Related papers: Efficient Black-Box Importance Sampling for VaR an…
Evaluating the reliability of intelligent physical systems against rare safety-critical events poses a huge testing burden for real-world applications. Simulation provides a useful platform to evaluate the extremal risks of these systems…
Importance sampling (IS) is a Monte Carlo methodology that allows for approximation of a target distribution using weighted samples generated from another proposal distribution. Adaptive importance sampling (AIS) implements an iterative…
Multifidelity modeling has been steadily gaining attention as a tool to address the problem of exorbitant model evaluation costs that makes the estimation of failure probabilities a significant computational challenge for complex real-world…
In rare-event simulation, an importance sampling (IS) estimator is regarded as efficient if its relative error, namely the ratio between its standard deviation and mean, is sufficiently controlled. It is widely known that when a rare-event…
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…
Importance Sampling (IS) is a method for approximating expectations under a target distribution using independent samples from a proposal distribution and the associated importance weights. In many applications, the target distribution is…
Variational Inference (VI) is a popular alternative to asymptotically exact sampling in Bayesian inference. Its main workhorse is optimization over a reverse Kullback-Leibler divergence (RKL), which typically underestimates the tail of the…
Computation of extreme quantiles and tail-based risk measures using standard Monte Carlo simulation can be inefficient. A method to speed up computations is provided by importance sampling. We show that importance sampling algorithms,…
Importance sampling (IS) is a Monte Carlo technique for the approximation of intractable distributions and integrals with respect to them. The origin of IS dates from the early 1950s. In the last decades, the rise of the Bayesian paradigm…
Importance sampling (IS) is a common reweighting strategy for off-policy prediction in reinforcement learning. While it is consistent and unbiased, it can result in high variance updates to the weights for the value function. In this work,…
We discuss estimating the probability that the sum of nonnegative independent and identically distributed random variables falls below a given threshold, i.e., $\mathbb{P}(\sum_{i=1}^{N}{X_i} \leq \gamma)$, via importance sampling (IS). We…
Value at Risk (VaR) and Conditional Value at Risk (CVaR) have become the most popular measures of market risk in Financial and Insurance fields. However, the estimation of both risk measures is challenging, because it requires the knowledge…
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…
A method for quantile-based, semi-parametric historical simulation estimation of multiple step ahead Value-at-Risk (VaR) and Expected Shortfall (ES) models is developed. It uses the quantile loss function, analogous to how the…
Value-at-risk (VaR) is an established measure to assess risks in critical real-world applications with random environmental factors. This paper presents a novel VaR upper confidence bound (V-UCB) algorithm for maximizing the VaR of a…
We study learning algorithms that seek to minimize the conditional value-at-risk (CVaR), when all the learner knows is that the losses incurred may be heavy-tailed. We begin by studying a general-purpose estimator of CVaR for potentially…
Many modern machine learning tasks require models with high tail performance, i.e. high performance over the worst-off samples in the dataset. This problem has been widely studied in fields such as algorithmic fairness, class imbalance, and…
The promise of increased road safety is a key motivator for the development of automated vehicles (AV). Yet, demonstrating that an AV is as safe as, or even safer than, a human-driven vehicle has proven to be challenging. Should an AV be…
Importance sampling is a well developed method in statistics. Given a random variable $X$, the problem of estimating its expected value $\mu$ is addressed. The standard approach is to use the sample mean as an estimator $\bar x$. In…
In this paper we propose a technique to reduce the number of function evaluations, which is often the bottleneck of the black-box optimization, in the information geometric optimization (IGO) that is a generic framework of the probability…