A robust approach based on conditional value-at-risk measure to statistical learning problems

In statistical learning problems, measurement errors in the observed data degrade the reliability of estimation. There exist several approaches to handle those uncertainties in observations. In this paper, we propose to use the conditional value-at-risk (CVaR) measure in order to depress influence of measurement errors, and investigate the relation between the resulting CVaR minimization problems and some existing approaches in the same framework. For the CVaR minimization problems which include the computation of integration, we apply Monte Carlo sampling method and obtain their approximate solutions. The approximation error bound and convergence property of the solution are proved by Vapnik and Chervonenkis theory. Numerical experiments show that the CVaR minimization problem can achieve fairly good estimation results, compared with several support vector machines, in the presence of measurement errors.     

Computational aspects of minimizing conditional value-at-risk

We consider optimization problems for minimizing conditional value-at-risk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as two-stage recourse problems of stochastic programming. Specializing the L-shaped method leads to a new algorithm for minimizing conditional value-at-risk. We implemented the algorithm as the solver CVaRMin. For illustrating the performance of this algorithm, we present some comparative computational results with two kinds of test problems. Firstly, we consider portfolio optimization problems with 5 random variables. Such problems involving conditional value at risk play an important role in financial risk management. Therefore, besides testing the performance of the proposed algorithm, we also present computational results of interest in finance. Secondly, with the explicit aim of testing algorithm performance, we also present comparative computational results with randomly generated test problems involving 50 random variables. In all our tests, the experimental solver, based on the new approach, outperformed by at least one order of magnitude all general-purpose solvers, with an accuracy of solution being in the same range as that with the LP solvers. János Mayer: Financial support by the national center of competence in research "Financial Valuation and Risk Management" is gratefully acknowledged. The national centers in research are managed by the Swiss National Science Foundation on behalf of the federal authorities.     

An exact method for constrained maximization of the conditional value-at-risk of a class of stochastic submodular functions

We consider a class of risk-averse submodular maximization problems (RASM) where the objective is the conditional value-at-risk (CVaR) of a random nondecreasing submodular function at a given risk level. We propose valid inequalities and an exact general method for solving RASM under the assumption that we have an efficient oracle that computes the CVaR of the random function. We demonstrate the proposed method on a stochastic set covering problem that admits an efficient CVaR oracle for the random coverage function.     

Bivariate distributions via a Pareto conditional distribution and a regression function

Uniqueness of specification of a bivariate distribution by a Pareto conditional and a consistent regression function is investigated. New characterizations of the Mardia bivariate Pareto distribution and the bivariate Pareto conditionals distribution are obtained.     

Optimization of gene-environment networks in the presence of errors and uncertainty with Chebychev approximation

This mathematical contribution is addressed towards the wide interface of life and human sciences that exists between biological and environmental information. Like very few other disciplines only, the modeling and prediction of genetical data is requesting mathematics nowadays to deeply understand its foundations. This need is even forced by the rapid changes in a world of globalization. Such a study has to include aspects of stability and tractability; the still existing limitations of modern technology in terms of measurement errors and uncertainty have to be taken into account. In this paper, the important role played by the environment is rigorously introduced into the biological context and connected with employing the theories of optimization and dynamical systems. Especially, a matrix-vector and interval concept and algebra are used; some special attention is paid to splines. From data got by DNA microarray experiments and environmental measurements we extract nonlinear ordinary differential equations. This is done by Chebychev approximation and semi-infinite optimization. Then, time-discretized dynamical systems are studied. By a combinatorial algorithm which constructs and follows polyhedra sequences, the region of parametric stability is detected. This is used for testing and maybe improving the goodness of the achieved model. We analyze the topological landscape of gene-environment networks in terms of structural stability which we characterize. This pioneering practically motivated and theoretically elaborated work is devoted to a contribution to better health care, progress in medicine, better education, and to recommending more healthy living conditions. The present paper mainly bases on the authors’ and their coauthors’ contributions of the last few years, it critically discusses structural frontiers and future challenges, while respecting related research contributions, giving access and referring to alternative concepts that exist in the literature.      

Introducing computational thinking through hands-on projects using R with applications to calculus,probability and data analysis

The goal of this paper is to promote computational thinking among mathematics, engineering, science and technology students, through hands-on computer experiments. These activities have the potential to empower students to learn, create and invent with technology, and they engage computational thinking through simulations, visualizations and data analysis. We present nine computer experiments and suggest a few more, with applications to calculus, probability and data analysis, which engage computational thinking through simulations, visualizations and data analysis. We are using the free (open-source) statistical programming language R. Our goal is to give a taste of what R offers rather than to present a comprehensive tutorial on the R language. In our experience, these kinds of interactive computer activities can be easily integrated into a smart classroom. Furthermore, these activities do tend to keep students motivated and actively engaged in the process of learning, problem solving and developing a better intuition for understanding complex mathematical concepts.     

Stochastic bounds on distributions of optimal value functions with applications to pert,network flows and reliability

In various network models the quantities of interest are optimal value functions of the form max X _i , min X _i , min maxX _i , max minX _i , where the inner operation is on the nodes of a path/cut and the outer operation on all paths/cuts, e.g. shortest path of a project network, maximal flow of a flow network or lifetime of a reliability system. ForX _i random with given marginal distributions, we obtain bounds for the optimal value functions, based on common and on antithetic joint distributions.This work was carried out during a visit to RWTH Aachen, supported by DAAD.     

From intervals to domains: Towards a general description of validated uncertainty,with potential applications to geospatial and meteorological data

When physical quantities _xi$x_i$ are numbers, then the corresponding measurement accuracy can be usually represented in interval terms, and interval computations can be used to estimate the resulting uncertainty in y=f(_x1,…,_xn)$y=f(x_1,\dots ,x_n)$.     

Systems of equilibrium problems with applications to new variants of Ekeland’s variational principle,fixed point theorems and parametric optimization problems

In this paper, we first establish some existence theorems of systems of generalized vector equilibrium problems. From these results, we obtain new variants of Ekeland’s variational principle in a Hausdorff t.v.s., a minimax theorem and minimization theorems. Some applications to the existence theorem of systems of semi-infinite problem, a variant of flower petal theorem and a generalization of Schauder’s fixed point theorem are also given.