Related papers: Robust exploratory mean-variance problem with drif…

This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be…

While learning in an unknown Markov Decision Process (MDP), an agent should trade off exploration to discover new information about the MDP, and exploitation of the current knowledge to maximize the reward. Although the agent will…

We consider a general statistical learning problem where an unknown fraction of the training data is corrupted. We develop a robust learning method that only requires specifying an upper bound on the corrupted data fraction. The method…

In financial applications, reinforcement learning (RL) agents are commonly trained on historical data, where their actions do not influence prices. However, during deployment, these agents trade in live markets where their own transactions…

This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…

We propose a new formulation of robust regression by integrating all realizations of the uncertainty set and taking an averaged approach to obtain the optimal solution for the ordinary least squares regression problem. We show that this…

We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…

Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…

We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…

This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many…

In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…

The exploration \& exploitation dilemma poses significant challenges in reinforcement learning (RL). Recently, curiosity-based exploration methods achieved great success in tackling hard-exploration problems. However, they necessitate…

The exploration-exploitation dilemma has been an intriguing and unsolved problem within the framework of reinforcement learning. "Optimism in the face of uncertainty" and model building play central roles in advanced exploration methods.…

Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…

Motion planning is a fundamental problem and focuses on finding control inputs that enable a robot to reach a goal region while safely avoiding obstacles. However, in many situations, the state of the system may not be known but only…

Robust machine learning formulations have emerged to address the prevalent vulnerability of deep neural networks to adversarial examples. Our work draws the connection between optimal robust learning and the privacy-utility tradeoff…

The main objective of this paper is to outline a theoretical framework to analyse how humans' decision-making strategies under uncertainty manage the trade-off between information gathering (exploration) and reward seeking (exploitation). A…

In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model uncertainty is governed by a continuous semimartingale with uncertain local characteristics. Here, the differential…

This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be…

This article studies the Minimum Spanning Tree Problem under Explorable Uncertainty as well as a related vertex uncertainty version of the problem. We particularly consider special instance types, including cactus graphs, for which we…