相关论文: Evolutionary multi-stage financial scenario tree g…

Probabilistic sampling methods have become very popular to solve single-shot path planning problems. Rapidly-exploring Random Trees (RRTs) in particular have been shown to be efficient in solving high dimensional problems. Even though…

Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…

We propose a novel method designed for large-scale regression problems, namely the two-stage best-scored random forest (TBRF). "Best-scored" means to select one regression tree with the best empirical performance out of a certain number of…

In several applications of automatic diagnosis and active learning a central problem is the evaluation of a discrete function by adaptively querying the values of its variables until the values read uniquely determine the value of the…

Real-time dispatch practices for operating the electric grid in an economic and reliable manner are evolving to accommodate higher levels of renewable energy generation. In particular, stochastic optimization is receiving increased…

Evolutionary branching is analysed in a stochastic, individual-based population model under mutation and selection. In such models, the common assumption is that individual reproduction and life career are characterised by values of a…

In this paper, we present a novel approach to the generation of virtual scenarios of multivariate financial data of arbitrary length and composition of assets. With this approach, decades of realistic time-synchronized data can be simulated…

Bayesian optimization is a sample-efficient method for solving expensive, black-box optimization problems. Stochastic programming concerns optimization under uncertainty where, typically, average performance is the quantity of interest. In…

Reinforcement learning techniques achieved human-level performance in several tasks in the last decade. However, in recent years, the need for interpretability emerged: we want to be able to understand how a system works and the reasons…

This paper introduces a multi-timescale stochastic programming framework designed to address decision-making challenges in power systems, particularly those with high renewable energy penetration. The framework models interactions across…

We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…

We consider a class of multi-stage robust covering problems, where additional information is revealed about the problem instance in each stage, but the cost of taking actions increases. The dilemma for the decision-maker is whether to wait…

In this work, we propose a multi-stage training strategy for the development of deep learning algorithms applied to problems with multiscale features. Each stage of the pro-posed strategy shares an (almost) identical network structure and…

We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…

In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…

To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal control problems. We consider two different interpretations…

This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…

Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…

Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…

We propose a stochastic model for evolution. Births and deaths of species occur with constant probabilities. Each new species is associated with a fitness sampled from the uniform distribution on [0,1]. Every time there is a death event…