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Machine learning algorithms in high-dimensional settings are highly susceptible to the influence of even a small fraction of structured outliers, making robust optimization techniques essential. In particular, within the…
The ability to make optimal decisions under uncertainty remains important across a variety of disciplines from portfolio management to power engineering. This generally implies applying some safety margins on uncertain parameters that may…
We study the Safe Reinforcement Learning (SRL) problem using the Constrained Markov Decision Process (CMDP) formulation in which an agent aims to maximize the expected total reward subject to a safety constraint on the expected total value…
Risk measures such as Conditional Value-at-Risk (CVaR) focus on extreme losses, where scarce tail data makes model error unavoidable. To hedge misspecification, one evaluates worst-case tail risk over an ambiguity set. Using Extreme Value…
Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced artificial intelligence solutions may provide the right tools to…
Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for systemic risk measures. First, we classify them into two…
We develop a probabilistic framework for analysing model-based reinforcement learning in the episodic setting. We then apply it to study finite-time horizon stochastic control problems with linear dynamics but unknown coefficients and…
Basel II and Solvency 2 both use the Value-at-Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often chosen for the unknown distribution of the yearly log…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
This article develops a new algorithm named TTRISK to solve high-dimensional risk-averse optimization problems governed by differential equations (ODEs and/or PDEs) under uncertainty. As an example, we focus on the so-called Conditional…
The rising successes of RL are propelled by combining smart algorithmic strategies and deep architectures to optimize the distribution of returns and visitations over the state-action space. A quantitative framework to compare the learning…
We consider stochastic dynamic programming problems with high-dimensional, discrete state-spaces and finite, discrete-time horizons that prohibit direct computation of the value function from a given Bellman equation for all states and time…
This paper presents the Safe Sequential Quadratically Constrained Quadratic Programming (SS-QCQP) algorithm, a first-order method for smooth inequality-constrained nonconvex optimization that guarantees feasibility at every iteration. The…
The aim of this paper is to investigate risk-averse and distributionally robust modeling of Stochastic Optimal Control (SOC) and Markov Decision Process (MDP). We discuss construction of conditional nested risk functionals, a particular…
The Stochastic Sequential Threshold Assignment Problem (SSTAP) addresses the optimal assignment of arriving tasks (jobs) to available resources (workers) to maximize a reward function which consists of indicator functions that incorporate…
We are interested in risk constraints for infinite horizon discrete time Markov decision processes (MDPs). Starting with average reward MDPs, we show that increasing concave stochastic dominance constraints on the empirical distribution of…
With the increasing interest in applying the methodology of difference-of-convex (dc) optimization to diverse problems in engineering and statistics, this paper establishes the dc property of many well-known functions not previously known…
To consider a high-dimensional random process, we propose a notion about stochastic tensor-valued random process (TRP). In this work, we first attempt to apply a generic chaining method to derive tail bounds for all p-th moments of the…
In this paper, we introduce a flexible notion of safety verification for nonlinear autonomous systems by measuring how much time the system spends in given unsafe regions. We consider this problem in the particular case of nonlinear systems…
This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed…