Related papers: Stressing Dynamic Loss Models
Gaussian processes constitute a very powerful and well-understood method for non-parametric regression and classification. In the classical framework, the training data consists of deterministic vector-valued inputs and the corresponding…
The outage of a transmission line may change the system phase angle differences to the point that the system experience stress conditions. Hence, the angle differences for post-contingency condition of a transmission lines should be…
Reversibility is a key concept in Markov models and Master-equation models of molecular kinetics. The analysis and interpretation of the transition matrix encoding the kinetic properties of the model relies heavily on the reversibility…
As the use of machine learning in high impact domains becomes widespread, the importance of evaluating safety has increased. An important aspect of this is evaluating how robust a model is to changes in setting or population, which…
This paper presents a robust version of the stratified sampling method when multiple uncertain input models are considered for stochastic simulation. Various variance reduction techniques have demonstrated their superior performance in…
We propose a numerical method for kinetic plasma simulation in which the phase-space distribution function is represented by a low-rank tensor network with an adaptive level of compression. The Vlasov-Poisson system is advanced using Strang…
One-shot devices analysis involves an extreme case of interval censoring, wherein one can only know whether the failure time is either before or after the test time. Some kind of one-shot devices do not get destroyed when tested, and so can…
The recently proposed statistical finite element (statFEM) approach synthesises measurement data with finite element models and allows for making predictions about the unknown true system response. We provide a probabilistic error analysis…
Applying reinforcement learning to robotic systems poses a number of challenging problems. A key requirement is the ability to handle continuous state and action spaces while remaining within a limited time and resource budget.…
Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical…
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…
We consider a discrete-time version of a Hawkes process defined as a Poisson auto-regressive process whose parameters depend on the past of the trajectory. We allow these parameters to take on negative values, modelling inhibition. More…
Dynamic simulation plays a crucial role in power system transient stability analysis, but traditional numerical integration-based methods are time-consuming due to the small time step sizes. Other semi-analytical solution methods, such as…
In this article, we consider the problem of simultaneous testing of hypotheses when the individual test statistics are not necessarily independent. Specifically, we consider the problem of simultaneous testing of point null hypotheses…
Measuring and managing risk has become crucial in modern decision making under stochastic uncertainty. In two-stage stochastic programming, mean risk models are essentially defined by a parametric recourse problem and a quantification of…
We propose a framework for unified analysis of mixed methods for elasticity with weakly symmetric stress. Based on a commuting diagram in the weakly symmetric elasticity complex and extending a previous stability result, stable mixed…
Robust Bayesian linear regression is a classical but essential statistical tool. Although novel robustness properties of posterior distributions have been proved recently under a certain class of error distributions, their sufficient…
Many highly reliable products are designed to function for years without failure. For such systems accelerated degradation testing may provide significance information about the reliability properties of the system. In this paper, we…
We consider the problem of hypotheses testing with the basic simple hypothesis: observed sequence of points corresponds to stationary Poisson process with known intensity. The alternatives are stationary self-exciting point processes. We…
This paper introduces a novel approach to quantifying ecological resilience in biological systems, particularly focusing on noisy systems responding to episodic disturbances with sudden adaptations. Incorporating concepts from…