Related papers: Catastrophe, Compounding & Consistency in Choice
Catastrophes of all kinds can be roughly defined as short duration-large amplitude events following and followed by long periods of "ripening". Major earthquakes surely belong to the class of 'catastrophic' events. Because of the space-time…
Conditional Value at Risk (CVaR) is widely used to account for the preferences of a risk-averse agent in the extreme loss scenarios. To study the effectiveness of randomization in interdiction games with an interdictor that is both risk and…
Reinforcement learning algorithms utilizing policy gradients (PG) to optimize Conditional Value at Risk (CVaR) face significant challenges with sample inefficiency, hindering their practical applications. This inefficiency stems from two…
The two popular systemic risk measures CoVaR (Conditional Value-at-Risk) and CoES (Conditional Expected Shortfall) have recently been receiving growing attention on applications in economics and finance. In this paper, we study the…
We formulate and solve a discrete-time linear-quadratic regulation (LQR) problem in a finite horizon that penalizes temporal variability and stochastic variability of the state trajectory. Our approach enables the user to strike a balance…
The problem of data uncertainty has motivated the incorporation of robust optimization in various arenas, beyond the Markowitz portfolio optimization. This work presents the extension of the robust optimization framework for the…
This paper proposes a new approach to estimating the distribution of a response variable conditioned on observing some factors. The proposed approach possesses desirable properties of flexibility, interpretability, tractability and…
Causal reasoning and compositional reasoning are two core aspirations in AI. Measuring the extent of these behaviors requires principled evaluation methods. We explore a unified perspective that considers both behaviors simultaneously,…
Since the average treatment effect (ATE) measures the change in social welfare, even if positive, there is a risk of negative effect on, say, some 10% of the population. Assessing such risk is difficult, however, because any one individual…
Recent advances in natural language processing have enabled the increasing use of text data in causal inference, particularly for adjusting confounding factors in treatment effect estimation. Although high-dimensional text can encode rich…
We propose that catastrophic events are "outliers" with statistically different properties than the rest of the population and result from mechanisms involving amplifying critical cascades. Applications and the potential for prediction are…
We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and a conditional expected shortfall (ES) using Rademacher bounds, in a non-parametric setup allowing for heavy-tails on the…
Estimating a causal effect from observational data can be biased if we do not control for self-selection. This selection is based on confounding variables that affect the treatment assignment and the outcome. Propensity score methods aim to…
We propose a communication model, that we call compound arbitrarily varying channels (CAVC), which unifies and generalizes compound channels and arbitrarily varying channels (AVC). A CAVC can be viewed as a noisy channel with a fixed, but…
Conditional value-at-risk (CVaR) and value-at-risk (VaR) are popular tail-risk measures in finance and insurance industries as well as in highly reliable, safety-critical uncertain environments where often the underlying probability…
The standard approach to risk-averse control is to use the Exponential Utility (EU) functional, which has been studied for several decades. Like other risk-averse utility functionals, EU encodes risk aversion through an increasing convex…
We address imbalanced classification, the problem in which a label may have low marginal probability relative to other labels, by weighting losses according to the correct class. First, we examine the convergence rates of the expected…
We consider the problem of learning the causal MAG of a system from observational data in the presence of latent variables and selection bias. Constraint-based methods are one of the main approaches for solving this problem, but the…
We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our…
Clinical risk prediction models are regularly updated as new data, often with additional covariates, become available. We propose CARE (Convex Aggregation of relative Risk Estimators) as a general approach for combining existing "external"…