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This paper addresses the estimation of a time- varying parameter in a network. A group of agents sequentially receive noisy signals about the parameter (or moving target), which does not follow any particular dynamics. The parameter is not…
There are various metrics for financial risk, such as value at risk (VaR), expected shortfall, expected/unexpected loss, etc. When estimating these metrics, it was very common to assume Gaussian distribution for the asset returns, which may…
The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…
Communication technologies enable coordination among connected and autonomous vehicles (CAVs). However, it remains unclear how to utilize shared information to improve the safety and efficiency of the CAV system in dynamic and complicated…
Communication is supposed to improve multi-agent collaboration and overall performance in cooperative Multi-agent reinforcement learning (MARL). However, such improvements are prevalently limited in practice since most existing…
We study risk-sensitive planning under partial observability using the dynamic risk measure Iterated Conditional Value-at-Risk (ICVaR). A policy evaluation algorithm for ICVaR is developed with finite-time performance guarantees that do not…
Uncertainty modeling has become increasingly important in power system decision-making. The widely-used tractable uncertainty modeling method-chance constraints with Conditional Value at Risk (CVaR) approximation, can be overconservative…
In this paper, we study the trade-off between the transmission cost and the control performance of the multi-loop networked control system subject to network-induced delay. Within the linear-quadratic-Gaussian (LQG) framework, the joint…
Existing works on multi-agent time-varying optimization allow agents to asynchronously communicate and/or compute, but do not allow asynchronous sampling of objectives. Sampling can be difficult to synchronize, and we therefore present a…
We introduce a variant of the deterministic rendezvous problem for a pair of heterogeneous agents operating in an undirected graph, which differ in the time they require to traverse particular edges of the graph. Each agent knows the…
In this paper, a novel and innovative methodology for feasible motion planning in the multi-agent system is developed. On the basis of velocity obstacles characteristics, the chance constraints are formulated in the receding horizon control…
Time-varying parameter vector autoregression provides a flexible framework to capture structural changes within time series. However, when applied to high-dimensional data, this model encounters challenges of over-parametrization and…
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contains derivatives instruments. In this paper, we postpone to estimate…
In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for discrete probability spaces. We explore the properties of the vector-valued MCVaR (VMCVaR) and show the advantages of…
In this paper, we develop a theoretical framework for bounding the CVaR of a random variable $X$ using another related random variable $Y$, under assumptions on their cumulative and density functions. Our results yield practical tools for…
This paper considers a distributed detection setup where agents in a network want to detect a time-varying signal embedded in temporally correlated noise. The signal of interest is the impulse response of an ARMA (auto-regressive moving…
The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the…
Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric…
This paper investigates online distributed aggregative games with time-varying cost functions, where agents are interconnected through an unbalanced communication graph. Due to the distributed and noncooperative nature of the game, some…
In a wide variety of sequential decision making problems, it can be important to estimate the impact of rare events in order to minimize risk exposure. A popular risk measure is the conditional value-at-risk (CVaR), which is commonly…