Zobrazeno 1 - 10
of 400
pro vyhledávání: '"Piterà P"'
This paper analyzes the stability of optimal policies in the long-run stochastic control framework with an averaged risk-sensitive criterion for discrete-time MDPs on finite state-action space. In particular, we study the robustness of optimal contro
Externí odkaz:
http://arxiv.org/abs/2406.15952
It has been recently shown in Jaworski, P., Jelito, D. and Pitera, M. (2024), 'A note on the equivalence between the conditional uncorrelation and the independence of random variables', Electronic Journal of Statistics 18(1), that one can characteris
Externí odkaz:
http://arxiv.org/abs/2406.14650
We present a novel data-oriented statistical framework that assesses the presumed Gaussian dependence structure in a pairwise setting. This refers to both multivariate normality and normal copula goodness-of-fit testing. The proposed test clusters th
Externí odkaz:
http://arxiv.org/abs/2404.12696
Autor:
Alexeev, Yuri, Amsler, Maximilian, Baity, Paul, Barroca, Marco Antonio, Bassini, Sanzio, Battelle, Torey, Camps, Daan, Casanova, David, Choi, Young jai, Chong, Frederic T., Chung, Charles, Codella, Chris, Corcoles, Antonio D., Cruise, James, Di Meglio, Alberto, Dubois, Jonathan, Duran, Ivan, Eckl, Thomas, Economou, Sophia, Eidenbenz, Stephan, Elmegreen, Bruce, Fare, Clyde, Faro, Ismael, Fernández, Cristina Sanz, Ferreira, Rodrigo Neumann Barros, Fuji, Keisuke, Fuller, Bryce, Gagliardi, Laura, Galli, Giulia, Glick, Jennifer R., Gobbi, Isacco, Gokhale, Pranav, Gonzalez, Salvador de la Puente, Greiner, Johannes, Gropp, Bill, Grossi, Michele, Gull, Emmanuel, Healy, Burns, Huang, Benchen, Humble, Travis S., Ito, Nobuyasu, Izmaylov, Artur F., Javadi-Abhari, Ali, Jennewein, Douglas, Jha, Shantenu, Jiang, Liang, Jones, Barbara, de Jong, Wibe Albert, Jurcevic, Petar, Kirby, William, Kister, Stefan, Kitagawa, Masahiro, Klassen, Joel, Klymko, Katherine, Koh, Kwangwon, Kondo, Masaaki, Kurkcuoglu, Doga Murat, Kurowski, Krzysztof, Laino, Teodoro, Landfield, Ryan, Leininger, Matt, Leyton-Ortega, Vicente, Li, Ang, Lin, Meifeng, Liu, Junyu, Lorente, Nicolas, Luckow, Andre, Martiel, Simon, Martin-Fernandez, Francisco, Martonosi, Margaret, Marvinney, Claire, Medina, Arcesio Castaneda, Merten, Dirk, Mezzacapo, Antonio, Michielsen, Kristel, Mitra, Abhishek, Mittal, Tushar, Moon, Kyungsun, Moore, Joel, Motta, Mario, Na, Young-Hye, Nam, Yunseong, Narang, Prineha, Ohnishi, Yu-ya, Ottaviani, Daniele, Otten, Matthew, Pakin, Scott, Pascuzzi, Vincent R., Penault, Ed, Piontek, Tomasz, Pitera, Jed, Rall, Patrick, Ravi, Gokul Subramanian, Robertson, Niall, Rossi, Matteo, Rydlichowski, Piotr, Ryu, Hoon, Samsonidze, Georgy, Sato, Mitsuhisa, Saurabh, Nishant, Sharma, Vidushi, Sharma, Kunal, Shin, Soyoung, Slessman, George, Steiner, Mathias, Sitdikov, Iskandar, Suh, In-Saeng, Switzer, Eric, Tang, Wei, Thompson, Joel, Todo, Synge, Tran, Minh, Trenev, Dimitar, Trott, Christian, Tseng, Huan-Hsin, Tureci, Esin, Valinas, David García, Vallecorsa, Sofia, Wever, Christopher, Wojciechowski, Konrad, Wu, Xiaodi, Yoo, Shinjae, Yoshioka, Nobuyuki, Yu, Victor Wen-zhe, Yunoki, Seiji, Zhuk, Sergiy, Zubarev, Dmitry
Computational models are an essential tool for the design, characterization, and discovery of novel materials. Hard computational tasks in materials science stretch the limits of existing high-performance supercomputing centers, consuming much of the
Externí odkaz:
http://arxiv.org/abs/2312.09733
The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estimation on a short-term horizon for less extreme percentiles tends to be
Externí odkaz:
http://arxiv.org/abs/2312.05655
Autor:
Pitera, Marcin, Rásonyi, Miklós
In this short paper we introduce a new class of performance measures based on certainty equivalents defined via scaled utility functions. We analyse their properties, show that the corresponding portfolio optimization problem is well-posed under gene
Externí odkaz:
http://arxiv.org/abs/2310.02014
Autor:
Pitera, Marcin, Stettner, Łukasz
In this paper we study the problem of Multiplicative Poisson Equation (MPE) bounded solution existence in the generic discrete-time setting. Assuming mixing and boundedness of the risk-reward function, we investigate what conditions should be imposed
Externí odkaz:
http://arxiv.org/abs/2309.02829
The class of $\alpha$-stable distributions is widely used in various applications, especially for modelling heavy-tailed data. Although the $\alpha$-stable distributions have been used in practice for many years, new methods for identification, testi
Externí odkaz:
http://arxiv.org/abs/2212.13502
It is well known that while the independence of random variables implies zero correlation, the opposite is not true. Namely, uncorrelated random variables are not necessarily independent. In this note we show that the implication could be reversed if
Externí odkaz:
http://arxiv.org/abs/2210.16655
Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task. Typically, we face a small data problem in combination with a high degree of non-linearity, causing difficulties for both classical and
Externí odkaz:
http://arxiv.org/abs/2207.10539