compactness in Metric Spaces
45. Compactness in Metric Spaces 1 Section 45. Compactness in Metric Spaces Note. In this section we relate compactness to completeness through the idea of total boundedness (in Theorem 45.1). We define
More informationTakens embedding theorem for infinite-dimensional dynamical systems
Takens embedding theorem for infinite-dimensional dynamical systems James C. Robinson Mathematics Institute, University of Warwick, Coventry, CV4 7AL, U.K. E-mail: jcr@maths.warwick.ac.uk Abstract. Takens
More informationON THE UNIQUENESS PROPERTY FOR PRODUCTS OF SYMMETRIC INVARIANT PROBABILITY MEASURES
Georgian Mathematical Journal Volume 9 (2002), Number 1, 75 82 ON THE UNIQUENESS PROPERTY FOR PRODUCTS OF SYMMETRIC INVARIANT PROBABILITY MEASURES A. KHARAZISHVILI Abstract. Two symmetric invariant probability
More informationKeywords. 1. Introduction.
Journal of Applied Mathematics and Computation (JAMC), 2018, 2(11), 504-512 http://www.hillpublisher.org/journal/jamc ISSN Online:2576-0645 ISSN Print:2576-0653 Statistical Hypo-Convergence in Sequences
More informationSUMMARY OF RESULTS ON PATH SPACES AND CONVERGENCE IN DISTRIBUTION FOR STOCHASTIC PROCESSES
SUMMARY OF RESULTS ON PATH SPACES AND CONVERGENCE IN DISTRIBUTION FOR STOCHASTIC PROCESSES RUTH J. WILLIAMS October 2, 2017 Department of Mathematics, University of California, San Diego, 9500 Gilman Drive,
More informationEfficiency of Profile/Partial Likelihood in the Cox Model
Efficiency of Profile/Partial Likelihood in the Cox Model Yuichi Hirose School of Mathematics, Statistics and Operations Research, Victoria University of Wellington, New Zealand Summary. This paper shows
More informationSOME CONVERSE LIMIT THEOREMS FOR EXCHANGEABLE BOOTSTRAPS
SOME CONVERSE LIMIT THEOREMS OR EXCHANGEABLE BOOTSTRAPS Jon A. Wellner University of Washington The bootstrap Glivenko-Cantelli and bootstrap Donsker theorems of Giné and Zinn (990) contain both necessary
More informationEstimation of Dynamic Regression Models
University of Pavia 2007 Estimation of Dynamic Regression Models Eduardo Rossi University of Pavia Factorization of the density DGP: D t (x t χ t 1, d t ; Ψ) x t represent all the variables in the economy.
More informationEstimation of the Bivariate and Marginal Distributions with Censored Data
Estimation of the Bivariate and Marginal Distributions with Censored Data Michael Akritas and Ingrid Van Keilegom Penn State University and Eindhoven University of Technology May 22, 2 Abstract Two new
More informationUniversity of California San Diego and Stanford University and
First International Workshop on Functional and Operatorial Statistics. Toulouse, June 19-21, 2008 K-sample Subsampling Dimitris N. olitis andjoseph.romano University of California San Diego and Stanford
More informationSDS : Theoretical Statistics
SDS 384 11: Theoretical Statistics Lecture 1: Introduction Purnamrita Sarkar Department of Statistics and Data Science The University of Texas at Austin https://psarkar.github.io/teaching Manegerial Stuff
More informationAsymptotic inference for a nonstationary double ar(1) model
Asymptotic inference for a nonstationary double ar() model By SHIQING LING and DONG LI Department of Mathematics, Hong Kong University of Science and Technology, Hong Kong maling@ust.hk malidong@ust.hk
More informationApplied Analysis (APPM 5440): Final exam 1:30pm 4:00pm, Dec. 14, Closed books.
Applied Analysis APPM 44: Final exam 1:3pm 4:pm, Dec. 14, 29. Closed books. Problem 1: 2p Set I = [, 1]. Prove that there is a continuous function u on I such that 1 ux 1 x sin ut 2 dt = cosx, x I. Define
More informationON THE CONTINUITY OF GLOBAL ATTRACTORS
ON THE CONTINUITY OF GLOBAL ATTRACTORS LUAN T. HOANG, ERIC J. OLSON, AND JAMES C. ROBINSON Abstract. Let Λ be a complete metric space, and let {S λ ( ) : λ Λ} be a parametrised family of semigroups with
More informationA Concise Course on Stochastic Partial Differential Equations
A Concise Course on Stochastic Partial Differential Equations Michael Röckner Reference: C. Prevot, M. Röckner: Springer LN in Math. 1905, Berlin (2007) And see the references therein for the original
More informationOPTIMAL TRANSPORTATION PLANS AND CONVERGENCE IN DISTRIBUTION
OPTIMAL TRANSPORTATION PLANS AND CONVERGENCE IN DISTRIBUTION J.A. Cuesta-Albertos 1, C. Matrán 2 and A. Tuero-Díaz 1 1 Departamento de Matemáticas, Estadística y Computación. Universidad de Cantabria.
More informationAn introduction to Mathematical Theory of Control
An introduction to Mathematical Theory of Control Vasile Staicu University of Aveiro UNICA, May 2018 Vasile Staicu (University of Aveiro) An introduction to Mathematical Theory of Control UNICA, May 2018
More informationA SKOROHOD REPRESENTATION THEOREM WITHOUT SEPARABILITY PATRIZIA BERTI, LUCA PRATELLI, AND PIETRO RIGO
A SKOROHOD REPRESENTATION THEOREM WITHOUT SEPARABILITY PATRIZIA BERTI, LUCA PRATELLI, AND PIETRO RIGO Abstract. Let (S, d) be a metric space, G a σ-field on S and (µ n : n 0) a sequence of probabilities
More informationAppendix B Convex analysis
This version: 28/02/2014 Appendix B Convex analysis In this appendix we review a few basic notions of convexity and related notions that will be important for us at various times. B.1 The Hausdorff distance
More informationStrong Consistency of Set-Valued Frechet Sample Mean in Metric Spaces
Strong Consistency of Set-Valued Frechet Sample Mean in Metric Spaces Cedric E. Ginestet Department of Mathematics and Statistics Boston University JSM 2013 The Frechet Mean Barycentre as Average Given
More informationThree hours THE UNIVERSITY OF MANCHESTER. 24th January
Three hours MATH41011 THE UNIVERSITY OF MANCHESTER FOURIER ANALYSIS AND LEBESGUE INTEGRATION 24th January 2013 9.45 12.45 Answer ALL SIX questions in Section A (25 marks in total). Answer THREE of the
More informationGeneralized Neyman Pearson optimality of empirical likelihood for testing parameter hypotheses
Ann Inst Stat Math (2009) 61:773 787 DOI 10.1007/s10463-008-0172-6 Generalized Neyman Pearson optimality of empirical likelihood for testing parameter hypotheses Taisuke Otsu Received: 1 June 2007 / Revised:
More informationWEAK CONVERGENCES OF PROBABILITY MEASURES: A UNIFORM PRINCIPLE
PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY Volume 126, Number 10, October 1998, Pages 3089 3096 S 0002-9939(98)04390-1 WEAK CONVERGENCES OF PROBABILITY MEASURES: A UNIFORM PRINCIPLE JEAN B. LASSERRE
More informationAn elementary proof of the weak convergence of empirical processes
An elementary proof of the weak convergence of empirical processes Dragan Radulović Department of Mathematics, Florida Atlantic University Marten Wegkamp Department of Mathematics & Department of Statistical
More informationFundamental Inequalities, Convergence and the Optional Stopping Theorem for Continuous-Time Martingales
Fundamental Inequalities, Convergence and the Optional Stopping Theorem for Continuous-Time Martingales Prakash Balachandran Department of Mathematics Duke University April 2, 2008 1 Review of Discrete-Time
More informationOn a Class of Multidimensional Optimal Transportation Problems
Journal of Convex Analysis Volume 10 (2003), No. 2, 517 529 On a Class of Multidimensional Optimal Transportation Problems G. Carlier Université Bordeaux 1, MAB, UMR CNRS 5466, France and Université Bordeaux
More informationStability and Sensitivity of the Capacity in Continuous Channels. Malcolm Egan
Stability and Sensitivity of the Capacity in Continuous Channels Malcolm Egan Univ. Lyon, INSA Lyon, INRIA 2019 European School of Information Theory April 18, 2019 1 / 40 Capacity of Additive Noise Models
More informationThe Codimension of the Zeros of a Stable Process in Random Scenery
The Codimension of the Zeros of a Stable Process in Random Scenery Davar Khoshnevisan The University of Utah, Department of Mathematics Salt Lake City, UT 84105 0090, U.S.A. davar@math.utah.edu http://www.math.utah.edu/~davar
More informationWeak convergence and Compactness.
Chapter 4 Weak convergence and Compactness. Let be a complete separable metic space and B its Borel σ field. We denote by M() the space of probability measures on (, B). A sequence µ n M() of probability
More informationGLUING LEMMAS AND SKOROHOD REPRESENTATIONS
GLUING LEMMAS AND SKOROHOD REPRESENTATIONS PATRIZIA BERTI, LUCA PRATELLI, AND PIETRO RIGO Abstract. Let X, E), Y, F) and Z, G) be measurable spaces. Suppose we are given two probability measures γ and
More informationA BOREL SOLUTION TO THE HORN-TARSKI PROBLEM. MSC 2000: 03E05, 03E20, 06A10 Keywords: Chain Conditions, Boolean Algebras.
A BOREL SOLUTION TO THE HORN-TARSKI PROBLEM STEVO TODORCEVIC Abstract. We describe a Borel poset satisfying the σ-finite chain condition but failing to satisfy the σ-bounded chain condition. MSC 2000:
More informationSerena Doria. Department of Sciences, University G.d Annunzio, Via dei Vestini, 31, Chieti, Italy. Received 7 July 2008; Revised 25 December 2008
Journal of Uncertain Systems Vol.4, No.1, pp.73-80, 2010 Online at: www.jus.org.uk Different Types of Convergence for Random Variables with Respect to Separately Coherent Upper Conditional Probabilities
More informations P = f(ξ n )(x i x i 1 ). i=1
Compactness and total boundedness via nets The aim of this chapter is to define the notion of a net (generalized sequence) and to characterize compactness and total boundedness by this important topological
More informationConvergence of Feller Processes
Chapter 15 Convergence of Feller Processes This chapter looks at the convergence of sequences of Feller processes to a iting process. Section 15.1 lays some ground work concerning weak convergence of processes
More informationis a Borel subset of S Θ for each c R (Bertsekas and Shreve, 1978, Proposition 7.36) This always holds in practical applications.
Stat 811 Lecture Notes The Wald Consistency Theorem Charles J. Geyer April 9, 01 1 Analyticity Assumptions Let { f θ : θ Θ } be a family of subprobability densities 1 with respect to a measure µ on a measurable
More informationZdzis law Brzeźniak and Tomasz Zastawniak
Basic Stochastic Processes by Zdzis law Brzeźniak and Tomasz Zastawniak Springer-Verlag, London 1999 Corrections in the 2nd printing Version: 21 May 2005 Page and line numbers refer to the 2nd printing
More informationVARIATIONAL PRINCIPLE FOR THE ENTROPY
VARIATIONAL PRINCIPLE FOR THE ENTROPY LUCIAN RADU. Metric entropy Let (X, B, µ a measure space and I a countable family of indices. Definition. We say that ξ = {C i : i I} B is a measurable partition if:
More informationON THE COMPLETE CONVERGENCE FOR WEIGHTED SUMS OF DEPENDENT RANDOM VARIABLES UNDER CONDITION OF WEIGHTED INTEGRABILITY
J. Korean Math. Soc. 45 (2008), No. 4, pp. 1101 1111 ON THE COMPLETE CONVERGENCE FOR WEIGHTED SUMS OF DEPENDENT RANDOM VARIABLES UNDER CONDITION OF WEIGHTED INTEGRABILITY Jong-Il Baek, Mi-Hwa Ko, and Tae-Sung
More informationAPPROXIMATING BOCHNER INTEGRALS BY RIEMANN SUMS
APPROXIMATING BOCHNER INTEGRALS BY RIEMANN SUMS J.M.A.M. VAN NEERVEN Abstract. Let µ be a tight Borel measure on a metric space, let X be a Banach space, and let f : (, µ) X be Bochner integrable. We show
More informationn [ F (b j ) F (a j ) ], n j=1(a j, b j ] E (4.1)
1.4. CONSTRUCTION OF LEBESGUE-STIELTJES MEASURES In this section we shall put to use the Carathéodory-Hahn theory, in order to construct measures with certain desirable properties first on the real line
More informationarxiv:submit/ [math.st] 6 May 2011
A Continuous Mapping Theorem for the Smallest Argmax Functional arxiv:submit/0243372 [math.st] 6 May 2011 Emilio Seijo and Bodhisattva Sen Columbia University Abstract This paper introduces a version of
More informationII - REAL ANALYSIS. This property gives us a way to extend the notion of content to finite unions of rectangles: we define
1 Measures 1.1 Jordan content in R N II - REAL ANALYSIS Let I be an interval in R. Then its 1-content is defined as c 1 (I) := b a if I is bounded with endpoints a, b. If I is unbounded, we define c 1
More informationAmenability properties of the non-commutative Schwartz space
Amenability properties of the non-commutative Schwartz space Krzysztof Piszczek Adam Mickiewicz University Poznań, Poland e-mail: kpk@amu.edu.pl Workshop on OS, LCQ Groups and Amenability, Toronto, Canada,
More informationUniversity of Pavia. M Estimators. Eduardo Rossi
University of Pavia M Estimators Eduardo Rossi Criterion Function A basic unifying notion is that most econometric estimators are defined as the minimizers of certain functions constructed from the sample
More informationTheoretical Statistics. Lecture 17.
Theoretical Statistics. Lecture 17. Peter Bartlett 1. Asymptotic normality of Z-estimators: classical conditions. 2. Asymptotic equicontinuity. 1 Recall: Delta method Theorem: Supposeφ : R k R m is differentiable
More informationPřednáška 13. Teorie aritmetiky a Gödelovy výsledky o neúplnosti a nerozhodnutelnosti. 12/6/2006 Kurt Gödel 1
Přednáška 13 Teorie aritmetiky a Gödelovy výsledky o neúplnosti a nerozhodnutelnosti 12/6/2006 Kurt Gödel 1 Hilbert calculus The set of axioms has to be decidable, axiom schemes: 1. A (B A) 2. (A (B C))
More informationWEAK LOWER SEMI-CONTINUITY OF THE OPTIMAL VALUE FUNCTION AND APPLICATIONS TO WORST-CASE ROBUST OPTIMAL CONTROL PROBLEMS
WEAK LOWER SEMI-CONTINUITY OF THE OPTIMAL VALUE FUNCTION AND APPLICATIONS TO WORST-CASE ROBUST OPTIMAL CONTROL PROBLEMS ROLAND HERZOG AND FRANK SCHMIDT Abstract. Sufficient conditions ensuring weak lower
More informationBERNOULLI ACTIONS AND INFINITE ENTROPY
BERNOULLI ACTIONS AND INFINITE ENTROPY DAVID KERR AND HANFENG LI Abstract. We show that, for countable sofic groups, a Bernoulli action with infinite entropy base has infinite entropy with respect to every
More informationLECTURE 15: COMPLETENESS AND CONVEXITY
LECTURE 15: COMPLETENESS AND CONVEXITY 1. The Hopf-Rinow Theorem Recall that a Riemannian manifold (M, g) is called geodesically complete if the maximal defining interval of any geodesic is R. On the other
More informationAsymptotics of minimax stochastic programs
Asymptotics of minimax stochastic programs Alexander Shapiro Abstract. We discuss in this paper asymptotics of the sample average approximation (SAA) of the optimal value of a minimax stochastic programming
More information1 Weak Convergence in R k
1 Weak Convergence in R k Byeong U. Park 1 Let X and X n, n 1, be random vectors taking values in R k. These random vectors are allowed to be defined on different probability spaces. Below, for the simplicity
More informationStat 8112 Lecture Notes Weak Convergence in Metric Spaces Charles J. Geyer January 23, Metric Spaces
Stat 8112 Lecture Notes Weak Convergence in Metric Spaces Charles J. Geyer January 23, 2013 1 Metric Spaces Let X be an arbitrary set. A function d : X X R is called a metric if it satisfies the folloing
More informationITERATED FUNCTION SYSTEMS WITH CONTINUOUS PLACE DEPENDENT PROBABILITIES
UNIVERSITATIS IAGELLONICAE ACTA MATHEMATICA, FASCICULUS XL 2002 ITERATED FUNCTION SYSTEMS WITH CONTINUOUS PLACE DEPENDENT PROBABILITIES by Joanna Jaroszewska Abstract. We study the asymptotic behaviour
More informationRobustness for a Liouville type theorem in exterior domains
Robustness for a Liouville type theorem in exterior domains Juliette Bouhours 1 arxiv:1207.0329v3 [math.ap] 24 Oct 2014 1 UPMC Univ Paris 06, UMR 7598, Laboratoire Jacques-Louis Lions, F-75005, Paris,
More informationA log-scale limit theorem for one-dimensional random walks in random environments
A log-scale limit theorem for one-dimensional random walks in random environments Alexander Roitershtein August 3, 2004; Revised April 1, 2005 Abstract We consider a transient one-dimensional random walk
More informationLIMITS FOR QUEUES AS THE WAITING ROOM GROWS. Bell Communications Research AT&T Bell Laboratories Red Bank, NJ Murray Hill, NJ 07974
LIMITS FOR QUEUES AS THE WAITING ROOM GROWS by Daniel P. Heyman Ward Whitt Bell Communications Research AT&T Bell Laboratories Red Bank, NJ 07701 Murray Hill, NJ 07974 May 11, 1988 ABSTRACT We study the
More informationBonus Homework. Math 766 Spring ) For E 1,E 2 R n, define E 1 + E 2 = {x + y : x E 1,y E 2 }.
Bonus Homework Math 766 Spring ) For E,E R n, define E + E = {x + y : x E,y E }. (a) Prove that if E and E are compact, then E + E is compact. Proof: Since E + E R n, it is sufficient to prove that E +
More informationLecture 4 Lebesgue spaces and inequalities
Lecture 4: Lebesgue spaces and inequalities 1 of 10 Course: Theory of Probability I Term: Fall 2013 Instructor: Gordan Zitkovic Lecture 4 Lebesgue spaces and inequalities Lebesgue spaces We have seen how
More informationA note on the σ-algebra of cylinder sets and all that
A note on the σ-algebra of cylinder sets and all that José Luis Silva CCM, Univ. da Madeira, P-9000 Funchal Madeira BiBoS, Univ. of Bielefeld, Germany (luis@dragoeiro.uma.pt) September 1999 Abstract In
More informationSOLUTION TO RUBEL S QUESTION ABOUT DIFFERENTIALLY ALGEBRAIC DEPENDENCE ON INITIAL VALUES GUY KATRIEL PREPRINT NO /4
SOLUTION TO RUBEL S QUESTION ABOUT DIFFERENTIALLY ALGEBRAIC DEPENDENCE ON INITIAL VALUES GUY KATRIEL PREPRINT NO. 2 2003/4 1 SOLUTION TO RUBEL S QUESTION ABOUT DIFFERENTIALLY ALGEBRAIC DEPENDENCE ON INITIAL
More informationA GENERAL THEOREM ON APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATION. Miljenko Huzak University of Zagreb,Croatia
GLASNIK MATEMATIČKI Vol. 36(56)(2001), 139 153 A GENERAL THEOREM ON APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATION Miljenko Huzak University of Zagreb,Croatia Abstract. In this paper a version of the general
More informationA Note on Some Properties of Local Random Attractors
Northeast. Math. J. 24(2)(2008), 163 172 A Note on Some Properties of Local Random Attractors LIU Zhen-xin ( ) (School of Mathematics, Jilin University, Changchun, 130012) SU Meng-long ( ) (Mathematics
More information7 Complete metric spaces and function spaces
7 Complete metric spaces and function spaces 7.1 Completeness Let (X, d) be a metric space. Definition 7.1. A sequence (x n ) n N in X is a Cauchy sequence if for any ɛ > 0, there is N N such that n, m
More informationConsistency of the maximum likelihood estimator for general hidden Markov models
Consistency of the maximum likelihood estimator for general hidden Markov models Jimmy Olsson Centre for Mathematical Sciences Lund University Nordstat 2012 Umeå, Sweden Collaborators Hidden Markov models
More informationWeak convergence and Brownian Motion. (telegram style notes) P.J.C. Spreij
Weak convergence and Brownian Motion (telegram style notes) P.J.C. Spreij this version: December 8, 2006 1 The space C[0, ) In this section we summarize some facts concerning the space C[0, ) of real
More informationDuality of multiparameter Hardy spaces H p on spaces of homogeneous type
Duality of multiparameter Hardy spaces H p on spaces of homogeneous type Yongsheng Han, Ji Li, and Guozhen Lu Department of Mathematics Vanderbilt University Nashville, TN Internet Analysis Seminar 2012
More informationSOME MEASURABILITY AND CONTINUITY PROPERTIES OF ARBITRARY REAL FUNCTIONS
LE MATEMATICHE Vol. LVII (2002) Fasc. I, pp. 6382 SOME MEASURABILITY AND CONTINUITY PROPERTIES OF ARBITRARY REAL FUNCTIONS VITTORINO PATA - ALFONSO VILLANI Given an arbitrary real function f, the set D
More informationvan Rooij, Schikhof: A Second Course on Real Functions
vanrooijschikhof.tex April 25, 2018 van Rooij, Schikhof: A Second Course on Real Functions Notes from [vrs]. Introduction A monotone function is Riemann integrable. A continuous function is Riemann integrable.
More informationON A DISTANCE DEFINED BY THE LENGTH SPECTRUM ON TEICHMÜLLER SPACE
Annales Academiæ Scientiarum Fennicæ Mathematica Volumen 28, 2003, 315 326 ON A DISTANCE DEFINED BY THE LENGTH SPECTRUM ON TEICHMÜLLER SPACE Hiroshige Shiga Tokyo Institute of Technology, Department of
More informationNonparametric one-sided testing for the mean and related extremum problems
Nonparametric one-sided testing for the mean and related extremum problems Norbert Gaffke University of Magdeburg, Faculty of Mathematics D-39016 Magdeburg, PF 4120, Germany E-mail: norbert.gaffke@mathematik.uni-magdeburg.de
More informationTheoretical Statistics. Lecture 1.
1. Organizational issues. 2. Overview. 3. Stochastic convergence. Theoretical Statistics. Lecture 1. eter Bartlett 1 Organizational Issues Lectures: Tue/Thu 11am 12:30pm, 332 Evans. eter Bartlett. bartlett@stat.
More informationJádrové odhady gradientu regresní funkce
Monika Kroupová Ivana Horová Jan Koláček Ústav matematiky a statistiky, Masarykova univerzita, Brno ROBUST 2018 Osnova Regresní model a odhad gradientu Metody pro odhad vyhlazovací matice Simulace Závěr
More informationLYAPUNOV STABILITY OF CLOSED SETS IN IMPULSIVE SEMIDYNAMICAL SYSTEMS
Electronic Journal of Differential Equations, Vol. 2010(2010, No. 78, pp. 1 18. ISSN: 1072-6691. URL: http://ejde.math.txstate.edu or http://ejde.math.unt.edu ftp ejde.math.txstate.edu LYAPUNOV STABILITY
More informationProbability metrics and the stability of stochastic programs with recourse
Probability metrics and the stability of stochastic programs with recourse Michal Houda Charles University, Faculty of Mathematics and Physics, Prague, Czech Republic. Abstract In stochastic optimization
More informationStability of optimization problems with stochastic dominance constraints
Stability of optimization problems with stochastic dominance constraints D. Dentcheva and W. Römisch Stevens Institute of Technology, Hoboken Humboldt-University Berlin www.math.hu-berlin.de/~romisch SIAM
More informationA Law of the Iterated Logarithm. for Grenander s Estimator
A Law of the Iterated Logarithm for Grenander s Estimator Jon A. Wellner University of Washington, Seattle Probability Seminar October 24, 2016 Based on joint work with: Lutz Dümbgen and Malcolm Wolff
More informationJádrové odhady regresní funkce pro korelovaná data
Jádrové odhady regresní funkce pro korelovaná data Ústav matematiky a statistiky MÚ Brno Finanční matematika v praxi III., Podlesí 3.9.-4.9. 2013 Obsah Motivace Motivace Motivace Co se snažíme získat?
More information