Related papers: Multifidelity conditional value-at-risk estimation…
The composition of multiple Gaussian Processes as a Deep Gaussian Process (DGP) enables a deep probabilistic nonparametric approach to flexibly tackle complex machine learning problems with sound quantification of uncertainty. Existing…
In this work we introduce a fully-connected graph structure in the Deep Gaussian Conditional Random Field (G-CRF) model. For this we express the pairwise interactions between pixels as the inner-products of low-dimensional embeddings,…
This paper studies the estimation of high dimensional Gaussian graphical model (GGM). Typically, the existing methods depend on regularization techniques. As a result, it is necessary to choose the regularized parameter. However, the…
We study a first-order primal-dual subgradient method to optimize risk-constrained risk-penalized optimization problems, where risk is modeled via the popular conditional value at risk (CVaR) measure. The algorithm processes independent and…
Time-variant reliability analysis is a critical task for ensuring the safety of engineering dynamical systems subjected to stochastic excitations. However, assessing failure probability for realistic systems with Monte-Carlo…
Optimizing Conditional Value-at-risk (CVaR) using policy gradient (a.k.a CVaR-PG) faces significant challenges of sample inefficiency. This inefficiency stems from the fact that it focuses on tail-end performance and overlooks many sampled…
Risk measures are important key figures to measure the adequacy of the reserves of a company. The most common risk measures in practice are Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Recently, quantum-based algorithms are…
The popularity of Conditional Value-at-Risk (CVaR), a risk functional from finance, has been growing in the control systems community due to its intuitive interpretation and axiomatic foundation. We consider a nonstandard optimal control…
Post-click conversion, as a strong signal indicating the user preference, is salutary for building recommender systems. However, accurately estimating the post-click conversion rate (CVR) is challenging due to the selection bias, i.e., the…
We develop a variant of the stochastic prox-linear method for minimizing the Conditional Value-at-Risk (CVaR) objective. CVaR is a risk measure focused on minimizing worst-case performance, defined as the average of the top quantile of the…
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over…
To address deviations from expected performance in stochastic systems, we propose a risk-sensitive control synthesis method to minimize certain risk measures over the limiting stationary distribution. Specifically, we extend Worst-case…
Safe navigation is a fundamental challenge in multi-robot systems due to the uncertainty surrounding the future trajectory of the robots that act as obstacles for each other. In this work, we propose a principled data-driven approach where…
Contact variability, sensing uncertainty, and external disturbances make grasp execution stochastic. Expected-quality objectives ignore tail outcomes and often select grasps that fail under adverse contact realizations. Risk-sensitive…
In a modern observational study based on healthcare databases, the number of observations and of predictors typically range in the order of $10^5$ ~ $10^6$ and of $10^4$ ~ $10^5$. Despite the large sample size, data rarely provide…
We consider finite-horizon Markov Decision Processes where parameters, such as transition probabilities, are unknown and estimated from data. The popular distributionally robust approach to addressing the parameter uncertainty can sometimes…
The work focuses on gathering high-fidelity and low-fidelity numerical simulations data using Nektar++ (Solver based on Applied Mathematics) and XFOIL respectively. The utilization of the higher polynomial distribution in calculating the…
The conditional gradient method (CGM) is widely used in large-scale sparse convex optimization, having a low per iteration computational cost for structured sparse regularizers and a greedy approach to collecting nonzeros. We explore the…
Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. These…
Accurate forecasting of the Volatility-Covariance Matrix (VCV) is central to regulatory capital adequacy processes such as the Internal Capital Adequacy Assessment Process (ICAAP) and the Comprehensive Capital Analysis and Review (CCAR).…