Related papers: Tight Approximations of Dynamic Risk Measures
We study variants of the mean problem under the $p$-Dynamic Time Warping ($p$-DTW) distance, a popular and robust distance measure for sequential data. In our setting we are given a set of finite point sequences over an arbitrary metric…
We study strategic interaction in data-driven games where players face uncertainty about payoff distributions inferred from finite samples. To model calibrated attitudes toward such uncertainty, we formulate distributionally robust games…
The robustness of deep neural networks (DNNs) is crucial to the hosting system's reliability and security. Formal verification has been demonstrated to be effective in providing provable robustness guarantees. To improve its scalability,…
We propose a novel approach to design a robust Model Predictive Controller (MPC) for constrained uncertain linear systems. The uncertain system is modeled as linear parameter varying with additive disturbance. Set bounds for the system…
In this paper, we consider a multi-objective control problem for stochastic systems that seeks to minimize a cost of interest while ensuring safety. We introduce a novel measure of safety risk using the conditional value-at-risk and a set…
Motivated by the fragility of neural network (NN) controllers in safety-critical applications, we present a data-driven framework for verifying the risk of stochastic dynamical systems with NN controllers. Given a stochastic control system,…
Fitting models with high predictive accuracy that include all relevant but no irrelevant or redundant features is a challenging task on data sets with similar (e.g. highly correlated) features. We propose the approach of tuning the…
Convex risk measures play a foundational role in the area of stochastic optimization. However, in contrast to risk neutral models, their applications are still limited due to the lack of efficient solution methods. In particular, the mean…
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one or more market participants is experiencing financial…
Conventional approaches to grasp planning require perfect knowledge of an object's pose and geometry. Uncertainties in these quantities induce uncertainties in the quality of planned grasps, which can lead to failure. Classically, grasp…
This paper motivates the views that for complex systems, risk should be controlled by enforcing constraints in a modular way at different system levels, that the constraints can be expressed as assurance contracts and that acceptable risk…
This paper studies the asymptotic convergence of computed dynamic models when the shock is unbounded. Most dynamic economic models lack a closed-form solution. As such, approximate solutions by numerical methods are utilized. Since the…
Algorithmic risk assessments are increasingly used to help humans make decisions in high-stakes settings, such as medicine, criminal justice and education. In each of these cases, the purpose of the risk assessment tool is to inform…
Safety and robustness are two desired properties for any reinforcement learning algorithm. CMDPs can handle additional safety constraints and RMDPs can perform well under model uncertainties. In this paper, we propose to unite these two…
We propose two solution concepts for matchings under preferences: robustness and near stability. The former strengthens while the latter relaxes the classic definition of stability by Gale and Shapley (1962). Informally speaking, robustness…
Joint models are well suited to modelling linked data from laboratories and health registers. However, there are few examples of joint models that allow for (a) multiple markers, (b) multiple survival outcomes (including terminal events,…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study are curves of the form $(\rho(\lambda X))_{\lambda \ge 0}$,…
In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…
Temporal logics provide a formalism for expressing complex system specifications. A large body of literature has addressed the verification and the control synthesis problem for deterministic systems under such specifications. For…