Related papers: Maximum Spectral Measures of Risk with given Risk …
Maximum Mean Discrepancy (MMD) is a widely used concept in machine learning research which has gained popularity in recent years as a highly effective tool for comparing (finite-dimensional) distributions. Since it is designed as a…
In this paper, we consider a discrete-time Markov Decision Process (MDP) on a finite state-action space with a long-run risk-sensitive criterion used as the objective function. We discuss the concept of Blackwell optimality and comment on…
Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to…
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk measures that allow for random allocations to individual…
We consider optimal control of the scalar wave equation where the control enters as a coefficient in the principal part. Adding a total variation penalty allows showing existence of optimal controls, which requires continuity results for…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
Maximum likelihood estimation is a fundamental optimization problem in statistics. We study this problem on manifolds of matrices with bounded rank. These represent mixtures of distributions of two independent discrete random variables. We…
We study optimal transport between probability measures supported on the same finite metric space, where the ground cost is a distance induced by a weighted connected graph. Building on recent work showing that the resulting Kantorovich…
We study the minimax optimal rates for estimating a range of Integral Probability Metrics (IPMs) between two unknown probability measures, based on $n$ independent samples from them. Curiously, we show that estimating the IPM itself between…
We consider a distributionally robust stochastic optimization problem and formulate it as a stochastic two-level composition optimization problem with the use of the mean--semideviation risk measure. In this setting, we consider a single…
Encouraged by the study of extremal limits for sums of the form $$\lim_{N\to\infty}\frac{1 }{N}\sum_{n=1}^N c(x_n,y_n)$$ with uniformly distributed sequences $\{x_n\},\,\{y_n\}$ the following extremal problem is of interest…
We propose a numerical algorithm for the computation of multi-marginal optimal transport (MMOT) problems involving general probability measures that are not necessarily discrete. By developing a relaxation scheme in which marginal…
We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…
We consider the design of an optimal collision-free sensor schedule for a number of sensors which monitor different linear dynamical systems correspondingly. At each time, only one of all the sensors can send its local estimate to the…
The problem of the mean-square optimal estimation of the linear functionals which depend on the unknown values of a stochastic stationary sequence from observations of the sequence in special sets of points is considered. Formulas for…
The problem we consider is a multi-objective optimization problem, in which the goal is to find an optimal value of a vector function representing various criteria. The aim of this work is to develop an algorithm which utilizes the trust…
Given a large number of covariates $Z$, we consider the estimation of a high-dimensional parameter $\theta$ in an individualized linear threshold $\theta^T Z$ for a continuous variable $X$, which minimizes the disagreement between…
Orthogonal group synchronization aims to recover orthogonal group elements from their noisy pairwise measurements. It has found numerous applications including computer vision, imaging science, and community detection. Due to the orthogonal…
We consider the problems of estimation and optimization of two popular convex risk measures: utility-based shortfall risk (UBSR) and Optimized Certainty Equivalent (OCE) risk. We extend these risk measures to cover possibly unbounded random…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…