Concept

Aversion pour la perte

Publications associées (46)

MATHICSE Technical Report : A Multilevel Stochastic Gradient method for PDE-constrained Optimal Control Problems with uncertain parameters

Fabio Nobile, Matthieu Claude Martin, Panagiotis Tsilifis

In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form of PDEs with rand ...

MATHICSE2020

Pessimistic outcome expectancy does not explain ambiguity aversion in decision-making under uncertainty

Martin Alois Rohrmeier

When faced with a decision, most people like to know the odds and prefer to avoid ambiguity. It has been suggested that this aversion to ambiguity is linked to people's assumption of worst possible outcomes. We used two closely linked behavioural tasks in ...

2019

Regularization via Mass Transportation

Daniel Kuhn, Soroosh Shafieezadeh Abadeh, Peyman Mohajerin Esfahani

The goal of regression and classification methods in supervised learning is to minimize the empirical risk, that is, the expectation of some loss function quantifying the prediction error under the empirical distribution. When facing scarce training data, ...

2019

Reliability of daylight and energy demand evaluations for decision making at the conceptual design stage of neighborhood design

Marilyne Andersen, Luisa Pastore, Minu Agarwal, Gérald Maurice Claude Danseux

When conducting building performance simulation (BPS) at the early design stage, potential impact on design decisions is the greatest. However, the reliability of evaluations resulting from early design stage BPS models may suffer given that building attri ...

2019

PDE-constrained optimal control problems with uncertain parameters using SAGA

Fabio Nobile, Matthieu Claude Martin

We consider an optimal control problem for an elliptic partial differential equation (PDE) with random coefficients. The control function is a deterministic, distributed forcing term that minimizes an expected quadratic regularized loss functional. We cons ...

2018

Acute stress alters individual risk taking in a time-dependent manner and leads to anti-social risk

Maria del Carmen Sandi Perez, Samuel Bendahan, Fiona Hollis, Leyla Loued-Khenissi, John Christian Thoresen, Lorenz Goette

Decision-making processes can be modulated by stress, and the time elapsed from stress induction seems to be a crucial factor in determining the direction of the effects. Although current approaches consider the ﬁrst post-stress hour a uniform period, the ...

2017

Scarcity Mitigation and Risk-Averse Clearing Model in the Swiss Reserve Market

Farzaneh Abbaspourtorbati

This paper presents a real-world application of stochastic programming in the Swiss hydro-based system. The seasonal hydrological conditions may cause insufficient market volume to an extent that security criteria (i.e., the criteria determining of reserve ...

Ieee2016

Diffusion stochastic optimization with non-smooth regularizers

Ali H. Sayed, Stefan Vlaski

We develop an effective distributed strategy for seeking the Pareto solution of an aggregate cost consisting of regularized risks. The focus is on stochastic optimization problems where each risk function is expressed as the expectation of some loss functi ...

IEEE2016

Expected Loss Analysis for Authentication in Constrained Channels

Serge Vaudenay, Christos Dimitrakakis, Aikaterini Mitrokotsa

We derive bounds on the expected loss for authentication protocols in channels which are constrained due to noisy conditions and communication costs. This is motivated by a number of authentication protocols, where at least some part of the authentication ...

IOS Press2015

On the emergence of semantic agreement among rational agents

Karl Aberer

Today’s complex online applications often require the interaction of multiple (web) services that belong to potentially different business entities. Interoperability is a core element of such an environment, yet not a straightforward one due to the lack of ...

2015

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