Related papers: What risk measures are time consistent for all fil…
In quantum mechanics performing a measurement is an invasive process which generally disturbs the system. Due to this phenomenon, there exist incompatible quantum measurements, i.e., measurements that cannot be simultaneously performed on a…
We present a complexity measure for any finite time series. This measure has invariance under any monotonic transformation of the time series, has a degree of robustness against noise, and has the adaptability of satisfying almost all the…
One of the longstanding open questions in linear response theory concerns its true range of validity. Determining when the linear approximation can be trusted typically requires knowledge of second-order corrections, which are often…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
Measuring and managing risk has become crucial in modern decision making under stochastic uncertainty. In two-stage stochastic programming, mean risk models are essentially defined by a parametric recourse problem and a quantification of…
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…
Let L be a countable language. We say that a countable infinite L-structure M admits an invariant measure when there is a probability measure on the space of L-structures with the same underlying set as M that is invariant under…
Time irreversibility, defined as the lack of invariance of the statistical properties of a system or time series under the operation of time reversal, has received an increasing attention during the last decades, thanks to the information…
In combinatorial optimization, partial variable assignments are called persistent if they agree with some optimal solution. We propose persistency criteria for the multicut and max-cut problem as well as fast combinatorial routines to…
Conformal risk control is an extension of conformal prediction for controlling risk functions beyond miscoverage. The original algorithm controls the expected value of a loss that is monotonic in a one-dimensional parameter. Here, we…
Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the possible violation of a restriction. Each risk constraint induces an uncertainty set of coefficients,…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
We consider the notion of resilience for cyber-physical systems, that is, the ability of the system to withstand adverse events while maintaining acceptable functionality. We use finite temporal logic to express the requirements on the…
The framework of this paper is that of risk measuring under uncertainty, which is when no reference probability measure is given. To every regular convex risk measure on ${\cal C}_b(\Omega)$, we associate a unique equivalence class of…
This paper studies whether Bayesian simultaneous three-way hypothesis tests can be logically coherent. Two types of results are obtained. First, under the standard error-wise constant loss, only for a limited set of models can a Bayes…
Suppose we can choose from a set of linear autonomous systems with bounded process noise, the dynamics of each system are unknown, and we would like to design a stabilizing policy. The underlying question is how to estimate the dynamics of…
In this note we consider continuous-time systems x'(t) = A(t) x(t) + B(t) u(t), y(t) = C(t) x(t) + D(t) u(t), as well as discrete-time systems x(t+1) = A(t) x(t) + B(t) u(t), y(t) = C(t) x(t) + D(t) u(t) whose coefficient matrices A, B, C…
We study an industrial computer code related to nuclear safety. A major topic of interest is to assess the uncertainties tainting the results of a computer simulation. In this work we gain robustness on the quantification of a risk…
We consider a one-dimensional totally asymmetric nearest-neighbor zero-range process with site-dependent jump-rates - an environment. For each environment p we prove that the set of all invariant measures is the convex hull of a set of…
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision processes (MDPs for short). Since the cost functional is…