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Concept

Coherent risk measure

Publications associées (23)

Uncertainty-aware Flexibility Envelope Prediction in Buildings with Controller-agnostic Battery Models

Colin Neil Jones, Rafael Eduardo Carrillo Rangel, Paul Scharnhorst

Buildings are a promising source of flexibility for the application of demand response. In this work, we introduce a novel battery model formulation to capture the state evolution of a single building. Being fully data-driven, the battery model identificat ...

IEEE2023

Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

Maryam Kamgarpour, Kai Ren

We tackle safe trajectory planning under Gaussian mixture model (GMM) uncertainty. Specifically, we use a GMM to model the multimodal behaviors of obstacles' uncertain states. Then, we develop a mixed-integer conic approximation to the chance-constrained t ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2022

Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method

Fabio Nobile, Sundar Subramaniam Ganesh

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 Carlo (MLMC) method ...

2023

Multi-Level Monte Carlo Methods for Uncertainty Quantification and Risk-Averse Optimisation

Sundar Subramaniam Ganesh

This work aims to study the effects of wind uncertainties in civil engineering structural design. Optimising the design of a structure for safety or operability without factoring in these uncertainties can result in a design that is not robust to these per ...

EPFL2022

Quantifying uncertain system outputs via the multi-level Monte Carlo method --- distribution and robustness measures

Fabio Nobile, Sebastian Krumscheid, Sundar Subramaniam Ganesh, Quentin Olivier Martin Ayoul--Guilmard

In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential models by the MLM ...

2023

Improved Inference On Risk Measures For Univariate Extremes

Anthony Christopher Davison, Léo Raymond-Belzile

We discuss the use of likelihood asymptotics for inference on risk measures in univariate extreme value problems, focusing on estimation of high quantiles and similar summaries of risk for uncertainty quantification. We study whether higher-order approxima ...

INST MATHEMATICAL STATISTICS-IMS2022

On Approximations of Data-Driven Chance Constrained Programs over Wasserstein Balls

Daniel Kuhn, Wolfram Wiesemann

Distributionally robust chance constrained programs minimize a deterministic cost function subject to the satisfaction of one or more safety conditions with high probability, given that the probability distribution of the uncertain problem parameters affec ...

2023

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

EPFL2021

Stochastic approximation methods for PDE constrained optimal control problems with uncertain parameters

Matthieu Claude Martin

This thesis work focuses on optimal control of partial differential equations (PDEs) with uncertain parameters, treated as a random variables. In particular, we assume that the random parameters are not observable and look for a deterministic control which ...

EPFL2019

"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?

Daniel Kuhn, Wolfram Wiesemann

Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adverse distribution in an ambiguity set. We investigate under which circumstances such deterministic de ...

2019

Essays in Financial Economics

Julien Arsène Blatt

I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...

EPFL2019

Energy and Reserve Dispatch with Distributionally Robust Joint Chance Constraints

Daniel Kuhn, Viet Anh Nguyen

We develop a two-stage stochastic program for energy and reserve dispatch of a joint power and gas system with a high penetration of renewables. Data-driven distributionally robust chance constraints ensure that there is no load shedding and renewable spil ...

2021

Data-Driven Chance Constrained Programs over Wasserstein Balls

Daniel Kuhn, Wolfram Wiesemann

We provide an exact deterministic reformulation for data-driven chance constrained programs over Wasserstein balls. For individual chance constraints as well as joint chance constraints with right-hand side uncertainty, our reformulation amounts to a mixed ...

2024

Multilevel Monte Carlo Approximation of Functions

Fabio Nobile, Sebastian Krumscheid

Many applications across sciences and technologies require a careful quantification of nondeterministic effects to a system output, for example, when evaluating the system’s reliability or when gearing it towards more robust operation conditions. At the he ...

2018

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns. In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...

EPFL2018

A Framework Based on Predictive Maintenance, Zero-Defect Manufacturing and Scheduling Under Uncertainty Tools, to Optimize Production Capacities of High-End Quality Products

Dimitrios Kyritsis

Nowadays exploiting the full potential of the humongous amount of data that manufactures can produce with their production means is a real challenge. Moreover, increasing production capabilities without large investments is a recurring objective for them. ...

SPRINGER-VERLAG BERLIN2018

Robust Portfolio Optimization

Zheng Wei Yap

Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust port ...

EPFL2017

Multi Level Monte Carlo Methods for Uncertainty Quantification and Robust Design Optimization in Aerodynamics

Michele Pisaroni

The vast majority of problems that arise in aircraft production and operation require decisions to be made in the presence of uncertainty. An effective and accurate quantification and control of the level of uncertainty introduced in the design phase and d ...

EPFL2017

Storage selection functions: A coherent framework for quantifying how catchments store and release water and solutes

Andrea Rinaldo, Enrico Bertuzzo, Paolo Benettin

We discuss a recent theoretical approach combining catchment-scale flow and transport processes into a unified framework. The approach is designed to characterize the hydrochemistry of hydrologic systems and to meet the challenges posed by empirical eviden ...

Amer Geophysical Union2015

On Distributed Successive Refinement with Lossless Recovery

Michael Christoph Gastpar, Chien-Yi Wang

The problem of successive refinement in distributed source coding and in joint source-channel coding is considered. The emphasis is placed on the case where the sources have to be recovered losslessly in the second stage. In distributed source coding, it i ...

2014