Related papers: Acceptability Indices of Performance for Bounded C…
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this…
In this paper, we study properties of certain risk measures associated with acceptance sets. These sets describe regulatory preconditions that have to be fulfilled by financial institutions to pass a given acceptance test. If the financial…
This paper proposes a novel approach for efficiently evaluating regular path queries over provenance graphs of workflows that may include recursion. The approach assumes that an execution g of a workflow G is labeled with query-agnostic…
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…
The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a random endowment is an acceptability index and we provide its…
Deep learning has become the standard approach for most machine learning tasks. While its impact is undeniable, interpreting the predictions of deep learning models from a human perspective remains a challenge. In contrast to model…
Adaptable computing is an increasingly important paradigm that specializes system resources to variable application requirements, environmental conditions, or user requirements. Adapting computing resources to variable application…
We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization…
We derive an algorithm to compute satisfiability bounds for arbitrary {\omega}-regular properties in an Interval-valued Markov Chain (IMC) interpreted in the adversarial sense. IMCs generalize regular Markov Chains by assigning a range of…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and…
Business process models abstract complex business processes by representing them as graphical models. Their layout, solely determined by the modeler, affects their understandability. To support the construction of understandable models it…
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths…
Desirable system performance in the face of threats and disruptions has been characterized by various management concepts. Through semi-structured interviews with editors of journals in the fields of emergency response and systems…
Action-constrained reinforcement learning (ACRL) is a generic framework for learning control policies with zero action constraint violation, which is required by various safety-critical and resource-constrained applications. The existing…
A key impediment to reinforcement learning (RL) in real applications with limited, batch data is defining a reward function that reflects what we implicitly know about reasonable behaviour for a task and allows for robust off-policy…
This paper is devoted to the estimation of the common marginal density function of weakly dependent processes. The accuracy of estimation is measured using pointwise risks. We propose a datadriven procedure using kernel rules. The bandwidth…
We consider the problem of approximating the probability mass of the set of timed paths under a continuous-time Markov chain (CTMC) that are accepted by a deterministic timed automaton (DTA). As opposed to several existing works on this…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information…
The long-run average payoff per transition (mean payoff) is the main tool for specifying the performance and dependability properties of discrete systems. The problem of constructing a controller (strategy) simultaneously optimizing several…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…