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- Paul Dupuis, Anna Nagurney
- Annals OR
- 1993

- Ian R. Petersen, Matthew R. James, Paul Dupuis
- IEEE Trans. Automat. Contr.
- 2000

This paper considers a new class of discrete time stochastic uncertain systems in which the uncertainty is described by a constraint on the relative entropy between a nominal noise distribution and the perturbed noise distribution. This uncertainty description is a natural extension to the case of stochastic uncertain systems, of the sum quadratic… (More)

- Paul Dupuis, Hui Wang
- 2002

A heuristic that has emerged in the area of importance sampling is that the changes of measure used to prove large deviation lower bounds give good performance when used for importance sampling. Recent work, however, has suggested that the heuristic is incorrect in many situations. The perspective put forth in the present paper is that large deviation… (More)

Importance sampling is a technique that is commonly used to speed up Monte Carlo simulation of rare events. However, little is known regarding the design of efficient importance sampling algorithms in the context of queueing networks. The standard approach, which simulates the system using an a priori fixed change of measure suggested by large deviation… (More)

A variational representation for positive functionals of a Hilbert space valued Wiener process (W (·)) is proved. This representation is then used to prove a large deviations principle for the family {G (W (·))} >0 where G is an appropriate family of measurable maps from the Wiener space to some Polish space.

- Paul Dupuis, Kavita Ramanan
- Queueing Syst.
- 1998

Generalized processor sharing has been proposed as a policy for distributing processing in a fair manner between diierent data classes in high-speed networks. In this paper we show how recent results on the Skorokhod Problem can be used to construct and analyze the mapping that takes the input processes into the buuer content. More precisely, we show how to… (More)

- Paul Dupuis, John Oliensis
- CVPR
- 1992

A new approach to shape from shading is described, based on a connection with a calculus of variations/optimal control problem. An explicit representation is given for the surface corresponding to a shaded image; uniqueness of the surface (under suitable conditions) is an immediate consequence. The approach leads naturally to an algorithm for shape… (More)

The solution to the Skorokhod Problem de nes a deterministic mapping, referred to as the Skorokhod Map, that takes unconstrained paths to paths that are con ned to live within a given domainG IRn. Given a set of allowed constraint directions for each point of @G, the solution to the Skorokhod Problem de nes the constrained version of , where the… (More)

- John Oliensis, Paul Dupuis
- ICCV
- 1993

- Paul Dupuis, Kevin Leder, Hui Wang
- ACM Trans. Model. Comput. Simul.
- 2007

Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. For random variables with heavy tails there is little consensus on how to choose the change of measure used in importance sampling. In this article we study dynamic importance sampling schemes for sums of independent and identically… (More)