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Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

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Adversarial learning is an emergent technique that provides better security to machine learning systems by deliberately protecting them against specific vulnerabilities of the learning algorithms. Many adversarial learning problems can be cast equivalently ...

EPFL2019

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We develop a two-stage stochastic program for energy and reserve dispatch, which ensures the safe operation of a power system with a high penetration of renewables and a strong interdependence with the natural gas system. Distributionally robust joint chan ...

2018

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We provide an exact deterministic reformulation for data-driven chance constrained programs over Wasserstein balls. For individual chance constraints as well as joint chance constraints with right-hand side uncertainty, our reformulation amounts to a mixed ...

2018

Multilevel Monte Carlo Approximation of Functions

Fabio Nobile, Sebastian Krumscheid

Many applications across sciences and technologies require a careful quantification of nondeterministic effects to a system output, for example, when evaluating the system’s reliability or when gearing it towards more robust operation conditions. At the he ...

2018

In this paper, we propose a risk-based coordination method for the Multi-Robot Task Allocation (MRTA) problem in human-populated environments. We introduce risk-based bids that incorporate human trajectory prediction uncertainties and furthermore, social c ...

2018

Robust Portfolio Optimization

Zheng Wei Yap

Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust port ...

EPFL2017

MATHICSE Technical Report : Multilevel Monte Carlo approximation of functions

Fabio Nobile, Sebastian Krumscheid

Many applications across sciences and technologies require a careful quantification of non-deterministic effects to a system output, for example when evaluating the system's reliability or when gearing it towards more robust operation conditions. At the he ...

MATHICSE2017

Model Uncertainty And Scenario Aggregation

Damir Filipovic, Mathieu Jacques David Cambou

This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence minimization from a reference probability measure subject to scenario constraints. An example from regulatory practice motivates the defi ...

Wiley-Blackwell2017

Robust Bounds In Multivariate Extremes

Sebastian Engelke

Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is crucial and it is ...

Institute of Mathematical Statistics2017

Urban governance in earthquake struck medium-sized Haitian cities

Abigaïl-Laure Sarah Irène Kern

This paper aims to provide an insight into the urban governance of four medium-sized Haitian cities hit by the earthquake of 2010, bearing in mind two affirmations of J. Pierre on urban governance; namely, that it is the better analytical model for the con ...

2015