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Energy forecasting has attracted enormous attention over the last few decades, with novel proposals related to the use of heterogeneous data sources, probabilistic forecasting, online learn-ing, etc. A key aspect that emerged is that…
Electricity price forecasts are typically evaluated using accuracy measures such as RMSE and MAE, although these metrics often fail to reflect their economic value in operational decisions. This paper investigates which statistical…
Traditional round-trip car rental systems mandate users to return vehicles to their point of origin, limiting the system adaptability to meet diverse mobility demands. This constraint often leads to fleet under-utilization and incurs high…
In this article, a multiple split method is proposed that enables construction of multidimensional probabilistic forecasts of a selected set of variables. The method uses repeated resampling to estimate uncertainty of simultaneous…
We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivator behind this numerical method is estimating solutions to Adverse Selection…
Many online companies sell advertisement space in second-price auctions with reserve. In this paper, we develop a probabilistic method to learn a profitable strategy to set the reserve price. We use historical auction data with features to…
Collaborative machine learning (CML) provides a promising paradigm for democratizing advanced technologies by enabling cost-sharing among participants. However, the potential for rent-seeking behaviors among parties can undermine such…
This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…
Forecasting accuracy is reliant on the quality of available past data. Data disruptions can adversely affect the quality of the generated model (e.g. unexpected events such as out-of-stock products when forecasting demand). We address this…
Efficient management of spare parts inventory is crucial in the automotive aftermarket, where demand is highly intermittent and uncertainty drives substantial cost and service risks. Forecasting is therefore central, but the quality of…
This study investigates the integration of forecasting and optimization in energy management systems, with a focus on the role of switching costs -- penalties incurred from frequent operational adjustments. We develop a theoretical and…
The ski rental problem is a canonical model for online decision-making under uncertainty, capturing the fundamental trade-off between repeated rental costs and a one-time purchase. While classical algorithms focus on worst-case competitive…
Many solutions to cost-sensitive classification (and regression) rely on some or all of the following assumptions: we have complete knowledge about the cost context at training time, we can easily re-train whenever the cost context changes,…
Training classification models on imbalanced data tends to result in bias towards the majority class. In this paper, we demonstrate how variable discretization and cost-sensitive logistic regression help mitigate this bias on an imbalanced…
We study how delegating pricing to large language models (LLMs) can facilitate collusion in a duopoly when both sellers rely on the same pre-trained model. The LLM is characterized by (i) a propensity parameter capturing its internal bias…
Given the continuous increase in dataset sizes and the complexity of forecasting models, the trade-off between forecast accuracy and computational cost is emerging as an extremely relevant topic, especially in the context of ensemble…
This paper examines the use of a residual bootstrap for bias correction in machine learning regression methods. Accounting for bias is an important obstacle in recent efforts to develop statistical inference for machine learning methods. We…
Betting markets are gaining in popularity. Mean beliefs generally differ from prices in prediction markets. Logarithmic utility is employed to study the risk and return adjustments to prices. Some consequences are described. A modified…
Hierarchical learning models, such as mixture models and Bayesian networks, are widely employed for unsupervised learning tasks, such as clustering analysis. They consist of observable and hidden variables, which represent the given data…
Industrial prognostics focuses on utilizing degradation signals to forecast and continually update the residual useful life of complex engineering systems. However, existing prognostic models for systems with multiple failure modes face…