Robust Portfolio Optimization

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Higher-order moments of the elliptic flow distribution in PbPb collisions at √sNN=5.02 TeV

Matthias Finger, Konstantin Androsov, Qian Wang, Jan Steggemann, Yiming Li, Anna Mascellani, Varun Sharma, Xin Chen, Rakesh Chawla, Matteo Galli

The hydrodynamic flow-like behavior of charged hadrons in high-energy lead-lead collisions is studied through multiparticle correlations. The elliptic anisotropy values based on different orders of multiparticle cumulants, v(2){2k}, are measured up to the ...

Springer Nature2024

Reliable data-driven decision-making through optimal transport

Bahar Taskesen

Decision-making permeates every aspect of human and societal development, from individuals' daily choices to the complex decisions made by communities and institutions. Central to effective decision-making is the discipline of optimization, which seeks th ...

EPFL2024

A Combination Technique for Optimal Control Problems Constrained by Random PDEs

Fabio Nobile, Tommaso Vanzan

We present a combination technique based on mixed differences of both spatial approximations and quadrature formulae for the stochastic variables to solve efficiently a class of optimal control problems (OCPs) constrained by random partial differential equ ...

2024

RANDOMIZED JOINT DIAGONALIZATION OF SYMMETRIC

Daniel Kressner, Haoze He

Given a family of nearly commuting symmetric matrices, we consider the task of computing an orthogonal matrix that nearly diagonalizes every matrix in the family. In this paper, we propose and analyze randomized joint diagonalization (RJD) for performing t ...

Siam Publications2024

Quantum Protocols for ML, Physics, and Finance

Grzegorz Adam Gluch

In this thesis, we give new protocols that offer a quantum advantage for problems in ML, Physics, and Finance. Quantum mechanics gives predictions that are inconsistent with local realism. The experiment proving this fact (Bell, 1964) gives a quantum proto ...

EPFL2024

Can one hear the shape of a target zone?

Max-Olivier Hongler

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

2023

Hypergraph-Based Fast Distributed AC Power Flow Optimization

Colin Neil Jones, Yuning Jiang, Yingzhao Lian, Xinliang Dai

This paper presents a novel distributed approach for solving AC power flow (PF) problems. The optimization problem is reformulated into a distributed form using a communication structure corresponding to a hypergraph, by which complex relationships between ...

IEEE2023

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

Greening the Swiss National Bank's Portfolio

Rüdiger Fahlenbrach, Eric Jondeau

Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...

OXFORD UNIV PRESS2023

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