Zobrazeno 1 - 10
of 45
pro vyhledávání: '"superquantile"'
Akademický článek
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Publikováno v:
The Journal of Engineering (2019)
The curtailment of wind power has caused huge economic losses and needs to be considered on the stage of transmission expansion planning (TEP). Based on the superquantile theory, the authors use the buffered failure probability to handle the events o
Externí odkaz:
https://doaj.org/article/aa7d0774876a44d8b4f8c1d2f9cebe16
Autor:
Zdeněk Kala
Publikováno v:
Symmetry, Vol 13, Iss 2, p 263 (2021)
The article introduces quantile deviation l as a new sensitivity measure based on the difference between superquantile and subquantile. New global sensitivity indices based on the square of l are presented. The proposed sensitivity indices are compar
Externí odkaz:
https://doaj.org/article/6c7b71797cdf4c4497409b5896a51daa
Akademický článek
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Publikováno v:
Dependence Modeling, Vol 4, Iss 1 (2016)
In thiswork,we extend some parameters built on a probability distribution introduced before to the casewhere the proximity between real numbers is measured by using a Bregman divergence. This leads to the definition of the Bregman superquantile (that
Externí odkaz:
https://doaj.org/article/4a4ad7da24094aa5b1d6a2d04405754a
Akademický článek
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Publikováno v:
Annals of Operations Research. 299:1281-1315
Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular measures of risk. Buffered Probability of Exceedance (bP
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d6321cd97230f8a3a42c25df856d7ce5
https://doi.org/10.1007/s10479-019-03373-1
https://doi.org/10.1007/s10479-019-03373-1
Autor:
Zdeněk Kala
Publikováno v:
Symmetry. 2021, vol. 13, issue 2, p. 1-21.
Symmetry, Vol 13, Iss 263, p 263 (2021)
Symmetry; Volume 13; Issue 2; Pages: 263
Symmetry, Vol 13, Iss 263, p 263 (2021)
Symmetry; Volume 13; Issue 2; Pages: 263
The article introduces quantile deviation l as a new sensitivity measure based on the difference between superquantile and subquantile. New global sensitivity indices based on the square of l are presented. The proposed sensitivity indices are compar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c938fd4d387f192f5bb10121adb0d35b
https://hdl.handle.net/11012/204095
https://hdl.handle.net/11012/204095
Autor:
Gadat, Sébastien, Costa, Manon
Publikováno v:
Electronic Journal of Statistics
Electronic Journal of Statistics, 2021, 15 (2), pp.4718-4769. ⟨10.1214/21-EJS1908⟩
Electronic Journal of Statistics, 2021, 15 (2), pp.4718-4769. ⟨10.1214/21-EJS1908⟩
National audience; In this work, we study a new recursive stochastic algorithm for the joint estimation of quantile and superquantile of an unknown distribution. The novelty of this algorithm is to use the Cesaro averaging of thequantile estimation i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::b4dda51a53563863329042b252da15aa
https://hal.science/hal-03610477
https://hal.science/hal-03610477
Autor:
Ji-Eun Byun, Johannes O. Royset
Design and operation of complex engineering systems rely on reliability optimization. Such optimization requires us to account for uncertainties expressed in terms of compli-cated, high-dimensional probability distributions, for which only samples or
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f118f887cbdd7021bbaf6e95ec0350e