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The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
This limited review is intended as an introduction to the fast growing subject of mathematical modelling of cell metabolism and its biochemical pathways, and more precisely on pathways linked to apoptosis of cancerous cells. Some basic…
Utility-Based Shortfall Risk (UBSR) is a risk metric that is increasingly popular in financial applications, owing to certain desirable properties that it enjoys. We consider the problem of estimating UBSR in a recursive setting, where…
This paper addresses risk awareness of stochastic optimization problems. Nested risk measures appear naturally in this context, as they allow beneficial reformulations for algorithmic treatments. The reformulations presented extend usual…
This work studies the problem of batch off-policy evaluation for Reinforcement Learning in partially observable environments. Off-policy evaluation under partial observability is inherently prone to bias, with risk of arbitrarily large…
It is difficult to neutrally evaluate the risks posed by large-scale leading-edge science experiments. Traditional risk assessment is problematic in this context for multiple reasons. Also, such experiments can be insulated from challenge…
We give an explicit algorithm and source code for constructing risk models based on machine learning techniques. The resultant covariance matrices are not factor models. Based on empirical backtests, we compare the performance of these…
Assessment of replicability is critical to ensure the quality and rigor of scientific research. In this paper, we discuss inference and modeling principles for replicability assessment. Targeting distinct application scenarios, we propose…
We guide the reader on a journey through mathematical modeling and numerical analysis, emphasizing the crucial interplay of both disciplines. Targeting undergraduate students with basic knowledge in dynamical systems and numerical methods…
Evaluated nuclear data uncertainties are often perceived as unrealistic, most often because they are thought to be too small. The impact of this issue in applied nuclear science has been discussed widely in recent years. Commonly suggested…
The objective-based forecasting considers the asymmetric and non-linear impacts of forecasting errors on decision objectives, thus improving the effectiveness of its downstream decision-making process. However, existing objective-based…
Model uncertainties and simulation uncertainties occur in mathematical modeling of multiscale complex systems, since some mechanisms or scales are not represented (i.e., "unresolved") due to lack in our understanding of these mechanisms or…
The use of mathematical methods for the analysis of chemical reaction systems has a very long history, and involves many types of models: deterministic versus stochastic, continuous versus discrete, and homogeneous versus spatially…
The vision of Organic Computing addresses challenges that arise in the design of future information systems that are comprised of numerous, heterogeneous, resource-constrained and error-prone components or devices. Here, the notion organic…
Requiring stability of genetic code against translation errors, modelised by suitable mathematical operators in the crystal basis model of the genetic code, the main features of the organisation in multiplets of the mitochondrial and of the…
Recurrence plots and recurrence quantification analysis have become popular in the last two decades. Recurrence based methods have on the one hand a deep foundation in the theory of dynamical systems and are on the other hand powerful tools…
Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates outer scenarios and the inner-level simulations are run in each outer…
Due to lack of scientific understanding, some mechanisms may be missing in mathematical modeling of complex phenomena in science and engineering. These mathematical models thus contain some uncertainties such as uncertain parameters. One…
Combining measurements which have "theoretical uncertainties" is a delicate matter, due to an unclear statistical basis. We present an algorithm based on the notion that a theoretical uncertainty represents an estimate of bias.
General problems in analyzing information in a probabilistic database are considered. The practical difficulties (and occasional advantages) of storing uncertain data, of using it conventional forward- or backward-chaining inference…