Related papers: An efficient algorithm for the calculation of rese…
Researchers and practitioners in the field of reliability engineering and optimization frequently use active redundancy techniques to intensify the performance of systems. In this article, we study allocation strategies of non-matching…
Large scale multiagent systems must rely on distributed decision making, as centralized coordination is either impractical or impossible. Recent works approach this problem under a game theoretic lens, whereby utility functions are assigned…
In this paper, we consider equilibrium strategies under Volterra processes and time-inconsistent preferences embracing mean-variance portfolio selection (MVP). Using a functional It\^o calculus approach, we overcome the non-Markovian and…
We formulate and analyze a generic sequential resource access problem arising in a variety of engineering fields, where a user disposes a number of heterogeneous computing, communication, or storage resources, each characterized by the…
In this paper, we study the operational problem of connected hydro power reservoirs which involves sequential decision-making in an uncertain and dynamic environment. The problem is traditionally formulated as a stochastic dynamic program…
In reinforcement learning, robust policies for high-stakes decision-making problems with limited data are usually computed by optimizing the percentile criterion, which minimizes the probability of a catastrophic failure. Unfortunately,…
Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In this work, we propose an efficient numerical framework that uses only simulations of returns for estimating…
Forecast reconciliation is considered an effective method to achieve coherence (within a forecast hierarchy) and to improve forecast quality. However, the value of reconciled forecasts in downstream decision-making tasks has been mostly…
The PC algorithm is the state-of-the-art algorithm for causal structure discovery on observational data. It can be computationally expensive in the worst case due to the conditional independence tests are performed in an…
A computationally efficient method to solve non-convex programming problems with linear equality constraints is presented. The proposed method is based on a recursively feasible and descending sequential convex programming procedure proven…
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mixture with some components estimable to high precision or…
The mean and variance of portfolio returns are the standard quantities to measure the expected return and risk of a portfolio. Efficient portfolios that provide optimal trade-offs between mean and variance warrant consideration. To express…
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919…
In this paper we examine non-convex dynamic optimization problems with forward looking constraints. We prove that the recursive multiplier formulation in \cite{marcet2019recursive} gives the optimal value if one assumes that the planner has…
Long-term reservoir management often uses bounds on the reservoir level, between which the operator can work. However, these bounds are not always kept up-to-date with the latest knowledge about the reservoir drainage area, and thus become…
Insurance companies make extensive use of Monte Carlo simulations in their capital and solvency models. To overcome the computational problems associated with Monte Carlo simulations, most large life insurance companies use proxy models…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
We investigate the problem of sequential linear data prediction for real life big data applications. The second order algorithms, i.e., Newton-Raphson Methods, asymptotically achieve the performance of the "best" possible linear data…
Noisy probabilistic relational rules are a promising world model representation for several reasons. They are compact and generalize over world instantiations. They are usually interpretable and they can be learned effectively from the…
We consider potentially non-convex optimization problems, for which optimal rates of approximation depend on the dimension of the parameter space and the smoothness of the function to be optimized. In this paper, we propose an algorithm…