Related papers: Robust Utility Optimization via a GAN Approach

In this research, we show how to expand existing approaches of using generative adversarial networks (GANs) as economic scenario generators (ESG) to a whole internal market risk model - with enough risk factors to model the full band-width…

This study provides an in-depth analysis of the model architecture and key technologies of generative artificial intelligence, combined with specific application cases, and uses conditional generative adversarial networks ( cGAN ) and time…

Deep neural networks have been shown to perform well in many classical machine learning problems, especially in image classification tasks. However, researchers have found that neural networks can be easily fooled, and they are surprisingly…

This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be…

This study explores the application of generative adversarial networks in financial market supervision, especially for solving the problem of data imbalance to improve the accuracy of risk prediction. Since financial market data are often…

The availability of deep hedging has opened new horizons for solving hedging problems under a large variety of realistic market conditions. At the same time, any model - be it a traditional stochastic model or a market generator - is at…

We propose a general framework for increasing local stability of Artificial Neural Nets (ANNs) using Robust Optimization (RO). We achieve this through an alternating minimization-maximization procedure, in which the loss of the network is…

We propose a new Robust Optimization method for the energy offering problem of a price-taker generating company that wants to build offering curves for its generation units, in order to maximize its profit while taking into account the…

Decision trees are a popular choice of explainable model, but just like neural networks, they suffer from adversarial examples. Existing algorithms for fitting decision trees robust against adversarial examples are greedy heuristics and…

This paper describes a general, scalable, end-to-end framework that uses the generative adversarial network (GAN) objective to enable robust speech recognition. Encoders trained with the proposed approach enjoy improved invariance by…

Generative adversarial networks have been very successful in generative modeling, however they remain relatively challenging to train compared to standard deep neural networks. In this paper, we propose new visualization techniques for the…

Generative Adversarial Networks (GANs) have achieved remarkable results in the task of generating realistic natural images. In most successful applications, GAN models share two common aspects: solving a challenging saddle point…

Generative adversarial network (GAN) has gotten wide re-search interest in the field of deep learning. Variations of GAN have achieved competitive results on specific tasks. However, the stability of training and diversity of generated…

Both generative adversarial networks (GAN) in unsupervised learning and actor-critic methods in reinforcement learning (RL) have gained a reputation for being difficult to optimize. Practitioners in both fields have amassed a large number…

Robust optimization (RO) tackles data uncertainty by optimizing for the worst-case scenario of an uncertain parameter and, in its basic form, is sometimes criticized for producing overly-conservative solutions. To reduce the level of…

Generative adversarial networks (GANs) represent a zero-sum game between two machine players, a generator and a discriminator, designed to learn the distribution of data. While GANs have achieved state-of-the-art performance in several…

Soft sensing infers hard-to-measure data through a large number of easily obtainable variables. However, in complex industrial scenarios, the issue of insufficient data volume persists, which diminishes the reliability of soft sensing.…

Generative adversarial networks (GANs) are an expressive class of neural generative models with tremendous success in modeling high-dimensional continuous measures. In this paper, we present a scalable method for unbalanced optimal…

Adversarial optimization algorithms that explicitly search for flaws in agents' policies have been successfully applied to finding robust and diverse policies in multi-agent settings. However, the success of adversarial optimization has…

Many mathematical optimization algorithms fail to sufficiently explore the solution space of high-dimensional nonlinear optimization problems due to the curse of dimensionality. This paper proposes generative models as a complement to…