相关论文: Online Risk-Averse Submodular Maximization
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…
In this paper we study variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions. We introduce stochastic approximation schemes that employ an empirical estimate of the CVaR at each iteration to…
In this paper, we consider an online optimization process, where the objective functions are not convex (nor concave) but instead belong to a broad class of continuous submodular functions. We first propose a variant of the Frank-Wolfe…
Constrained $k$-submodular maximization is a general framework that captures many discrete optimization problems such as ad allocation, influence maximization, personalized recommendation, and many others. In many of these applications,…
Conditional Value at Risk (CVaR) is a prominent risk measure that is being used extensively in various domains. We develop a new formula for the gradient of the CVaR in the form of a conditional expectation. Based on this formula, we…
Constrained submodular function maximization has been used in subset selection problems such as selection of most informative sensor locations. While these models have been quite popular, the solutions Constrained submodular function…
Submodular function maximization has been studied extensively in recent years under various constraints and models. The problem plays a major role in various disciplines. We study a natural online variant of this problem in which elements…
Risk-averse decision-making under uncertainty in partially observable domains is a central challenge in artificial intelligence and is essential for developing reliable autonomous agents. The formal framework for such problems is the…
Conditional value-at-risk (CVaR) is a prominent risk measure in financial engineering, energy systems, and supply chain management. In these domains, Markov decision processes (MDPs) with a long-run CVaR criterion effectively mitigate cost…
In this paper, we study a certain class of online optimization problems, where the goal is to maximize a function that is not necessarily concave and satisfies the Diminishing Returns (DR) property under budget constraints. We analyze a…
Maximizing a monotone submodular function is a fundamental task in machine learning, economics, and statistics. In this paper, we present two communication-efficient decentralized online algorithms for the monotone continuous DR-submodular…
We consider risk-averse learning in repeated unknown games where the goal of the agents is to minimize their individual risk of incurring significantly high cost. Specifically, the agents use the conditional value at risk (CVaR) as a risk…
This article develops a new algorithm named TTRISK to solve high-dimensional risk-averse optimization problems governed by differential equations (ODEs and/or PDEs) under uncertainty. As an example, we focus on the so-called Conditional…
The entropic value-at-risk (EVaR) is a new coherent risk measure, which is an upper bound for both the value-at-risk (VaR) and conditional value-at-risk (CVaR). As important properties, the EVaR is strongly monotone over its domain and…
In this paper, we consider an online optimization problem over $T$ rounds where at each step $t\in[T]$, the algorithm chooses an action $x_t$ from the fixed convex and compact domain set $\mathcal{K}$. A utility function $f_t(\cdot)$ is…
We study the design of risk-sensitive online algorithms, in which risk measures are used in the competitive analysis of randomized online algorithms. We introduce the CVaR$_\delta$-competitive ratio ($\delta$-CR) using the conditional…
We consider a basic problem at the interface of two fundamental fields: submodular optimization and online learning. In the online unconstrained submodular maximization (online USM) problem, there is a universe $[n]=\{1,2,...,n\}$ and a…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
Optimal portfolio allocation is often formulated as a constrained risk problem, where one aims to minimize a risk measure subject to some performance constraints. This paper presents new Bayesian Optimization algorithms for such constrained…
Consider the following online version of the submodular maximization problem under a matroid constraint: We are given a set of elements over which a matroid is defined. The goal is to incrementally choose a subset that remains independent…