Related papers: Optimizing the CVaR via Sampling

The standard approach to risk-averse control is to use the Exponential Utility (EU) functional, which has been studied for several decades. Like other risk-averse utility functionals, EU encodes risk aversion through an increasing convex…

Optimizing static risk-averse objectives in Markov decision processes is difficult because they do not admit standard dynamic programming equations common in Reinforcement Learning (RL) algorithms. Dynamic programming decompositions that…

A key driver of Credit Value Adjustment (CVA) is the possible dependency between exposure and counterparty credit risk, known as Wrong-Way Risk (WWR). At this time, addressing WWR in a both sound and tractable way remains challenging:…

Optimizing the learning rate remains a critical challenge in machine learning, essential for achieving model stability and efficient convergence. The Vector Auxiliary Variable (VAV) algorithm introduces a novel energy-based self-adjustable…

This paper focuses on the class of routing games that have uncertain costs. Assuming that agents are risk-averse and select paths with minimum conditional value-at-risk (CVaR) associated to them, we define the notion of CVaR-based Wardrop…

We propose a novel randomized incremental gradient algorithm, namely, VAriance-Reduced Accelerated Gradient (Varag), for finite-sum optimization. Equipped with a unified step-size policy that adjusts itself to the value of the condition…

This article presents a new method for forecasting Value at Risk. Convolutional neural networks can do time series forecasting, since they can learn local patterns in time. A simple modification enables them to forecast not the mean, but…

The objective in a traditional reinforcement learning (RL) problem is to find a policy that optimizes the expected value of a performance metric such as the infinite-horizon cumulative discounted or long-run average cost/reward. In…

In this paper, we introduce an efficient and end-to-end quantum algorithm tailored for computing the Value-at-Risk (VaR) and conditional Value-at-Risk (CVar) for a portfolio of European options. Our focus is on leveraging quantum…

This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to the relative portfolio…

Value-at-Risk (VaR) is one of the main regulatory tools used for risk management purposes. However, it is difficult to compute optimal VaR portfolios; that is, an optimal risk-reward portfolio allocation using VaR as the risk measure. This…

Training Reinforcement Learning (RL) agents in high-stakes applications might be too prohibitive due to the risk associated to exploration. Thus, the agent can only use data previously collected by safe policies. While previous work…

We introduce a fast and scalable method for solving quadratic programs with conditional value-at-risk (CVaR) constraints. While these problems can be formulated as standard quadratic programs, the number of variables and constraints grows…

Distributional regression aims at estimating the conditional distribution of a targetvariable given explanatory co-variates. It is a crucial tool for forecasting whena precise uncertainty quantification is required. A popular methodology…

The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural…

Distributional reinforcement learning (DRL) enhances the understanding of the effects of the randomness in the environment by letting agents learn the distribution of a random return, rather than its expected value as in standard RL. At the…

Safe navigation is a fundamental challenge in multi-robot systems due to the uncertainty surrounding the future trajectory of the robots that act as obstacles for each other. In this work, we propose a principled data-driven approach where…

We introduce a variational algorithm to estimate the likelihood of a rare event within a nonequilibrium molecular dynamics simulation through the evaluation of an optimal control force. Optimization of a control force within a chosen basis…

In order to estimate the conditional risk of a portfolio's return, two strategies can be advocated. A multivariate strategy requires estimating a dynamic model for the vector of risk factors, which is often challenging, when at all…

Safe navigation for mobile robots demands policies that remain reliable under the high-consequence perception uncertainty of cluttered environments. Yet most existing safe reinforcement learning (RL) methods assess safety through average…