Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 28 for “"risk-sensitive"”.
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Risk-sensitive optimization for power systems
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2023-04-12 without embargo terms
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Risk-sensitive security-constrained economic dispatch via critical region exploration
A security-constrained economic dispatch (SCED) problem is regularly solved by system operators in electric power networks to make day-ahead and real-time dispatch decisions. Preventive SCED is conservative and requires dispatch decisions that are secure against any single component failure. …
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Robust, risk-sensitive, and data-driven control of Markov Decision Processes
… the results obtained by dynamic programming are sensitive to the assumed MDP model, their relevance is challenged by model uncertainty. * The structural and computational results of dynamic programming (which deals with expected performance) have been extended with only limited success to …
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An approximate dynamic programming approach to risk sensitive control of execution costs
We study the problem of optimal execution within a dynamic programming framework. Given an exponential objective function, system variables which are normally distributed, and linear market dynamics, we derive a closed form solution for optimal trading trajectories. We show that a trader lacking …
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Risk-Sensitive Foraging in Humans Budgeting Time: Correlated with Real-World Financial Situation
… task, the proposed study investigated risk-sensitive decision-making, in humans. Participants were asked to "spend" a most valuable resource, time, in order to complete a computer-based task. Participants were asked to choose between two computer-generated selection boxes, each yielding …
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Risk-Sensitive Foraging in Humans Budgeting Time: Correlated with Real-World Financial Situation
… task, the proposed study investigated risk-sensitive decision-making, in humans. Participants were asked to "spend" a most valuable resource, time, in order to complete a computer-based task. Participants were asked to choose between two computer-generated selection boxes, each yielding …
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Examining financial puzzles from an evolutionary perspective
… the frequentist hypothesis, applications from risk-sensitive optimal foraging theory, and the cheater detection hypothesis. Next we introduce some of the most-researched puzzles in the finance literature. Examples include overreaction, loss aversion, and the equity premium puzzle. Following …
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Effects of systemic risk, exchange rate risk and collateral demand: the enforcement of initial margin on South African over‐the‐counter derivatives
… Authorities is whether to authorise the use of risk‐sensitive models or the standardised schedule to estimate initial margin requirements on non‐centrally cleared derivatives and which central clearing counterparty/ies, if any, to licence. Overburdensome collateral demand has systemic risk …
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Robust Adaptive Control of Deterministic and Stochastic Strict -Feedback Systems
… performance is measured again with respect to a risk-sensitive cost criterion. The unknown nonlinear interconnection terms are assumed to be bounded by some known functions of the outputs of the subsystems, multiplied by some unknown parameters. The controllers designed for each subsystem have …
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Goal-directed planning and plan recognition for the sustainable control of homes
… optimal planning, which supports efficiency, (2) risk-sensitive planning, which addresses comfort, and (2) intent recognition, which supports ease of use. Goal-direction improves efficiency by specifying what energy consuming activities the users need and when, and enables peak demand to be …
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The perceived impact of financial condition reporting on the structute of the shortterm insurance indusrty in South Africa
… principle based, internationally harmonised and risk sensitive approach to capital requirements, outweigh the efforts of implementing such a system.
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Robust Control of Stochastic Nonlinear Systems
… relationship between stochastic games and risk-sensitive stochastic control, we obtain a minimax state-feedback control law that is both locally optimal and globally inverse optimal. Furthermore, the closed-loop system is absolutely stable in the presence of stochastic uncertainty …
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Model-Based and Data-Driven Covariance Control: Theory and Applications
… scenarios such as non-Gaussian disturbances, risk-sensitive planning, and distributional robustness. Second, it integrates data-driven methodologies, leveraging offline system data to formulate and solve distribution steering problems for systems with unknown dynamics. The versatility of these …
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Effects of Timber Harvesting on Terrestrial Salamander Abundance and Behavior
… tested whether poorly fed salamanders exhibited risk-sensitive foraging in a dry environment in a laboratory experiment. Poorly fed salamanders were observed out of their simulated burrows less than well fed salamanders suggesting salamanders, particularly females and small adults, are …
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Generalised proportional-integral-plus control
… of the problem, namely Kalman Filtering and risk sensitive optimal control. Finally, the thesis discusses the relationship between PIP and predictive control, in particular Generalised Predictive Control (GPC) and the Smith Predictor. The power of the approach is illustrated by the design of …
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Stochastic modelling in bank management and optimization of bank asset allocation
… to improve the incentives for state-of-the-art risk management in banking, especially in the area of credit risk in view of Basel II. The new regulation seeks to provide incentives for greater awareness of differences in risk through more risk-sensitive minimum capital requirements based on …
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Resiliency Oriented Scenario Generation Framework for Natural Gas Infrastructure
… integration of future climate projections in the risk-sensitive planning and resilient operations of power-NG systems.
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Who Should I Trust? Uncertainty and Risk for Knowledge Transfer from Multiple Sources in Reinforcement Learning Domains
… approaches remain largely incognizant to risk and uncertainty during transfer. In this thesis, we identify two sources of risk that must be addressed in order to make transfer learning from multiple knowledge sources more reliable and autonomous: epistemic uncertainty arises due to a lack …
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Advancing Efficiency and Safety in Autonomous Sequential Decision Making
… under uncertainty, and implementing effective risk management strategies. It focuses on boosting RL data efficiency through simultaneous emphasis on epistemic uncertainty and knowledge transfer, and on mitigating risks associated with agent actions through aleatory uncertainty. Initially, the …
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Advanced Ordered Weighted Averaging Methods in Robust Optimization
… for aggregating outcomes according to varying risk preferences, from risk-averse to risk-neutral, encompassing traditional robust approaches as special cases. This work is organized around three primary contributions that expand the application and understanding of OWA in robust optimization. …
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