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We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate portfolio tail risk, quantified via…
This work studies online episodic tabular Markov decision processes (MDPs) with known transitions and develops best-of-both-worlds algorithms that achieve refined data-dependent regret bounds in the adversarial regime and variance-dependent…
Long-horizon decision problems with cumulative damage couple locally attractive actions to globally adverse outcomes. We identify two orthogonal failure modes for policy-gradient methods on this class and propose a decomposition that…
Machine learning models used for high-stakes predictions in domains like credit risk face critical degradation due to concept drift, requiring robust and transparent adaptation mechanisms. We propose an architecture, where a dedicated…
The bullwhip effect remains operationally persistent despite decades of analytical research. Two computational deficiencies hinder progress: the absence of modular open-source simulation tools for multi-echelon inventory dynamics with…
We study dynamic pricing of a product with an unknown demand distribution over a finite horizon. Departing from the standard no-regret learning environment in which prices can be adjusted at any time, we restrict price changes to…
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strategies by setting the premium as the value such that the…
This paper presents a MATLAB toolbox for implementing robust-to-early termination model predictive control, abbreviated as REAP, which is designed to ensure a sub-optimal yet feasible solution when MPC computations are prematurely…
While reinforcement learning (RL) promises to revolutionize the control of complex nonlinear robotic systems, a profound gap persists between the heuristic success of model-free off-policy deep RL and the underlying theory, which remains…
Adversarial robustness evaluation underpins every claim of trustworthy ML deployment, yet the field suffers from fragmented protocols and undetected gradient masking. We make two contributions. (1) Structured synthesis. We analyze nine…
Automated radiology report drafting (ARRD) using vision-language models (VLMs) has advanced rapidly, yet most systems lack explicit uncertainty estimates, limiting trust and safe clinical deployment. We propose CONRep, a model-agnostic…
We study Model Predictive Control (MPC) and propose a general analysis pipeline to bound its dynamic regret. The pipeline first requires deriving a perturbation bound for a finite-time optimal control problem. Then, the perturbation bound…
Parareal and multigrid reduction in time (MGRiT) are two of the most popular parallel-in-time methods. The idea is to treat time integration in a parallel context by using a multigrid method in time. If $\Phi$ is a (fine-grid) time-stepping…
This work proposes a framework for multistage adjustable robust optimization that unifies the treatment of three different types of endogenous uncertainty, where decisions, respectively, (i) alter the uncertainty set, (ii) affect the…
We present PharmaShip, a real-world Chinese dataset of scanned pharmaceutical shipping documents designed to stress-test pre-trained text-layout models under noisy OCR and heterogeneous templates. PharmaShip covers three complementary…
Many control problems in environments that can be modeled as Markov decision processes (MDPs) concern infinite-time horizon specifications. The classical aim in this context is to compute a control policy that maximizes the probability of…
Reliable set-valued prediction provides a principled way to mitigate hallucinations in open-ended question answering (QA), yet existing conformal approaches typically rely on a fragile premise: finite sampling must already produce at least…
Policy design in non-stationary Markov Decision Processes (MDPs) is inherently challenging due to the complexities introduced by time-varying system transition and reward, which make it difficult for learners to determine the optimal…
In this paper, we showed that the no-arbitrage condition holds if the market follows the mixture of the geometric Brownian motion (GBM). The mixture of GBM can incorporate heavy-tail behavior of the market. It automatically leads us to…
A recent line of works showed regret bounds in reinforcement learning (RL) can be (nearly) independent of planning horizon, a.k.a.~the horizon-free bounds. However, these regret bounds only apply to settings where a polynomial dependency on…