Variational analysis of Poisson processes

Molchanov, Ilya; Zuyev, Sergei (2016). Variational analysis of Poisson processes. In: Peccati, Giovanni; Reitzner, Matthias (eds.) Stochastic Analysis for Poisson Point Processes. Bocconi & Springer Series: Vol. 7 (pp. 81-101). Springer 10.1007/978-3-319-05233-5_3

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The expected value of a functional F(η) of a Poisson process η can be considered as a function of its intensity measure μ. The paper surveys several results concerning differentiability properties of this functional on the space of signed measures with finite total variation. Then, necessary conditions for μ being a local minima of the considered functional are elaborated taking into account possible constraints on μ, most importantly the case of μ with given total mass a. These necessary conditions can be phrased by requiring that the gradient of the functional (being the expected first difference F(η+δ x )−F(η)
F(η+δx)−F(η)) is constant on the support of μ. In many important cases, the gradient depends only on the local structure of μ in a neighbourhood of x and so it is possible to work out the asymptotics of the minimising measure with the total mass a growing to infinity. Examples include the optimal approximation of convex functions, clustering problem and optimal search. In non-asymptotic cases, it is in general possible to find the optimal measure using steepest descent algorithms which are based on the obtained explicit form of the gradient.

Item Type:

Book Section (Book Chapter)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Molchanov, Ilya

Subjects:

500 Science > 510 Mathematics

ISBN:

978-3-319-05232-8

Series:

Bocconi & Springer Series

Publisher:

Springer

Language:

English

Submitter:

Ilya Molchanov

Date Deposited:

25 Apr 2017 11:48

Last Modified:

25 Apr 2017 11:48

Publisher DOI:

10.1007/978-3-319-05233-5_3

BORIS DOI:

10.7892/boris.92850

URI:

https://boris.unibe.ch/id/eprint/92850

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