Related papers: Stochastic simulators based optimization by Gaussi…

This study investigates a stochastic production planning problem with regime-switching parameters, inspired by economic cycles impacting production and inventory costs. The model considers types of goods and employs a Markov chain to…

We present a multi-objective evolutionary optimization algorithm that uses Gaussian process (GP) regression-based models to select trial solutions in a multi-generation iterative procedure. In each generation, a surrogate model is…

Portfolio optimization is a fundamental problem in finance that aims to determine the optimal allocation of assets within a portfolio to maximize returns while minimizing risk. It can be formulated as a Quadratic Unconstrained Binary…

We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate portfolio tail risk, quantified via…

We present general principles for the design and analysis of unbiased Monte Carlo estimators in a wide range of settings. Our estimators posses finite work-normalized variance under mild regularity conditions. We apply our estimators to…

This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating and identifying mixed causal and noncausal models. The GCov estimator is a semi-parametric method that minimizes an objective function…

Quantification and minimization of uncertainty is an important task in the design of electromagnetic devices, which comes with high computational effort. We propose a hybrid approach combining the reliability and accuracy of a Monte Carlo…

Much recent research has been conducted in the area of Bayesian learning, particularly with regard to the optimization of hyper-parameters via Gaussian process regression. The methodologies rely chiefly on the method of maximizing the…

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random…

Gaussian process regression is a popular method for non-parametric probabilistic modeling of functions. The Gaussian process prior is characterized by so-called hyperparameters, which often have a large influence on the posterior model and…

We propose a framework that integrates classical Monte Carlo simulators and Wasserstein generative adversarial networks to model, estimate, and simulate a broad class of arrival processes with general non-stationary and multi-dimensional…

We develop new unbiased estimators of a number of quantities defined for functions of conditional moments, like conditional expectations and variances, of functions of two independent random variables given the first variable, including…

This paper presents a new variable selection approach integrated with Gaussian process (GP) regression. We consider a sparse projection of input variables and a general stationary covariance model that depends on the Euclidean distance…

This paper investigates a new class of modifier-adaptation schemes to overcome plant-model mismatch in real-time optimization of uncertain processes. The main contribution lies in the integration of concepts from the areas of Bayesian…

This paper investigates methods for estimating the optimal stochastic control policy for a Markov Decision Process with unknown transition dynamics and an unknown reward function. This form of model-free reinforcement learning comprises…

For long term investments, model portfolios are defined at the level of indexes, a setup known as Strategic Asset Allocation (SAA). The possible outcomes at a scale of a few decades can be obtained by Monte Carlo simulations, resulting in a…

The ability of Gaussian processes (GPs) to predict the behavior of dynamical systems as a more sample-efficient alternative to parametric models seems promising for real-world robotics research. However, the computational complexity of GPs…

Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our previous works, we have studied the portfolio optimization…

Many safety-critical real-world problems, such as autonomous driving and collaborative robots, are of a distributed multi-agent nature. To optimize the performance of these systems while ensuring safety, we can cast them as distributed…

Optimal asset allocation is a key topic in modern finance theory. To realize the optimal asset allocation on investor's risk aversion, various portfolio construction methods have been proposed. Recently, the applications of machine learning…