We introduce contextual stochastic bilevel optimization (CSBO) -- a stochastic bilevel optimization framework with the lower-level problem minimizing an expectation conditioned on some contextual information and the upper-level decision variable. This fram ...
Researchers are often interested in treatment effects on outcomes that are only defined conditional on a post-treatment event status. For example, in a study of the effect of different cancer treatments on quality of life at end of follow-up, the quality o ...
Human brains can deal with sequences with temporal dependencies on a broad range of timescales, many of which are several order of magnitude longer than neuronal timescales. Here we introduce an artificial intelligence that learns and produces the complex ...
One of the most important tasks of a sensor network (SN) is to detect occurrences of interesting events in the monitored environment. However, data measured by SN is often affected by errors. We investigate the problem of assessing trustworthiness (trust) ...
This paper studies the price of an asset depending on both a fundamental and possible interventions of an authority. Using the martingale approach in continuous time, we provide closed-form solutions to switching problems involving irreversible, state depe ...
2008
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We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...
The excursion set theory, where density perturbations evolve stochastically with the smoothing scale, provides a method for computing the dark matter halo mass function. The computation of the mass function is mapped into the so-called first-passage time p ...
The management of trust and quality in decentralized systems has been recognized as a key research area over recent years. In this paper, we propose a probabilistic computational approach to enable a peer in the system to model and estimate the quality and ...
In distributionally robust optimization the probability distribution of the uncertain problem parameters is itself uncertain, and a fictitious adversary, e.g., nature, chooses the worst distribution from within a known ambiguity set. A common shortcoming o ...
A bottom-up modelling approach together with a set of calibration methodologies is presented to predict residential building occupants' time-dependent activities, for use in dynamic building simulations. The stochastic model to predict activity chains is c ...