Concept

Risk measure

Related publications (33)

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

Colin Neil Jones, Paul Scharnhorst, Rafael Eduardo Carrillo Rangel, Pierre-Jean Alet, Baptiste Schubnel

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

Challenging the Assumptions: Rethinking Privacy, Bias, and Security in Machine Learning

Bogdan Kulynych

Predictive models based on machine learning (ML) offer a compelling promise: bringing clarity and structure to complex natural and social environments. However, the use of ML poses substantial risks related to the privacy of their training data as well as ...

EPFL2023

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

Colin Neil Jones, Paul Scharnhorst, Rafael Eduardo Carrillo Rangel, Pierre-Jean Alet, Baptiste Schubnel

2022

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

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 ...

2022

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

Fabio Nobile, Sebastian Krumscheid, Sundar Subramaniam Ganesh

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 ...

2022

Improved Inference On Risk Measures For Univariate Extremes

Anthony Christopher Davison

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, Zhi Chen, 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 ...

2022

A contagion process with self-exciting jumps in credit risk applications

Puneet Pasricha

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

TAYLOR & FRANCIS LTD2022

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