Related papers: A modular risk concept for complex systems
Smart contracts are self-enforcing agreements that are employed to exchange assets without the approval of trusted third parties. This feature has encouraged various sectors to make use of smart contracts when transacting. Experience shows…
Industrial cyber-infrastructure is normally a multilayered architecture. The purpose of the layered architecture is to hide complexity and allow independent evolution of the layers. In this paper, we argue that this traditional strict…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
We develop a new approach to solving classification problems, which is bases on the theory of coherent measures of risk and risk sharing ideas. The proposed approach aims at designing a risk-averse classifier. The new approach allows for…
Model-based engineering promises to boost productivity and quality of complex systems development. In the context of safety-critical systems, a traditionally highly regulated and conservative domain, the use of models gained importance in…
This paper proposes a model predictive controller for discrete-time linear systems with additive, possibly unbounded, stochastic disturbances and subject to chance constraints. By computing a polytopic probabilistic positively invariant set…
In robust optimization, we would like to find a solution that is immunized against all scenarios that are modeled in an uncertainty set. Which scenarios to include in such a set is therefore of central importance for the tractability of the…
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem…
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
While Robust Model Predictive Control considers the worst-case system uncertainty, Stochastic Model Predictive Control, using chance constraints, provides less conservative solutions by allowing a certain constraint violation probability…
Identifying and understanding modular organizations is centrally important in the study of complex systems. Several approaches to this problem have been advanced, many framed in information-theoretic terms. Our treatment starts from the…
The concept of component-based development (CBD) is widely practiced in software (SW) development. CBD is based on reuse of the existing components with the new ones. The objective of this paper is to propose a novel process model for CBD.…
Motivated by the growing requirements on the operation of complex engineering systems, we present contracts as specifications for continuous-time linear dynamical systems with inputs and outputs. A contract is defined as a pair of…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…
All current investigations to analyze the derivational complexity of term rewrite systems are based on a single termination method, possibly preceded by transformations. However, the exclusive use of direct criteria is problematic due to…
We present an approach for modelling the structure and coarse content of legal documents with a view to providing automated support for the drafting of contracts and contract database retrieval. The approach is designed to be applicable…
The ability to compute reward-optimal policies for given and known finite Markov decision processes (MDPs) underpins a variety of applications across planning, controller synthesis, and verification. However, we often want policies (1) to…
Contract theories have been proposed to formally support distributed and decentralized system design while ensuring safe system integration. In this paper we propose hypercontracts, a generic model with a richer structure for its underlying…
In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…
The importance of mission or safety critical software systems in many application domains of embedded systems is continuously growing, and so is the effort and complexity for reliability and safety analysis. Model driven development is…