相关论文: Conditional Value at Risk-Sensitive Solar Hosting …

The Stochastic Shortest Path (SSP) problem models probabilistic sequential-decision problems where an agent must pursue a goal while minimizing a cost function. Because of the probabilistic dynamics, it is desired to have a cost function…

Under Solvency II the computation of capital requirements is based on value at risk (V@R). V@R is a quantile-based risk measure and neglects extreme risks in the tail. V@R belongs to the family of distortion risk measures. A serious…

We develop a two-stage stochastic multi-commodity flow model to design a resilient maritime energy supply network under correlated chokepoint disruptions. A planner selects strategic inventories and infrastructure activations prior to…

The share of end-users with installed rooftop photovoltaic (PV) systems is continuously growing. Since most end-users are located at the low voltage (LV) level and due to technical limitations of LV networks, it is necessary to calculate PV…

In light of a reliable and resilient power system under extreme weather and natural disasters, networked microgrids integrating local renewable resources have been adopted extensively to supply demands when the main utility experiences…

We study learning algorithms that seek to minimize the conditional value-at-risk (CVaR), when all the learner knows is that the losses incurred may be heavy-tailed. We begin by studying a general-purpose estimator of CVaR for potentially…

We study virtual energy storage services based on the aggregation of EV batteries in parking lots under time-varying, uncertain EV departures and state-of-charge limits. We propose a convex data-driven scheduling framework in which a…

Consider a multi-agent network comprised of risk averse social sensors and a controller that jointly seek to estimate an unknown state of nature, given noisy measurements. The network of social sensors perform Bayesian social learning -…

In this work, we tackle the problem of minimising the Conditional-Value-at-Risk (CVaR) of output quantities of complex differential models with random input data, using gradient-based approaches in combination with the Multi-Level Monte…

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, a mathematical formulation of the probabilistic available transfer capability (PATC) problem is proposed to incorporate uncertainties from the large-scale renewable energy generation (e.g., wind farms and solar PV power…

The exponential growth of Common Vulnerabilities and Exposures (CVE) disclosures poses significant challenges for enterprise security management, necessitating automated and quantitative risk assessment methodologies. Existing vulnerability…

Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk…

Low-to-medium voltage distribution networks are experiencing rising levels of distributed energy resources, including renewable generation, along with improved sensing, communication, and automation infrastructure. As such, state estimation…

The uncertainty in distribution grid planning is driven by the unpredictable spatial and temporal patterns in adopting electric vehicles (EVs) and solar photovoltaic (PV) systems. This complexity, stemming from interactions among EVs, PV…

This paper proposes an important extension to Conditional Value-at-Risk (CoVaR), the popular systemic risk measure, and investigates its properties on the cryptocurrency market. The proposed Vulnerability-CoVaR (VCoVaR) is defined as the…

This paper presents a risk-aware bi-level bidding strategy for Virtual Power Plant (VPP) that integrates Power-to-Hydrogen (P2H) system, addressing the challenges posed by renewable energy variability and market volatility. By incorporating…

Conditional Value-at-Risk (CoVaR) quantifies systemic financial risk by measuring the loss quantile of one asset, conditional on another asset experiencing distress. We develop a Transformer-based methodology that integrates financial news…

CVaR (Conditional Value at Risk) is a risk metric widely used in finance. However, dynamically optimizing CVaR is difficult since it is not a standard Markov decision process (MDP) and the principle of dynamic programming fails. In this…

The classical risk-neutral newsvendor problem is to decide the order quantity that maximises the expected profit. Some recent works have proposed an alternative model, in which the goal is to minimise the conditional value-at-risk (CVaR), a…