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Adversarial training (AT) is a simple yet effective defense against adversarial attacks to image classification systems, which is based on augmenting the training set with attacks that maximize the loss. However, the effectiveness of AT as…
Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…
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…
Adversarial training is the most effective method to obtain adversarial robustness for deep neural networks by directly involving adversarial samples in the training procedure. To obtain an accurate and robust model, the weighted-average…
Adversarial training has been considered an imperative component for safely deploying neural network-based applications to the real world. To achieve stronger robustness, existing methods primarily focus on how to generate strong attacks by…
Vision Transformers (ViTs), extensively pre-trained on large-scale datasets, have become essential to foundation models, allowing excellent performance on diverse downstream tasks with minimal adaptation. Consequently, there is growing…
Adversarial training is a method for enhancing neural networks to improve the robustness against adversarial examples. Besides the security concerns of potential adversarial examples, adversarial training can also improve the generalization…
With the rapid development of Artificial Intelligence (AI), the problem of AI security has gradually emerged. Most existing machine learning algorithms may be attacked by adversarial examples. An adversarial example is a slightly modified…
In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…
We propose a risk-averse statistical learning framework wherein the performance of a learning algorithm is evaluated by the conditional value-at-risk (CVaR) of losses rather than the expected loss. We devise algorithms based on stochastic…
Multimodal recommender systems exploit visual and textual signals to alleviate data sparsity, but this also makes them more vulnerable to evasion-based promotion attacks. Existing defenses are largely limited to single-modal settings and…
Successful quantitative investment usually relies on precise predictions of the future movement of the stock price. Recently, machine learning based solutions have shown their capacity to give more accurate stock prediction and become…
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed…
This paper considers a statistical signal processing problem involving agent based models of financial markets which at a micro-level are driven by socially aware and risk- averse trading agents. These agents trade (buy or sell) stocks by…
Adversarial training is a widely-applied approach to training deep neural networks to be robust against adversarial perturbation. However, although adversarial training has achieved empirical success in practice, it still remains unclear…
The dynamic portfolio construction problem requires dynamic modeling of the joint distribution of multivariate stock returns. To achieve this, we propose a dynamic generative factor model which uses random variable transformation as an…
Whereas adversarial training can be useful against specific adversarial perturbations, they have also proven ineffective in generalizing towards attacks deviating from those used for training. However, we observe that this ineffectiveness…
We consider an online stochastic game with risk-averse agents whose goal is to learn optimal decisions that minimize the risk of incurring significantly high costs. Specifically, we use the Conditional Value at Risk (CVaR) as a risk measure…
Remarkable successes were made in Medical Image Classification (MIC) recently, mainly due to wide applications of convolutional neural networks (CNNs). However, adversarial examples (AEs) exhibited imperceptible similarity with raw data,…
Like many optimization algorithms, Stochastic Variational Inference (SVI) is sensitive to the choice of the learning rate. If the learning rate is too small, the optimization process may be slow, and the algorithm might get stuck in local…