We consider the problem of identification of linear systems in the presence of measurement noise which is unknown but bounded in magnitude by some 6 > 0. We focus on the case of linear systems with a finite impulse response. It is known that the optimal identification error is related (within a factor of 2) to the diameter of a so-called uncertainty set and… (More)
For a class of stochastic restart algorithms we address the effect of a nonzero level of randomization in maximizing the convergence rate for general energy landscapes. The resulting characterization of the optimal level of randomization is investigated computationally for random as well as para-metric families of rugged energy landscapes.
Over-the-counter derivatives have contributed significantly to the effectiveness and efficiency of the international financial system but also entail significant counterparty credit risk. Collateralization is one of the most important and widespread credit risk mitigation techniques used in derivatives transactions. However, the relevant decisions are often… (More)