相关论文: An efficient algorithm for the calculation of rese…

Hierarchical time series are common in several applied fields. The forecasts for these time series are required to be coherent, that is, to satisfy the constraints given by the hierarchy. The most popular technique to enforce coherence is…

The linked cell list algorithm is an essential part of molecular simulation software, both molecular dynamics and Monte Carlo. Though it scales linearly with the number of particles, there has been a constant interest in increasing its…

This article presents a stochastic framework to quantify the biometric risk of an insurance portfolio in solvency regimes such as Solvency II or the Swiss Solvency Test (SST). The main difficulty in this context constitutes in the proper…

We study the classic online bipartite matching problem with a twist: offline vertices, called resources, are $\textit{reusable}$. In particular, when a resource is matched to an online vertex it is unavailable for a deterministic time…

This paper proposes a reformulation of the scenario-based two-stage unit commitment problem under uncertainty that allows finding unit-commitment plans that perform reasonably well both in expectation and for the worst case realization of…

We consider various stochastic models that incorporate the notion of risk-averseness into the standard 2-stage recourse model, and develop novel techniques for solving the algorithmic problems arising in these models. A key notable feature…

This paper studies the efficiency of battery storage operations in electricity markets by comparing the social welfare gain achieved by a central planner to that of a decentralized profit-maximizing operator. The problem is formulated in a…

Even if path planning can be solved using standard techniques from dynamic programming and control, the problem can also be approached using probabilistic inference. The algorithms that emerge using the latter framework bear some appealing…

The scaling of the exact solution of a hyperbolic balance law generates a family of scaled problems in which the source term does not depend on the current solution. These problems are used to construct a sequence of solutions whose…

The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…

We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…

In the paper we develop mathematical tools of quantile hedging in incomplete market. Those could be used for two significant applications: o calculating the \textbf{optimal capital requirement imposed by Solvency II} (Directive 2009/138/EC…

In this work, we address the problem of determining reliable policies in reinforcement learning (RL), with a focus on optimization under uncertainty and the need for performance guarantees. While classical RL algorithms aim at maximizing…

We study online weighted bipartite matching of reusable resources where an adversarial sequence of requests for resources arrive over time. A resource that is matched is 'used' for a random duration, drawn independently from a…

We consider the problem of finding a low rank symmetric matrix satisfying a system of linear equations, as appears in phase retrieval. In particular, we solve the gauge dual formulation, but use a fast approximation of the spectral…

We consider the problem of online allocation (matching and assortments) of reusable resources where customers arrive sequentially in an adversarial fashion and allocated resources are used or rented for a stochastic duration that is drawn…

We investigate the recoverable robust single machine scheduling problem under interval uncertainty. In this setting, jobs have first-stage processing times p and second-stage processing times q and we aim to find a first-stage and…

Decision making problems are typically concerned with maximizing efficiency. In contrast, we address problems where there are multiple stakeholders and a centralized decision maker who is obliged to decide in a fair manner. Different…

We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…

Within the Own Risk and Solvency Assessment framework, the Solvency II directive introduces the need for insurance undertakings to have efficient tools enabling the companies to assess the continuous compliance with regulatory solvency…