Concept

Distortion risk measure

Related publications (18)

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

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

Bits through Time

Elie Najm

In any communication system, there exist two dimensions through which the information at the source becomes distorted before reaching the destination: the noisy channel and time. Messages transmitted through a noisy channel are susceptible to modification ...

EPFL2019

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

Approaches to Conditional Risk

Damir Filipovic

We present and compare two different approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis wher ...

2012

Risk-averse shortest path problems

Daniel Kuhn, Grani Adiwena Hanasusanto

We investigate routing policies for shortest path problems with uncertain arc lengths. The objective is to minimize a risk measure of the total travel time. We use the conditional value-at-risk (CVaR) for when the arc lengths (durations) have known distrib ...

IEEE2012

Mutual fund portfolio choice in the presence of dynamic ﬂows

Julien Hugonnier

We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...

2010

Lossy Source Coding with Gaussian or Erased Side-Information

Emre Telatar, Suhas Diggavi, 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 ...

2009

Lossy Source Coding with Gaussian or Erased Side-Information

Emre Telatar, Suhas Diggavi, 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 ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2009

Deconvolution of 3D fluorescence micrographs with automatic risk minimization

Michaël Unser, Cédric René Jean Vonesch, Sathish Ramani

We investigate the problem of automatic tuning of a deconvolution algorithm for three-dimensional (3D) fluorescence microscopy; specifically, the selection of the regularization parameter lambda. For this, we consider a realistic noise model for data obtai ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2008

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