Related papers: Dynamic Coherent Acceptability Indices and their A…
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of…
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…
For data sets with similar features, for example highly correlated features, most existing stability measures behave in an undesired way: They consider features that are almost identical but have different identifiers as different features.…
In this paper, we develop a novel unified methodology for performance and robustness analysis of linear dynamical networks. We introduce the notion of systemic measures for the class of first--order linear consensus networks. We classify…
Stability is among the most important concepts in dynamical systems. Local stability is well-studied, whereas determining how "globally stable" a nonlinear system is very challenging. Over the last few decades, many different ideas have…
This paper provides a formal econometric framework behind the newly developed difference-in-discontinuities design (DiDC). Despite its increasing use in applied research, there are currently limited studies of its properties. We formalize…
We present a survey of recent research studies of the implementation of adaptive user models in human-computer interaction. A classification of research directions on adaptive user interfaces is first proposed; it takes account of the user…
Real-world systems ranging from airline routes to cryptocurrency transfers are naturally modelled as dynamic graphs whose topology changes over time. Conventional benchmarks judge dynamic-graph learners by a handful of task-specific scores,…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
We present three measures of the dynamical coherence of channels, which are the generalization of several previous results. The measures are based on the generalized distance function between channels, which for example could be the…
Expressive evaluation metrics are indispensable for informative experiments in all areas, and while several metrics are established in some areas, in others, such as feature selection, only indirect or otherwise limited evaluation metrics…
On the basis of an analysis of previous research, we present a generalized approach for measuring the difference of plans with an exemplary application to machine scheduling. Our work is motivated by the need for such measures, which are…
Calibrating blackbox machine learning models to achieve risk control is crucial to ensure reliable decision-making. A rich line of literature has been studying how to calibrate a model so that its predictions satisfy explicit finite-sample…
This paper studies the problem of risk-averse receding horizon motion planning for agents with uncertain dynamics, in the presence of stochastic, dynamic obstacles. We propose a model predictive control (MPC) scheme that formulates the…
Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…
This paper introduces a comprehensive framework for complex-valued probability measures and explores their novel applications in information theory and statistical analysis. We define a complex probability measure as a phase-modulated…
This paper deals with multidimensional dynamic risk measures induced by conditional $g$-expectations. A notion of multidimensional $g$-expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical…
Pairwise comparisons are a well-known method for the representation of the subjective preferences of a decision maker. Evaluating their inconsistency has been a widely studied and discussed topic and several indices have been proposed in…
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion…
Metrics and frameworks to quantifiably assess security measures have arisen from needs of three distinct research communities - statistical measures from the intrusion detection and prevention literature, evaluation of cyber exercises,…