Related papers: Evolutionary estimation of a Coupled Markov Chain …
Stochastic reaction networks are mathematical models with a wide range of applications in biochemistry, ecology, and epidemiology, and are often complex to analyze. Except for some special cases, it is generally difficult to predict how the…
The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…
Modeling unknown systems from data is a precursor of system optimization and sequential decision making. In this paper, we focus on learning a Markov model from a single trajectory of states. Suppose that the transition model has a small…
This paper considers the problem of randomized influence maximization over a Markovian graph process: given a fixed set of nodes whose connectivity graph is evolving as a Markov chain, estimate the probability distribution (over this fixed…
We develop a method for computing policies in Markov decision processes with risk-sensitive measures subject to temporal logic constraints. Specifically, we use a particular risk-sensitive measure from cumulative prospect theory, which has…
This paper analyses a $(1,\lambda)$-Evolution Strategy, a randomised comparison-based adaptive search algorithm, on a simple constraint optimisation problem. The algorithm uses resampling to handle the constraint and optimizes a linear…
This chapter presents an introduction to Markovian modeling for the analysis of sequence data. Contrary to the deterministic approach seen in the previous sequence analysis chapters, Markovian models are probabilistic models, focusing on…
In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the…
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evolutionary optimization environment are…
Comparative and evolutive ecologists are interested in the distribution of quantitative traits among related species. The classical framework for these distributions consists of a random process running along the branches of a phylogenetic…
Statistical inference in evolutionary models with site-dependence is a long-standing challenge in phylogenetics and computational biology. We consider the problem of approximating marginal sequence likelihoods under dependent-site models of…
We introduce the Lyapunov approach to optimal control problems of average risk-sensitive Markov control processes with general risk maps. Motivated by applications in particular to behavioral economics, we consider possibly non-convex risk…
This paper proposes a new randomized strategy for adaptive MCMC using Bayesian optimization. This approach applies to non-differentiable objective functions and trades off exploration and exploitation to reduce the number of potentially…
Chance constrained optimization problems allow to model problems where constraints involving stochastic components should only be violated with a small probability. Evolutionary algorithms have been applied to this scenario and shown to…
Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…
With the goal to provide absolute lower bounds for the best possible running times that can be achieved by $(1+\lambda)$-type search heuristics on common benchmark problems, we recently suggested a dynamic programming approach that computes…
This paper is concerned with the development of rigorous approximations to various expectations associated with Markov chains and processes having non-stationary transition probabilities. Such non-stationary models arise naturally in…
Evolutionary algorithms have been frequently applied to constrained continuous optimisation problems. We carry out feature based comparisons of different types of evolutionary algorithms such as evolution strategies, differential evolution…
Co-pyrolysis of biomass feedstocks with polymeric wastes is a promising strategy for improving the quantity and quality parameters of the resulting liquid fuel. Numerous experimental measurements are typically conducted to find the optimal…
Cumulative prospect theory (CPT) is the first theory for decision-making under uncertainty that combines full theoretical soundness and empirically realistic features [P.P. Wakker - Prospect theory: For risk and ambiguity, Page 2]. While…