papers
Publications (16)
math.PR2014
Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions
Jose Blanchet, Peter Glynn, Shuheng Zheng
math.PR2006
Complete corrected diffusion approximations for the maximum of a random walk
Jose Blanchet, Peter Glynn
math.PR2009
On convergence to stationarity of fractional Brownian storage
Michel Mandjes, Ilkka Norros, Peter Glynn
math.PR2018
Selecting the best system and multi-armed bandits
Peter Glynn, Sandeep Juneja
math.PR2009
Conditional limit theorems for regulated fractional Brownian motion
Hernan Awad, Peter Glynn
math.PR2015
Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions of general state space Markov chains
Jose H. Blanchet, Peter Glynn, Shuheng Zheng
math.PR2011
On the transition from heavy traffic to heavy tails for the M/G/1 queue: The regularly varying case
Mariana Olvera-Cravioto, Jose Blanchet, Peter Glynn
cs.LG2019
Probability Functional Descent: A Unifying Perspective on GANs, Variational Inference, and Reinforcement Learning
Casey Chu, Jose Blanchet, Peter Glynn
math.PR2017
Lyapunov Conditions for Differentiability of Markov Chain Expectations: the Absolutely Continuous Case
Chang-Han Rhee, Peter Glynn
stat.ML2018
Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach
John Duchi, Peter Glynn, Hongseok Namkoong
math.PR2008
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Jose Blanchet, Peter Glynn
math.OC2018
On the convergence of mirror descent beyond stochastic convex programming
Zhengyuan Zhou, Panayotis Mertikopoulos, Nicholas Bambos +2
stat.ML2019
Optimal Transport Relaxations with Application to Wasserstein GANs
Saied Mahdian, Jose Blanchet, Peter Glynn
math.PR2015
On the Limiting Ratio of Current Age to Total Life for Null Recurrent Renewal Processes
Jose Blanchet, Peter Glynn, Hermann Thorisson
cs.RO2018
An Accelerated Approach to Safely and Efficiently Test Pre-Production Autonomous Vehicles on Public Streets
Mansur Arief, Peter Glynn, Ding Zhao
math.OC2014
Likelihood Robust Optimization for Data-driven Problems
Zizhuo Wang, Peter Glynn, Yinyu Ye