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Robust Value at Risk Prediction

Publications associées (41)

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In light of the challenges posed by climate change and the goals of the Paris Agreement, electricity generation is shifting to a more renewable and decentralized pattern, while the operation of systems like buildings is increasingly electrified. This calls ...

EPFL2024

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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

Activity-based modeling and simulation of epidemics

Michel Bierlaire, Cloe Cortes Balcells, Rico Krüger

The SARS-CoV-2 outburst in March 2020 has led to the lockdown of several countries across the world. Mobility restrictions have been constantly put into action and reversed to find the trade-off between minimizing the number of infections and death and mit ...

2021

Increasing Superstructure Optimization Capacity Through Self-Learning Surrogate Models

François Maréchal, Ivan Daniel Kantor, Julia Granacher

Simulation-based optimization models are widely applied to find optimal operating conditions of processes. Often, computational challenges arise from model complexity, making the generation of reliable design solutions difficult. We propose an algorithm fo ...

2021

Sequential Domain Adaptation by Synthesizing Distributionally Robust Experts

Daniel Kuhn, Viet Anh Nguyen, Bahar Taskesen

Least squares estimators, when trained on a few target domain samples, may predict poorly. Supervised domain adaptation aims to improve the predictive accuracy by exploiting additional labeled training samples from a source distribution that is close to th ...

2021

A solution method for predictive simulations in a stochastic environment

Anne Daniëlle Koelewijn

Predictive gait simulations currently do not account for environmental or internal noise. We describe a method to solve predictive simulations of human movements in a stochastic environment using a collocation method. The optimization is performed over mul ...

2020

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We present a voxel-wise Bayesian multi-compartment T2 relaxometry fitting method based on Hamiltonian Markov Chain Monte Carlo (HMCMC) sampling. The T 2 spectrum is modeled as a mixture of truncated Gaussian components, which involves the estimation of par ...

IEEE2019

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In this study, we developed a robust inversion algorithm to estimate the Neurite Orientation Dispersion and Density Imaging (NODDI) model. It is based on the Accelerated Microstructure Imaging via Convex Optimization (AMICO) framework. However, in contrast ...

2018

The regularized tau estimator: A robust and efficient solution to ill-posed linear inverse problems

Martin Vetterli, Benjamin Bejar Haro, Marta Martinez-Camara

Linear inverse problems are ubiquitous. Often the measurements do not follow a Gaussian distribution. Additionally, a model matrix with a large condition number can complicate the problem further by making it ill-posed. In this case, the performance of pop ...

2017

Correcting for photodestruction in super-resolution optical fluctuation imaging

Theo Lasser, Arno Pino Bouwens, Tomas Lukes

Super-resolution optical fluctuation imaging overcomes the diffraction limit by analyzing fluctuations in the fluorophore emission. A key assumption of the imaging is that the fluorophores are independent, though this is invalidated in the presence of phot ...

Nature Publishing Group2017