Related papers: Monotone 2D Integration Scheme for Mean-CVaR Optim…
The kernel embedding algorithm is an important component for adapting kernel methods to large datasets. Since the algorithm consumes a major computation cost in the testing phase, we propose a novel teacher-learner framework of learning…
Recent years have seen a surge in methods for two-sample testing, among which the Maximum Mean Discrepancy (MMD) test has emerged as an effective tool for handling complex and high-dimensional data. Despite its success and widespread…
Conditional value-at-risk (CVaR) is a prominent risk measure in financial engineering, energy systems, and supply chain management. In these domains, Markov decision processes (MDPs) with a long-run CVaR criterion effectively mitigate cost…
We formulate mold filling in metal casting as a 2D neural operator learning problem that maps geometry and boundary data on an unstructured mesh to time resolved flow quantities, replacing expensive transient CFD. In the proposed method, a…
We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
We introduce a Fourier-based fast algorithm for Gaussian process regression in low dimensions. It approximates a translationally-invariant covariance kernel by complex exponentials on an equispaced Cartesian frequency grid of $M$ nodes.…
This paper initiates a series of studies on a COS-tensor framework, as an efficient alternative to MC for large and liquid portfolios characterized by a modest number of dominant risk factors but a large number of trades. The framework is…
Long-time coherent integration (LTCI) is one of the most important techniques to improve radar detection performance of weak targets. However, for the targets moving with constant Cartesian velocities (CCV), the existing LTCI methods based…
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numerical schemes are developed for the computation of these risk…
In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in costs in addition to minimizing a standard criterion. Conditional value-at-risk (CVaR) is a relatively new risk measure that…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a risk-parity objective,…
We provide a new non-parametric Fourier procedure to estimate the trajectory of the instantaneous covariance process (from discrete observations of a multidimensional price process) in the presence of jumps extending the seminal work…
We present a novel distributionally robust framework for dynamic programming that uses kernel methods to design feedback control policies. Specifically, we leverage kernel mean embedding to map the transition probabilities governing the…
We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of which we aim to estimate. We assume that we observe the…
We propose a data-driven Fourier-trained neural-network method for estimating fixed-horizon probability densities from empirical characteristic-function (CF) information. The estimator is a positive Gaussian--Laplace mixture with…
We consider the problem of improving the efficiency of randomized Fourier feature maps to accelerate training and testing speed of kernel methods on large datasets. These approximate feature maps arise as Monte Carlo approximations to…
We study the numerical approximation of stochastic evolution equations with a monotone drift driven by an infinite-dimensional Wiener process. To discretize the equation, we combine a drift-implicit two-step BDF method for the temporal…