Related papers: Stressing Dynamic Loss Models
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
The peridynamic stress formula proposed by Lehoucq and Silling [1, 2] is cumbersome to be implemented in numerical computations. Here, we show that the peridynamic stress tensor has the exact mathematical expression as that of the first…
We study the a priori error analysis of finite element methods for Biot's consolidation model. We consider a formulation which has the stress tensor, the fluid flux, the solid displacement, and the pore pressure as unknowns. Two mixed…
This paper proposes risk-averse and risk-agnostic formulations to robust design in which solutions that satisfy the system requirements for a set of scenarios are pursued. These scenarios, which correspond to realizations of uncertain…
In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…
We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers…
This paper describes performance bounds for compressed sensing in the presence of Poisson noise when the underlying signal, a vector of Poisson intensities, is sparse or compressible (admits a sparse approximation). The signal-independent…
We consider reinforcement learning with performance evaluated by a dynamic risk measure. We construct a projected risk-averse dynamic programming equation and study its properties. Then we propose risk-averse counterparts of the methods of…
Model-based process simulation can be used to derive designs and operating conditions of chemical processes that optimally balance multiple objectives, such as quality, costs, or environmental impacts. This work focuses on identifying…
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a…
Accelerated degradation tests are used to provide accurate estimation of lifetime properties of highly reliable products within a relatively short testing time. There data from particular tests at high levels of stress (e.\,g.\ temperature,…
Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer from computationally expensive modified Bessel function evaluations. We propose a new exact simulation scheme without the…
In this work we propose a stochastic model for estimating the occurrence of crack initiations on the surface of metallic specimens in fatigue problems that can be applied to a general class of geometries. The stochastic model is based on…
In this paper, we propose a data-driven robust safety verification framework for stochastic dynamical systems modeled as Markov decision processes with time-varying and uncertain transition probabilities. Rather than assuming access to the…
Recently, a step-stress accelerated degradation test (SSADT) plan, in which the stress level is elevated when the degradation value of a product crosses a pre-specified value, was proposed. The times of stress level elevating are random and…
In this work, based on a realization of an inhomogeneous Poisson process whose intensity function depends on a real unknown parameter, we consider a simple hypothesis against a sequence of close (contiguous) alternatives. Under certain…
The Poisson process of order $i$ is a weighted sum of independent Poisson processes and is used to model the flow of clients in different services. In the paper below we study some extensions of this process, for different forms of the…
The deployment of autonomous systems that operate in unstructured environments necessitates algorithms to verify their safety. This can be challenging due to, e.g., black-box components in the control software, or undermodelled dynamics…
We present the formulation for finding the distribution of eigenstrains, i.e. the sources of residual stress, from a set of measurements of residual elastic strain (e.g. by diffraction), or residual stress, or stress redistribution, or…
In Bayesian accelerated life testing, the most used tool for model comparison is the deviance information criterion. An alternative and more formal approach is to use Bayes factors to compare models. However, Bayesian accelerated life…