Zobrazeno 1 - 10
of 143
pro vyhledávání: '"Bhat, Sanjay P."'
While mixture density networks (MDNs) have been extensively used for regression tasks, they have not been used much for classification tasks. One reason for this is that the usability of MDNs for classification is not clear and straightforward. In th
Externí odkaz:
http://arxiv.org/abs/2402.05428
We consider the problems of estimation and optimization of utility-based shortfall risk (UBSR), which is a popular risk measure in finance. In the context of UBSR estimation, we derive a non-asymptotic bound on the mean-squared error of the classical
Externí odkaz:
http://arxiv.org/abs/2310.18743
We tackle the problem of estimating risk measures of the infinite-horizon discounted cost within a Markov cost process. The risk measures we study include variance, Value-at-Risk (VaR), and Conditional Value-at-Risk (CVaR). First, we show that estima
Externí odkaz:
http://arxiv.org/abs/2310.11389
This paper considers the problem of finding a solution to the finite horizon constrained Markov decision processes (CMDP) where the objective as well as constraints are sum of additive and multiplicative utilities. Towards solving this, we construct
Externí odkaz:
http://arxiv.org/abs/2303.07834
This paper considers the problem of finding near-optimal Markovian randomized (MR) policies for finite-state-action, infinite-horizon, constrained risk-sensitive Markov decision processes (CRSMDPs). Constraints are in the form of standard expected di
Externí odkaz:
http://arxiv.org/abs/2209.14963
We consider learning a trading agent acting on behalf of the treasury of a firm earning revenue in a foreign currency (FC) and incurring expenses in the home currency (HC). The goal of the agent is to maximize the expected HC at the end of the tradin
Externí odkaz:
http://arxiv.org/abs/2202.12578
Autor:
Narwariya, Jyoti, Verma, Chetan, Malhotra, Pankaj, Vig, Lovekesh, Subramanian, Easwara, Bhat, Sanjay
In electricity markets, retailers or brokers want to maximize profits by allocating tariff profiles to end consumers. One of the objectives of such demand response management is to incentivize the consumers to adjust their consumption so that the ove
Externí odkaz:
http://arxiv.org/abs/2202.05517
Periodic double auctions (PDA) have applications in many areas such as in e-commerce, intra-day equity markets, and day-ahead energy markets in smart-grids. While the trades accomplished using PDAs are worth trillions of dollars, finding a reliable b
Externí odkaz:
http://arxiv.org/abs/2201.10127
We consider the problem of estimating a spectral risk measure (SRM) from i.i.d. samples, and propose a novel method that is based on numerical integration. We show that our SRM estimate concentrates exponentially, when the underlying distribution has
Externí odkaz:
http://arxiv.org/abs/1912.10398
Publikováno v:
In European Journal of Operational Research 1 October 2023 310(1):249-267
