Article contents
A large deviations heuristic made precise
Published online by Cambridge University Press: 01 May 2000
Abstract
Sanov's Theorem states that the sequence of empirical measures associated with a sequence of i.d.d. random variables satisfies the large deviation principle (LDP) in the weak topology with rate function given by a relative entropy. We present a derivative which allows one to establish LDPs for symmetric functions of many i.d.d. random variables under the condition that (i) a law of large numbers holds whatever the underlying distribution and (ii) the functions are uniformly Lipschitz. The heuristic (of the title) is that the LDP follows from (i) provided the functions are ‘sufficiently smooth’. As an application, we obtain large deviations results for the stochastic bin-packing problem.
- Type
- Research Article
- Information
- Mathematical Proceedings of the Cambridge Philosophical Society , Volume 128 , Issue 3 , May 2000 , pp. 561 - 569
- Copyright
- The Cambridge Philosophical Society 2000
- 3
- Cited by