Robust Value at Risk Prediction

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Related publications (30)

On distributional autoregression and iterated transportation

We consider the problem of defining and fitting models of autoregressive time series of probability distributions on a compact interval of Double-struck capital R. An order-1 autoregressive model in this context is to be understood as a Markov chain, where ...

Wiley2024

Robust discrete choice models with t-distributed kernel errors

Michel Bierlaire, Thomas Gasos, Prateek Bansal

Outliers in discrete choice response data may result from misclassification and misreporting of the response variable and from choice behaviour that is inconsistent with modelling assumptions (e.g. random utility maximisation). In the presence of outliers, ...

2023

Regularization for distributionally robust state estimation and prediction

Giancarlo Ferrari Trecate, Jean-Sébastien Hubert Brouillon, Florian Dörfler

The increasing availability of sensing techniques provides a great opportunity for engineers to design state estimation methods, which are optimal for the system under observation and the observed noise patterns. However, these patterns often do not fulfil ...

2023

Traversing Time Dependent Light Fields for Daylight Glare Evaluation

Stephen William Wasilewski

To understand how daylight gives shape and life to architectural spaces, whether existing or imagined, requires quantifying its dynamism and energy. Maintaining these details presents a challenge to simulation and analysis methods that flatten data into di ...

EPFL2023

Preserving the positivity of the deformation gradient determinant in intergrid interpolation by combining RBFs and SVD: Application to cardiac electromechanics

Alfio Quarteroni, Francesco Regazzoni

The accurate, robust and efficient transfer of the deformation gradient tensor between meshes of different resolution is crucial in cardiac electromechanics simulations. This paper presents a novel method that combines rescaled localized Radial Basis Funct ...

Elsevier Science Sa2023

Model-based constraints for trajectory determination of quad-copters: Design, calibration & merits for direct orientation

Jan Skaloud, Davide Antonio Cucci, Kenneth Joseph Paul

This paper proposes a novel method to improve georeferencing of airborne laser scanning by improved trajectory estimation using Vehicle Dynamic Model. In Vehicle Dynamic Model (VDM), the relationship between the dynamics of the platform and control inputs ...

2023

Divide-and-conquer one-step simulator for the generation of synthetic households

Michel Bierlaire, Marija Kukic

This paper presents a novel simulation approach for generating synthetic households, addressing several literature gaps from the methodological viewpoint. The generation of hierarchical datasets such as complete households is challenging since it must guar ...

2023

Robust optimization of control parameters for WEC arrays using stochastic methods

Tommaso Vanzan, Edie Miglio

This work presents a new computational optimization framework for the robust control of parks of Wave Energy Converters (WEC) in irregular waves. The power of WEC parks is maximized with respect to the individual control damping and stiffness coefficients ...

Journal of Computational Physics2023

Online interoperable resources for building hippocampal neuron models via the Hippocampus Hub

Armando Romani, Felix Schürmann, Michele Migliore, Luca Leonardo Bologna

To build biophysically detailed models of brain cells, circuits, and regions, a data-driven approach is increasingly being adopted. This helps to obtain a simulated activity that reproduces the experimentally recorded neural dynamics as faithfully as possi ...

2023

Training Efficient Controllers via Analytic Policy Gradient

Dario Floreano, Valentin Wüest, Davide Scaramuzza

Control design for robotic systems is complex and often requires solving an optimization to follow a trajectory accurately. Online optimization approaches like Model Predictive Control (MPC) have been shown to achieve great tracking performance, but requir ...

New York2023

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Preserving the positivity of the deformation gradient determinant in intergrid interpolation by combining RBFs and SVD: Application to cardiac electromechanics

Alfio Quarteroni, Francesco Regazzoni

Elsevier Science Sa2023

Model-based constraints for trajectory determination of quad-copters: Design, calibration & merits for direct orientation

Jan Skaloud, Davide Antonio Cucci, Kenneth Joseph Paul

2023