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- Mengzhi Wang, Kinman Au, Anastasia Ailamaki, Anthony Brockwell, Christos Faloutsos, Gregory R. Ganger
- The IEEE Computer Society's 12th Annual…
- 2004

This work explores the application of a machine learning tool, CART modeling, to storage devices. We have developed approaches to predict a device's performance as a function of input workloads, requiring no knowledge of the device internals. Two uses of CART models are considered: one that predicts per-request response times (and then derives aggregate… (More)

- Spiros Papadimitriou, Anthony Brockwell, Christos Faloutsos
- The VLDB Journal
- 2004

Sensor devices and embedded processors are becoming widespread, especially in measurement/monitoring applications. Their limited resources (CPU, memory and/or communication bandwidth, and power) pose some interesting challenges. We need concise, expressive models to represent the important features of the data and that lend themselves to efficient… (More)

Sensor devices and embedded processors are becoming ubiquitous, especially in measurement and monitoring applications. Automatic discovery of patterns and trends in the large volumes of such data is of paramount importance. The combination of relatively limited resources (CPU, memory and/or communication bandwidth and power) poses some interesting… (More)

- B. Ricky Rambharat, Anthony Brockwell
- 2006

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility models. The method combines a standard gridding approach to solving the associated dynamic programming problem, with a sequential Monte Carlo scheme to estimate required posterior distributions of the latent volatility process. The method… (More)

We introduce a novel methodology for sampling from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. These problems are usually addressed using Sequential Monte Carlo (SMC) methods. The alternative Sequentially Interacting Markov Chain Monte Carlo (SIMCMC) scheme proposed here works by generating… (More)

- Anthony Brockwell
- Systems & Control Letters
- 2001

We introduce a control law for a class of unknown nonlinear continuous-time systems in which full state measurements are available. We show that as long as a certain feedback gain parameter is sufficiently large, the closed-loop system is stable. Furthermore, the magnitude of the control is bounded in the limit. As a corollary to the main result, we show… (More)

Sensor devices and embedded processors are becoming ubiquitous, especially in measurement and monitoring applications. Automatic discovery of patterns and trends in the large volumes of such data is of paramount importance. The combination of relatively limited resources (CPU, memory and/or communication bandwidth and power) poses some interesting… (More)

- Sinjini Mitra, Marios Savvides, Anthony Brockwell
- IEEE Transactions on Pattern Analysis and Machine…
- 2007

As biometric authentication systems become more prevalent, it is becoming increasingly important to evaluate their performance. This paper introduces a novel statistical method of performance evaluation for these systems. Given a database of authentication results from an existing system, the method uses a hierarchical random effects model, along with… (More)

- Arnold L. Greenfield, Anthony Brockwell
- 2003 4th International Conference on Control and…
- 2003

We introduce an adaptive moving horizon control scheme for nonlinear stochastic systems. The scheme uses the recently developed particle filter to track the hidden state, as well as to estimate unknown parameters. In addition, expected costs are approximated by Monte Carlo integration where necessary. Although computationally intensive, the scheme has wide… (More)

We investigate the properties of a fast-identification style of control algorithm applied to a class of stochastic dynamical systems in continuous time which are sampled at a constant rate. The algorithm does not assume that the system dynamics are known and estimates them using a simple filter. Under a mild smoothness condition on the system dynamics, we… (More)