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Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

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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

Multi-resource allocation in stochastic project scheduling

Daniel Kuhn, Wolfram Wiesemann

We propose a resource allocation model for project scheduling. Our model accommodates multiple resources and decision-dependent activity durations inspired by microeconomic theory. First, we elaborate a deterministic problem formulation. In a second stage, ...

2012

Cash Sub-additive Risk Measures and Interest Rate Ambiguity

Claudia Ravanelli

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the ori ...

Wiley-Blackwell2009

A Stochastic Programming Approach for QoS-Aware Service Composition

Daniel Kuhn, Wolfram Wiesemann

We formulate the service composition problem as a multi-objective stochastic program which simultaneously optimizes the following quality of service (QoS) parameters: workflow duration, service invocation costs, availability, and reliability. All of these ...

IEEE2008

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

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 λ. For this, we consider a realistic noise model for data obtained ...

IEEE2008

Optimal Numeraires for Risk Measures

Damir Filipovic

Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire w ...

Wiley-Blackwell2008

On the Consistency of Certain Identification Methods for Linear Parameter Varying Systems

Alireza Karimi, Roland Longchamp, Mark Edward John Butcher

The consistency of certain identification methods for Linear Parameter Varying systems is considered. More precisely, methods for the identification of SISO input-output models are analysed. In order to perform a consistency analysis the application of erg ...

2008

Portfolio optimization of hydroelectric assets subject to financial indicators

Nikolaos Iliadis, Simon Granville

The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimization using three procedur ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2007