Related papers: Multifidelity conditional value-at-risk estimation…

We present variants of the Conjugate Gradient (CG), Conjugate Residual (CR), and Generalized Minimal Residual (GMRES) methods which are both pipelined and flexible. These allow computation of inner products and norms to be overlapped with…

Accurate estimates of long-term risk probabilities and their gradients are critical for many stochastic safe control methods. However, computing such risk probabilities in real-time and in unseen or changing environments is challenging.…

This study addresses the challenge of online 3D model generation for neural rendering using an RGB image stream. Previous research has tackled this issue by incorporating Neural Radiance Fields (NeRF) or 3D Gaussian Splatting (3DGS) as…

Risk-sensitive reinforcement learning (RL) aims to optimize policies that balance the expected reward and risk. In this paper, we present a novel risk-sensitive RL framework that employs an Iterated Conditional Value-at-Risk (CVaR)…

In spatial statistics, a common method for prediction over a Gaussian random field (GRF) is maximum likelihood estimation combined with kriging. For massive data sets, kriging is computationally intensive, both in terms of CPU time 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…

This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as sub-level sets of the solution to a non-standard optimal…

Several methods have been proposed in the literature to solve reliability-based optimization problems, where failure probabilities are design constraints. However, few methods address the problem of life-cycle cost or risk optimization,…

Computational fluid dynamics (CFD) simulations are crucial in automotive, aerospace, maritime and medical applications, but are limited by the complexity, cost and computational requirements of directly calculating the flow, often taking…

To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk measures such as Value-at-Risk (VaR) and Expected Shortfall…

Max-stable random fields provide canonical models for the dependence of multivariate extremes. Inference with such models has been challenging due to the lack of tractable likelihoods. In contrast, the finite dimensional cumulative…

We study the computational complexity of Markov chain Monte Carlo (MCMC) methods for high-dimensional Bayesian linear regression under sparsity constraints. We first show that a Bayesian approach can achieve variable-selection consistency…

The low-variance direct simulation Monte Carlo (LVDSMC) is a powerful method to simulate low-speed rarefied gas flows. However, in the near-continuum flow regime, due to limitations on the time step and spatial cell size, it takes plenty of…

In this paper we estimate the conditional value-at-risk by fitting different multivariate parametric models capturing some stylized facts about multivariate financial time series of equity returns: heavy tails, negative skew, asymmetric…

In this paper, the fully corrective forward greedy selection-cross validation-based (FCFGS-CV-based) channel estimator is proposed for wideband millimeter wave (mmWave) massive multiple-input multiple-output (MIMO) systems with…

Many modern datasets, such as those in ecology and geology, are composed of samples with spatial structure and dependence. With such data violating the usual independent and identically distributed (IID) assumption in machine learning and…

In this paper, we present an advanced high-order compact gas-kinetic scheme (CGKS) for 3D unstructured mixed-element meshes, augmented with a geometric multigrid technique to accelerate steady-state convergence. The scheme evolves…

Validating safety-critical autonomous systems in high-dimensional domains such as robotics presents a significant challenge. Existing black-box approaches based on Markov chain Monte Carlo may require an enormous number of samples, while…

We propose a hybrid method combining partial differential equation (PDE) and Monte Carlo (MC) techniques to obtain efficient estimates of statistics for plastic deformation related to kinematic hardening models driven by transient coloured…

A challenging problem in estimating high-dimensional graphical models is to choose the regularization parameter in a data-dependent way. The standard techniques include $K$-fold cross-validation ($K$-CV), Akaike information criterion (AIC),…