相关论文: Pareto efficiency for the concave order and multiv…
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: 1.…
We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results, we show that if the semimartingale has conditionally…
Most of the stochastic orders for comparing random variables, considered in the literature, are afflicted with two main drawbacks: (i) lack of connex property and (ii) lack of consideration of any dependence structure between the random…
In this paper we present a new algorithm for multivariate interpolation of scattered data sets lying in convex domains $\Omega \subseteq \RR^N$, for any $N \geq 2$. To organize the points in a multidimensional space, we build a $kd$-tree…
Robust model predictive control algorithms are essential for addressing unavoidable errors due to the uncertainty in predicting real-world systems. However, the formulation of such algorithms typically results in a trade-off between…
Bipartite ranking is an important supervised learning problem; however, unlike regression or classification, it has a quadratic dependence on the number of samples. To circumvent the prohibitive sample cost, many recent work focus on…
Nondominated sorting is a discrete process that sorts points in Euclidean space according to the coordinatewise partial order, and is used to rank feasible solutions to multiobjective optimization problems. It was previously shown that…
We provide conditions for the stochastic dominance comparisons of a risk $X$ and an associated risk $X+Z$, where $Z$ represents the uncertainty due to the environment and where $X$ and $Z$ can be dependent. The comparisons depend on both…
Stochastic dominance of a random variable by a convex combination of its independent copies has recently been shown to hold within the relatively narrow class of distributions with concave odds function, and later extended to broader…
A constrained multivariate linear model is a multivariate linear model with the columns of its coefficient matrix constrained to lie in a known subspace. This class of models includes those typically used to study growth curves and…
The study of complexity and optimization in decision theory involves both partial and complete characterizations of preferences over decision spaces in terms of real-valued monotones. With this motivation, and following the recent…
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…
It was recently established that for convex optimization problems with sparse optimal solutions (be it entry-wise sparsity or matrix rank-wise sparsity) it is possible to design first-order methods with linear convergence rates that depend…
The push-forward operation enables one to redistribute a probability measure through a deterministic map. It plays a key role in statistics and optimization: many learning problems (notably from optimal transport, generative modeling, and…
The goal of multi-objective optimisation is to identify the Pareto front surface which is the set obtained by connecting the best trade-off points. Typically this surface is computed by evaluating the objectives at different points and then…
How should a risk-averse newsvendor order optimally under distributional ambiguity? Attempts to extend Scarf's celebrated distribution-free ordering rule using risk measures have led to conflicting prescriptions: CVaR-based models…
In this note, we extend the regularity theory for monotone measure-preserving maps, also known as optimal transports for the quadratic cost optimal transport problem, to the case when the support of the target measure is an arbitrary convex…
The quality of consequences in a decision making problem under (severe) uncertainty must often be compared among different targets (goals, objectives) simultaneously. In addition, the evaluations of a consequence's performance under the…
Optimal transport has been used extensively in resource matching to promote the efficiency of resources usages by matching sources to targets. However, it requires a significant amount of computations and storage spaces for large-scale…
In this paper, we consider a network capacity expansion problem in the context of telecommunication networks, where there is uncertainty associated with the expected traffic demand. We employ a distributionally robust stochastic…