Search for dissertations about: "stochastic approximation algorithm"

Showing result 11 - 15 of 37 swedish dissertations containing the words stochastic approximation algorithm.

2. 11. Coarse Graining Monte Carlo Methods for Wireless Channels and Stochastic Differential Equations

   Author : Håkon Hoel; Anders Szepessy; Ola Hössjer; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Coarse graining; Monte Carlo Methods; Stochastic processes; Numerical analysis; Numerisk analys;

   Abstract : This thesis consists of two papers considering different aspects of stochastic process modelling and the minimisation of computational cost. In the first paper, we analyse statistical signal properties and develop a Gaussian pro- cess model for scenarios with a moving receiver in a scattering environment, as in Clarke’s model, with the generalisation that noise is introduced through scatterers randomly flip- ping on and off as a function of time. READ MORE

4. 12. Approximations of Bayes Classifiers for Statistical Learning of Clusters

   Author : Magnus Ekdahl; Timo Koski; Jukka Corander; Linköpings universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Pattern Recognition; Stochastic Complexity; Naïve Bayes; Bayesian Network; Classification; Clustering; Chow-Liu trees; Mathematical statistics; Matematisk statistik;

   Abstract : It is rarely possible to use an optimal classifier. Often the classifier used for a specific problem is an approximation of the optimal classifier. Methods are presented for evaluating the performance of an approximation in the model class of Bayesian Networks. READ MORE

5. 13. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

   Author : Rikard Green; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

   Abstract : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. READ MORE

6. 14. On Bounds and Asymptotics of Sequential Monte Carlo Methods for Filtering, Smoothing, and Maximum Likelihood Estimation in State Space Models

   Author : Jimmy Olsson; Matematisk statistik; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; Matematik; Mathematics; state space models; smoothing; sequential Monte Carlo; particle filter; EM algorithm; maximum likelihood; consistency; Asymptotic normality; Statistik; operationsanalys; programmering; aktuariematematik;

   Abstract : This thesis is based on four papers (A-D) treating filtering, smoothing, and maximum likelihood (ML) estimation in general state space models using stochastic particle filters (also referred to as sequential Monte Carlo (SMC) methods). The aim of Paper A is to study the bias of Monte Carlo integration estimates produced by the so-called bootstrap particle filter. READ MORE

7. 15. Two-Barrier Problems in Applied Probability: Algorithms and Analysis

   Author : Mats Pihlsgård; Matematisk statistik; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Statistics; operations research; programming; actuarial mathematics; Statistik; Matematik; Mathematics; Naturvetenskap; Natural science; Reflection; Stochastic processes; Applied probability; Queueing; operationsanalys; programmering; aktuariematematik;

   Abstract : This thesis consists of five papers (A-E). In Paper A, we study transient properties of the queue length process in various queueing settings. We focus on computing the mean and the Laplace transform of the time required for the queue length starting at $x0. We define the loss rate due to the reflection. READ MORE