Related papers: Dynamic Assessment Indices
Adaptive estimation of linear functionals over a collection of parameter spaces is considered. A between-class modulus of continuity, a geometric quantity, is shown to be instrumental in characterizing the degree of adaptability over two…
In this paper, we present a case study demonstrating how dynamic and uncertain criteria can be incorporated into a multicriteria analysis with the help of discrete event simulation. The simulation guided multicriteria analysis can include…
We present the first steps of interaction spaces theory, a universal mathematical theory of complex systems which is able to embed cellular automata, agent based models, master equation based models, stochastic or deterministic, continuous…
In this essay, we provide an overview of methodological considerations necessary to lay out the foundation for our PhD research on uncertainty and risk-aware adaptation.
In this paper, we introduce generalized dichotomies for nonautonomous random linear dynamical systems acting on arbitrary Banach spaces, and obtain their complete characterization in terms of an appropriate admissibility property. These…
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between…
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…
One of the basic frameworks in science views behavioral products as a process within a dynamic system. The mechanism might be seen as a representation of many instances of centralized control in real time. Many real systems, however,…
Many transfer problems require re-using previously optimal decisions for solving new tasks, which suggests the need for learning algorithms that can modify the mechanisms for choosing certain actions independently of those for choosing…
We develop a generalized stability framework for stochastic discrete-time systems, where the generality pertains to the ways in which the distribution of the state energy can be characterized. We use tools from finance and operations…
In this paper, we continue to study random convex analysis. First, we introduce the notion of an $L^0$--pre--barreled module. Then, we develop the theory of random duality under the framework of a random locally convex module endowed with…
We introduce a dynamic spatiotemporal volatility model that extends traditional approaches by incorporating spatial, temporal, and spatiotemporal spillover effects, along with volatility-specific observed and latent factors. The model…
The purpose of this paper is to present a universal approach to the study of controllability/observability problems for infinite dimensional systems governed by some stochastic/deterministic partial differential equations. The crucial…
Integrated Assessment Models (IAMs) are pivotal tools that synthesize knowledge from climate science, economics, and policy to evaluate the interactions between human activities and the climate system. They serve as essential instruments…
This paper considers the problem of dynamic average consensus algorithm design for a group of communicating agents. This problem consists of designing a distributed algorithm that enables a group of agents with communication and computation…
An agent operating in an unknown dynamical system must learn its dynamics from observations. Active information gathering accelerates this learning, but existing methods derive bespoke costs for specific modeling choices: dynamics models,…
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via…
We propose a general framework for sequential and dynamic acquisition of useful information in order to solve a particular task. While our goal could in principle be tackled by general reinforcement learning, our particular setting is…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…