Related papers: Black-Litterman model with intuitionistic fuzzy po…

In this paper we study optimal trading strategies in a financial market in which stock returns depend on a hidden Gaussian mean reverting drift process. Investors obtain information on that drift by observing stock returns. Moreover, expert…

This paper addresses the issue of inversion in cases where (1) the observation system is modeled by a linear transformation and additive noise, (2) the problem is ill-posed and regularization is introduced in a Bayesian framework by an a…

Contrastively trained encoders have recently been proven to invert the data-generating process: they encode each input, e.g., an image, into the true latent vector that generated the image (Zimmermann et al., 2021). However, real-world…

Inverse problems, i.e., estimating parameters of physical models from experimental data, are ubiquitous in science and engineering. The Bayesian formulation is the gold standard because it alleviates ill-posedness issues and quantifies…

The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have to be estimated by using historical data of the asset…

A simple Bayesian approach to nonparametric regression is described using fuzzy sets and membership functions. Membership functions are interpreted as likelihood functions for the unknown regression function, so that with the help of a…

The credibility theory was introduced by B. Liu as a new way to describe the fuzzy uncertainty. The credibility measure is the fundamental notion of the credibility theory. Recently, L.Yang and K. Iwamura extended the credibility measure by…

Decision analysis deals with modeling and enhancing decision processes. A principal challenge in improving behavior is in obtaining a transparent description of existing behavior in the first place. In this paper, we develop an expressive,…

Optimization is widely used in statistics, and often efficiently delivers point estimates on useful spaces involving structural constraints or combinatorial structure. To quantify uncertainty, Gibbs posterior exponentiates the negative loss…

This paper presents a probabilistic approach to represent and quantify model-form uncertainties in the reduced-order modeling of complex systems using operator inference techniques. Such uncertainties can arise in the selection of an…

This paper proposes a novel fuzzy action selection method to leverage human knowledge in reinforcement learning problems. Based on the estimates of the most current action-state values, the proposed fuzzy nonlinear mapping as-signs each…

In this work we consider Bayesian inference problems with intractable likelihood functions. We present a method to compute an approximate of the posterior with a limited number of model simulations. The method features an inverse Gaussian…

In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…

Predicting the exit (e.g. bankrupt, acquisition, etc.) of privately held companies is a current and relevant problem for investment firms. The difficulty of the problem stems from the lack of reliable, quantitative and publicly available…

In this paper, we discussed about the intuitionistic fuzzy linear transformations (IFLT) and shown that the set of all linear transformations L(V) defined over an intuitionistic fuzzy vector space V does not form an vector space. Here we…

Black box variational inference (BBVI) with reparameterization gradients triggered the exploration of divergence measures other than the Kullback-Leibler (KL) divergence, such as alpha divergences. In this paper, we view BBVI with…

Aiming at the group decision - making problem with multi - objective attributes, this study proposes a group decision - making system that integrates fuzzy inference and Bayesian network. A fuzzy rule base is constructed by combining…

This work is aimed at the derivation of reliable and efficient a posteriori error estimates for convection-dominated diffusion problems motivated by a linear Fokker-Planck problem appearing in computational neuroscience. We obtain…

Insider information and model uncertainty are two unavoidable problems for the portfolio selection theory in reality. This paper studies the robust optimal portfolio strategy for an investor who owns general insider information under model…

We study a nonparametric Bayesian approach to linear inverse problems under discrete observations. We use the discrete Fourier transform to convert our model into a truncated Gaussian sequence model, that is closely related to the classical…