相关论文: Peak Value-at-Risk Estimation of Stochastic Proces…

We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner loop computes the risk by solving a stochastic saddle-point…

We study stochastic convex optimization (SCO) with heavy-tailed gradients under pure $\varepsilon$-differential privacy (DP). Instead of assuming a bound on the worst-case Lipschitz parameter of the loss, we assume only a bounded $k$-th…

Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for…

This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…

Safe reinforcement learning (RL) aims to learn policies that satisfy certain constraints before deploying them to safety-critical applications. Previous primal-dual style approaches suffer from instability issues and lack optimality…

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up…

Multi-agent planning and reinforcement learning can be challenging when agents cannot see the state of the world or communicate with each other due to communication costs, latency, or noise. Partially Observable Stochastic Games (POSGs)…

Conditional Value-at-Risk (CVaR) is a leading tail-risk measure in finance, central to both regulatory and portfolio optimization frameworks. Classical estimation of CVaR and its gradients relies on Monte Carlo simulation, incurring…

Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the estimation of…

We study differentially private (DP) stochastic optimization (SO) with loss functions whose worst-case Lipschitz parameter over all data may be extremely large or infinite. To date, the vast majority of work on DP SO assumes that the loss…

This paper studies Stochastic Shortest Path (SSP) problems in known and unknown environments from the perspective of convex optimisation. It first recalls results in the known parameter case, and develops understanding through different…

Sequential decision making using Markov Decision Process underpins many realworld applications. Both model-based and model free methods have achieved strong results in these settings. However, real-world tasks must balance reward…

In this paper, we present an approach for designing feedback controllers for polynomial systems that maximize the size of the time-limited backwards reachable set (BRS). We rely on the notion of occupation measures to pose the synthesis…

This paper presents a model-free reinforcement learning (RL) algorithm to solve the risk-averse optimal control (RAOC) problem for discrete-time nonlinear systems. While successful RL algorithms have been presented to learn optimal control…

Safe operation of connected vehicle platoons under stochastic disturbances and time-delayed dynamics requires accurate quantification of rare but dangerous events, such as inter-vehicle collisions. We propose a rigorous framework for…

We consider three shortest path problems in directed graphs with random arc lengths. For the first and the second problems, a risk measure is involved. While the first problem consists in finding a path minimizing this risk measure, the…

Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to…

We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for…

The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a tail expectation. Range Value at Risk (RVaR) is a natural…

We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multistage stochastic integer program to adjust the capacity…