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Despite the rise to fame of incremental variance-reduced methods in recent years, their use in nonsmooth optimization is still limited to few simple cases. This is due to the fact that existing methods require to evaluate the proximity…
The popularity of Conditional Value-at-Risk (CVaR), a risk functional from finance, has been growing in the control systems community due to its intuitive interpretation and axiomatic foundation. We consider a nonstandard optimal control…
We study risk-sensitive planning under partial observability using the dynamic risk measure Iterated Conditional Value-at-Risk (ICVaR). A policy evaluation algorithm for ICVaR is developed with finite-time performance guarantees that do not…
Conditional Value-at-Risk (CVaR) is a widely used risk metric in applications such as finance. We derive concentration bounds for CVaR estimates, considering separately the cases of light-tailed and heavy-tailed distributions. In the…
CoVaR (conditional value-at-risk) is a crucial measure for assessing financial systemic risk, which is defined as a conditional quantile of a random variable, conditioned on other random variables reaching specific quantiles. It enables the…
We revisit the sample average approximation (SAA) approach for non-convex stochastic programming. We show that applying the SAA approach to problems with expected value equality constraints does not necessarily result in asymptotic…
The global financial crisis of 2007-2009 highlighted the crucial role systemic risk plays in ensuring stability of financial markets. Accurate assessment of systemic risk would enable regulators to introduce suitable policies to mitigate…
This paper addresses risk averse constrained optimization problems where the objective and constraint functions can only be computed by a blackbox subject to unknown uncertainties. To handle mixed aleatory/epistemic uncertainties, the…
Nonlinear Programs (NLPs) are prevalent in optimization-based control of nonlinear systems. Solving general NLPs is computationally expensive, necessitating the development of fast hardware or tractable suboptimal approximations. This paper…
Spatial autoregressive (SAR) models are important tools for studying network effects. However, with an increasing emphasis on data privacy, data providers often implement privacy protection measures that make classical SAR models…
Optimizing Conditional Value-at-risk (CVaR) using policy gradient (a.k.a CVaR-PG) faces significant challenges of sample inefficiency. This inefficiency stems from the fact that it focuses on tail-end performance and overlooks many sampled…
Artificial Neural Networks (ANN) have been employed for a range of modelling and prediction tasks using financial data. However, evidence on their predictive performance, especially for time-series data, has been mixed. Whereas some…
Conditional Value-at-Risk (CVaR) is a leading tail-risk measure in finance, central to both regulatory and portfolio optimization frameworks. Classical estimation of CVaR and its gradients relies on Monte Carlo simulation, incurring…
A naive likelihood ratio (LR) estimation using the observed frequencies of events can overestimate LRs for infrequent data. One approach to avoid this problem is to use a frequency threshold and set the estimates to zero for frequencies…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
Risk-sensitive reinforcement learning (RL) aims to optimize policies that balance the expected reward and risk. In this paper, we present a novel risk-sensitive RL framework that employs an Iterated Conditional Value-at-Risk (CVaR)…
Adaptive sampling algorithms are modern and efficient methods that dynamically adjust the sample size throughout the optimization process. However, they may encounter difficulties in risk-averse settings, particularly due to the challenge…
The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…
In this paper, we tackle the resolution of chance-constrained problems reformulated via Sample Average Approximation. The resulting data-driven deterministic reformulation takes the form of a large-scale mixed-integer program cursed with…
The Stochastic Shortest Path (SSP) problem models probabilistic sequential-decision problems where an agent must pursue a goal while minimizing a cost function. Because of the probabilistic dynamics, it is desired to have a cost function…