Related papers: Dynamic Limit Growth Indices in Discrete Time

To date, the tightest upper and lower-bounds for the active learning of general concept classes have been in terms of a parameter of the learning problem called the splitting index. We provide, for the first time, an efficient algorithm…

One of the main challenges within the growing research area of learned indexing is the lack of adaptability to dynamically expanding datasets. This paper explores the dynamization of a static learned index for complex data through…

Traditional reinforcement learning (RL) aims to maximize the expected total reward, while the risk of uncertain outcomes needs to be controlled to ensure reliable performance in a risk-averse setting. In this paper, we consider the problem…

Time-discrete dynamical systems on a finite state space have been used with great success to model natural and engineered systems such as biological networks, social networks, and engineered control systems. They have the advantage of being…

We study the problem of system identification for stochastic continuous-time dynamics, based on a single finite-length state trajectory. We present a method for estimating the possibly unstable open-loop matrix by employing properly…

Bellman formulated a vague principle for optimization over time, which characterizes optimal policies by stating that a decision maker should not regret previous decisions retrospectively. This paper addresses time consistency in stochastic…

Under the International Financial Reporting Standards (IFRS) 9, credit losses ought to be recognised timeously and accurately. This requirement belies a certain degree of dynamicity when estimating the constituent parts of a credit loss…

This paper deals with the stability analysis problem of discrete-time switched linear systems with ranged dwell time. A novel concept called L-switching-cycle is proposed, which contains sequences of multiple activation cycles satisfying…

Time-dependent conformal maps are used to model a class of growth phenomena limited by coupled non-Laplacian transport processes, such as nonlinear diffusion, advection, and electro-migration. Both continuous and stochastic dynamics are…

The last decade has witnessed a number of important and exciting developments that had been achieved for improving recurrence plot based data analysis and to widen its application potential. We will give a brief overview about important and…

Researchers are often interested in examining between-individual differences in within-individual processes. If the process under investigation is tracked for a long time, its trajectory may show a certain degree of nonlinearity, so that…

We present a new method for developing time step controllers based on a technique from the field of machine learning. This method is applicable to stable time integrators that have an embedded scheme, i.e., that have local error estimation…

Motivated by the results of static monetary or star-shaped risk measures, the paper investigates the representation theorems in the dynamic framework. We show that dynamic monetary risk measures can be represented as the lower envelope of a…

We introduce a new dynamical indicator of stability based on the Extreme Value statistics showing that it provides an insight on the local stability properties of dynamical systems. The indicator perform faster than other based on the…

We study the robustness of system estimation to parametric perturbations in system dynamics and initial conditions. We define the problem of sensitivity-based parametric uncertainty quantification in dynamical system estimation. The main…

Working in a continuous time setting, we extend to the general case of dynamic risk measures continuous from above the characterization of time consistency in terms of ``cocycle condition'' of the minimal penalty function. We prove also the…

Indices of acceptability are well suited to frame the axiomatic features of many performance measures, associated to terminal random cash flows.We extend this notion to classes of c\`adl\`ag processes modelling cash flows over a fixed…

In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dynamic time-consistent optimal strategy and related efficient…

In this paper, we propose a new time-aware dissimilarity measure that takes into account the temporal dimension. Observations that are close in the description space, but distant in time are considered as dissimilar. We also propose a…

In this paper, we consider a risk-averse decision problem for controlled-diffusion processes, with dynamic risk measures, in which there are two risk-averse decision makers (i.e., {\it leader} and {\it follower}) with different risk-averse…