相关论文: Monitoring the Multivariate Coefficient of Variati…

The popularity of Conditional Value-at-Risk (CVaR), a risk functional from finance, has been growing in the control systems community due to its intuitive interpretation and axiomatic foundation. We consider a nonstandard optimal control…

Randomized controlled trials are not only the golden standard in medicine and vaccine trials but have spread to many other disciplines like behavioral economics, making it an important interdisciplinary tool for scientists. When designing…

This paper investigates methods for estimating the optimal stochastic control policy for a Markov Decision Process with unknown transition dynamics and an unknown reward function. This form of model-free reinforcement learning comprises…

We propose approaches for testing implementations of Markov Chain Monte Carlo methods as well as of general Monte Carlo methods. Based on statistical hypothesis tests, these approaches can be used in a unit testing framework to, for…

Reliability of complex Cyber-Physical Systems is necessary to guarantee availability and/or safety of the provided services. Diverse and complex fault tolerance policies are adopted to enhance reliability, that include a varied mix of…

Modern computational advances have enabled easy parallel implementations of Markov chain Monte Carlo (MCMC). However, almost all work in estimating the variance of Monte Carlo averages, including the efficient batch means (BM) estimator,…

The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the…

Multiversion Concurrency Control (MVCC) is a widely adopted concurrency control mechanism in database systems, which usually utilizes timestamps to resolve conflicts between transactions. However, centralized allocation of timestamps is a…

Markov chain Monte Carlo is a widely-used technique for generating a dependent sequence of samples from complex distributions. Conventionally, these methods require a source of independent random variates. Most implementations use…

This note introduces a new Bayesian control chart to compare two processes by monitoring the ratio of their percentiles under Weibull assumption. Both in-control and out-of-control parameters are supposed unknown. The chart analyses the…

We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…

Objective: Heart rate variability (HRV) has been proven to be an important indicator of physiological status for numerous applications. Despite the progress and active developments made in HRV metric research over the last few decades, the…

Despite the existence of formal guarantees for learning-based control approaches, the relationship between data and control performance is still poorly understood. In this paper, we propose a Lyapunov-based measure for quantifying the…

Multi-view data are increasingly prevalent in practice. It is often relevant to analyze the relationships between pairs of views by multi-view component analysis techniques such as Canonical Correlation Analysis (CCA). However, data may…

Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the losses are scaled for business and other factors before the…

We review recent advances on the record statistics of strongly correlated time series, whose entries denote the positions of a random walk or a L\'evy flight on a line. After a brief survey of the theory of records for independent and…

A new approach for enhancing the process-variation tolerance of digital circuits is described. We extend recent advances in statistical timing analysis into an optimization framework. Our objective is to reduce the performance variance of a…

This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation…

The popular systemic risk measure CoVaR (conditional Value-at-Risk) and its variants are widely used in economics and finance. In this article, we propose joint dynamic forecasting models for the Value-at-Risk (VaR) and CoVaR. The CoVaR…

The aim of this work is to build financial crisis indicators based on spectral properties of the dynamics of market data. After choosing an optimal size for a rolling window, the historical market data in this window is seen every trading…