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Concept

Coherent risk measure

Related publications (23)

Regularized Bundle Methods for Convex and Non-Convex Risks

Machine learning is most often cast as an optimization problem. Ideally, one expects a convex objective function to rely on efficient convex optimizers with nice guarantees such as no local optima. Yet, non-convexity is very frequent in practice and it may ...

2012

Continuity Properties of Law-Invariant (Quasi-)Convex Risk Functions on L∞

We study continuity properties of law-invariant (quasi-)convex functions f : L1(Ω,F, P) to ( ∞,∞] over a non-atomic probability space (Ω,F, P) .This is a supplementary note to [12] ...

Springer Verlag2010

Lossy Source Coding with Gaussian or Erased Side-Information

Suhas Diggavi, Emre Telatar, Etienne Perron

In this paper we find properties that are shared between two seemingly unrelated lossy source coding setups with side-information. The first setup is when the source and side-information are jointly Gaussian and the distortion measure is quadratic. The sec ...

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