Related papers: Hedging and production decisions under uncertainty…

The process of doing Science in condition of uncertainty is illustrated with a toy experiment in which the inferential and the forecasting aspects are both present. The fundamental aspects of probabilistic reasoning, also relevant in real…

As penetration of wind power generation increases, system operators must account for its stochastic nature in a reliable and cost-efficient manner. These conflicting objectives can be traded-off by accounting for the variability and…

Unquantified sources of uncertainty in observational causal analyses can break the integrity of the results. One would never want another analyst to repeat a calculation with the same dataset, using a seemingly identical procedure, only to…

We investigate the impact of coalition formation on the efficiency of Cournot games where producers face uncertainties. In particular, we study a market model where firms must determine their output before an uncertain production capacity…

A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…

The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…

Due to their increasing spread, confidence in neural network predictions became more and more important. However, basic neural networks do not deliver certainty estimates or suffer from over or under confidence. Many researchers have been…

Uncertainty plays a crucial role in the machine learning field. Both model trustworthiness and performance require the understanding of uncertainty, especially for models used in high-stake applications where errors can cause cataclysmic…

In robust optimization one seeks to make a decision under uncertainty, where the goal is to find the solution with the best worst-case performance. The set of possible realizations of the uncertain data is described by a so-called…

Existing procedures for model validation have been deemed inadequate for many engineering systems. The reason of this inadequacy is due to the high degree of complexity of the mechanisms that govern these systems. It is proposed in this…

I study how organisations choose selection procedures in a competitive environment. Two firms compete to hire candidates of unknown productivity from a common pool. Firms simultaneously post a selection procedure which consists of a test…

We address the problem of uncertainty quantification and propose measures of total, aleatoric, and epistemic uncertainty based on a known decomposition of (strictly) proper scoring rules, a specific type of loss function, into a divergence…

We study the problem of identifying the set of \emph{active} variables, termed in the literature as \emph{variable selection} or \emph{multiple hypothesis testing}, depending on the pursued criteria. For a general \emph{robust setting} of…

We discuss several aspects of creation of adequate mathematical models in other sciences. In particular, many difficulties stem from great complexity of the source systems and the presence of a variety of uncertain factors. We illustrate…

Reliable uncertainty quantification is essential for the use of machine learning in physics, where scientific discoveries depend on validated probabilistic statements. We provide a structured overview of uncertainty quantification in ML for…

This paper examines a government's strategic resource allocation choices when facing an opposing group whose military power is uncertain. We investigate how this uncertainty affects the government's decision to divide resources in a way…

This paper presents a novel numerical method for the hybrid reliability analysis by using the uncertainty theory. Aleatory uncertainty and epistemic uncertainty are considered simultaneously in this method. Epistemic uncertainty is…

Predictions and forecasts of machine learning models should take the form of probability distributions, aiming to increase the quantity of information communicated to end users. Although applications of probabilistic prediction and…

This paper addresses the problem of resolving errors under uncertainty in a rule-based system. A new approach has been developed that reformulates this problem as a neural-network learning problem. The strength and the fundamental…

In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability.…