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Markov decision processes with risk-sensitive criteria: an overview
The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term ’risk-sensitive’ refers here to...
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Due-date quotation model for manufacturing system scheduling under uncertainty
This paper studies the scheduling problem for the manufacturing systems with uncertain job duration, and the possibility of planning due-date...
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Polyhedral Coherent Risk Measure and Distributionally Robust Portfolio Optimization
Polyhedral coherent risk measures and their worst-case constructions with respect to the ambiguity set are considered. For the case of the discrete...
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On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
It is well-known from the work of Kupper and Schachermayer that most law-invariant risk measures are not time-consistent, and thus do not admit...
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Validation of scenario generation for decision-making using machine learning prediction models
Machine learning provides valuable information for data-driven decision-making. However, real-world problems commonly include uncertainties and the...
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The Great Debate
Forty+ years later, the controversy surrounding the Appel and Haken proof is amazingly alive and well. Even when the extraordinary in many respects...
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Data-Driven Distributionally Robust Risk-Averse Two-Stage Stochastic Linear Programming over Wasserstein Ball
In this paper, we consider a data-driven distributionally robust two-stage stochastic linear optimization problem over 1-Wasserstein ball centered at...
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Optimization over decision trees: a case study for the design of stable direct-current electricity networks
In many real-world mixed-integer optimization problems from engineering, the side constraints can be subdivided into two categories: constraints...
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A Flexible Job Shop Scheduling Model for Sustainable Manufacturing
The research work aims at optimizing the energy costs in manufacturing industries. We pay particular attention to the use of energy in production...
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Risk Measures in the Form of Infimal Convolution
The properties of risk measures in the form of infimal convolution are analyzed. The dual representation of such measures, their subdifferential,...
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Trends and Emerging Technologies in AI
The growth of artificial intelligence (AI) is accelerating. AI has left research and innovation labs, and nowadays plays a significant role in our...
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The Hidden Power of Negative Gamma
This chapter looks at writing oil options from the perspective of the insurance product, which is the essence of gamma trading and the resulting...
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The Role of White Precious Metals in the Allocation of General Asset
White precious metals have often been regarded as industrial raw materials in the past. With the introduction of the Silver ETF in 2006 and Platinum...
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Representing and extending ensembles of parsimonious evolutionary histories with a directed acyclic graph
In many situations, it would be useful to know not just the best phylogenetic tree for a given data set, but the collection of high-quality trees....
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Efficient hedging under ambiguity in continuous time
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty...
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Probability Models in Statistical Data Analysis: Uses, Interpretations, Frequentism-as-Model
The application of mathematical probability theory in statistics is quite controversial. Controversies regard both the interpretation of probability...
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Optimal Investment with a Noisy Signal of Future Stock Prices
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock’s price...
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A Theory of the Risk for Empirical CVaR with Application to Portfolio Selection
When decisions are based on empirical observations, a trade-off arises between flexibility of the decision and ability to generalize to new...
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Robust-fuzzy optimization approach in design of sustainable lean supply chain network under uncertainty
Sustainability in the lean supply chain is the consideration of all economic, social and environmental aspects in an integrated system. This study...
