Results 31 to 40 of about 14,389 (211)
A New Family of Expectiles and its Properties
Кібернетика та комп'ютерні технології, 2020 Introduction. This paper considers a risk measure called expectile. Expectile is a characteristic of a random variable calculated using the asymmetric least square method. The level of asymmetry is defined by a parameter in the interval (0, 1). Expectile
Viktor Kuzmenko
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Searching for a Theory That Fits the Data: A Personal Research Odyssey
Econometrics, 2021 This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology and how it has evolved over the past 30 years. It describes major steps in the econometric development, discusses problems to be solved when confronting theory with the
Katarina Juselius
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Stochastic approximation for CVaR-based variational inequalities [PDF]
2020 59th IEEE Conference on Decision and Control (CDC), 2020 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 solve these VIs. We investigate convergence of these algorithms under various assumptions on the monotonicity of the
Verbree, Jasper, Cherukuri, Ashish
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Risk-averse estimates of effective properties in heterogeneous elasticity
Comptes Rendus. Mécanique, 2023 In this work, we propose a theoretical framework for computing pessimistic and optimistic estimates of effective properties in the case of heterogeneous elastic materials with uncertain microscopic elastic properties.
Bleyer, Jeremy
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Policy Gradients for CVaR-Constrained MDPs [PDF]
, 2014 We study a risk-constrained version of the stochastic shortest path (SSP) problem, where the risk measure considered is Conditional Value-at-Risk (CVaR).
O. Bardou +4 more
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Portfolio Optimization based on the Risk Minimization by the Weight-Modified CVaR vs. CVaR Method [PDF]
Iranian Journal of Finance, 2022 Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based on the "weight-modified conditional value at risk ...
Mohammad Esmaeil Fadaeinejad +3 more
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Aerospace, 2018 This paper presents a fast and robust approach for estimating the flight altitude of multirotor Unmanned Aerial Vehicles (UAVs) using 3D point cloud sensors in cluttered, unstructured, and dynamic indoor environments. The objective is to present a flight
Hriday Bavle +5 more
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Dynamically Augmented CVaR for MDPs
, 2022 This paper studies optimization of Conditional Value-at-Risk (CVaR) for Markov Decision Processes (MDPs) with finite state and action sets. It introduces the Dynamically augmented CVaR (DCVaR) risk measure and provides an algorithm for its optimization. This paper investigates a specially defined Robust MDP (RMDP), in which the state space is augmented
Feinberg, Eugene A., Ding, Rui
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Annals of Operations Research, 2023 25pages, 1 figure, 2 ...
Nuerxiati Abudurexiti +5 more
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Real-Time Object Detection for Autonomous Solar Farm Inspection via UAVs
SensorsRobotic missions for solar farm inspection demand agile and precise object detection strategies. This paper introduces an innovative keypoint-based object detection framework specifically designed for real-time solar farm inspections with UAVs.
Javier Rodriguez-Vazquez +5 more
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