Related papers: A Measure of Decision Flexibility

Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…

As the use of machine learning in high impact domains becomes widespread, the importance of evaluating safety has increased. An important aspect of this is evaluating how robust a model is to changes in setting or population, which…

Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…

In this paper, an approach to facilitate the treatment with variabilities in system families is presented by explicitly modelling variants. The proposed method of managing variability consists of a variant part, which models variants and a…

In this paper, an approach to facilitate the treatment with variabilities in system families is presented by explicitly modelling variants. The proposed method of managing variability consists of a variant part, which models variants and a…

Sensitivity analysis is concerned with understanding how the model output depends on uncertainties (variances) in inputs and then identifies which inputs are important in contributing to the prediction imprecision. Uncertainty determination…

We consider statistical Markov Decision Processes where the decision maker is risk averse against model ambiguity. The latter is given by an unknown parameter which influences the transition law and the cost functions. Risk aversion is…

This paper proposes strategies for designing a system whose computational model is subject to aleatory and epistemic uncertainty. Aleatory variables, which are caused by randomness in physical parameters, are draws from a possibly unknown…

Manipulability analysis is a methodology employed to assess the capacity of an articulated system, at a specific configuration, to produce motion or exert force in diverse directions. The conventional method entails generating a virtual…

Ergodicity describes an equivalence between the expectation value and the time average of observables. Applied to human behaviour, ergodic theories of decision-making reveal how individuals should tolerate risk in different environments. To…

Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…

Algorithmic decision making systems are ubiquitous across a wide variety of online as well as offline services. These systems rely on complex learning methods and vast amounts of data to optimize the service functionality, satisfaction of…

To address model uncertainty under flexible loss functions in prediction problems, we propose a model averaging method that accommodates various loss functions, including asymmetric linear and quadratic loss functions, as well as many other…

Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate their connections by studying how different forms of…

In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…

This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced…

This paper proposes a new framework for evaluating capability sets by incorporating individual preferences over the diversity of accessible options. Building on the Capability Approach, we introduce a compromise method that balances between…

The power grid is undergoing significant restructuring driven by the adoption of wind/solar power and the incorporation of new flexible technologies that can shift load in space and time (e.g., data centers, battery storage, and modular…

This paper studies choice situations in which a decision maker can choose multiple alternatives. Given a menu of available options, the decision maker selects a subset of the menu with certain probabilities. We employ an axiomatic approach…

Decision-making pipelines are generally characterized by tradeoffs among various risk functions. It is often desirable to manage such tradeoffs in a data-adaptive manner. As we demonstrate, if this is done naively, state-of-the art…