Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
Sign Up to like & getrecommendations! Published in 2019 at "Annals of Operations Research"
DOI: 10.1007/s10479-019-03366-0
Abstract: Recent studies in Lee and Prekopa (Oper Res Lett 45:19–24, 2017) and Lee (Oper Res Lett 45:1204–1220, 2017) showed that a union of partially ordered orthants in $$R^n$$ can be decomposed only into the largest… read more here.
Keywords: value risk; conditional value; oper res; res lett ... See more keywords
About the conditional value at risk of partial sums
Sign Up to like & getrecommendations! Published in 2017 at "Comptes Rendus Mathematique"
DOI: 10.1016/j.crma.2017.10.008
Abstract: Abstract In this note, we give normal approximation results for the conditional value at risk (CVaR) of partial sums of random variables satisfying moment assumptions. These results are based on Berry–Esseen-type bounds for transport costs… read more here.
Keywords: partial sums; value risk; conditional value; risk partial ... See more keywords
A scenario-based optimization of Smart Energy Hub operation in a stochastic environment using conditional-value-at-risk
Sign Up to like & getrecommendations! Published in 2018 at "Sustainable Cities and Society"
DOI: 10.1016/j.scs.2018.01.045
Abstract: Abstract Besides increasing the installation of distributed generation plants, investigation on multi-carrier energy systems leads recent studies to focus on several aspects of Smart Energy Hub (S. E. Hub) systems. An S. E. Hub incorporates… read more here.
Keywords: risk; conditional value; energy; hub ... See more keywords
Robust Energy Resource Management Incorporating Risk Analysis Using Conditional Value-at-Risk
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Access"
DOI: 10.1109/access.2022.3147501
Abstract: The energy resource management (ERM) problem in today’s energy systems is complex and challenging due to the increasing penetration of distributed energy resources with uncertain behavior. Despite the improvement of forecasting tools, and the development… read more here.
Keywords: energy; risk; energy resource; conditional value ... See more keywords
TRC: Trust Region Conditional Value at Risk for Safe Reinforcement Learning
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Robotics and Automation Letters"
DOI: 10.1109/lra.2022.3141829
Abstract: As safety is of paramount importance in robotics, reinforcement learning that reflects safety, called safe RL, has been studied extensively. In safe RL, we aim to find a policy which maximizes the desired return while… read more here.
Keywords: reinforcement learning; conditional value; region; value risk ... See more keywords
Optimal Control of a Virtual Power Plant by Maximizing Conditional Value-at-Risk
Sign Up to like & getrecommendations! Published in 2021 at "Applied Sciences"
DOI: 10.3390/app11167752
Abstract: This research acquired data from the Central Weather Bureau Observation Data Inquiry System (CODIS) for historical weather information, such as observation time, temperature, humidity, wind speed, global radiation, etc., and constructed a historical weather database… read more here.
Keywords: vpp; risk; power plant; conditional value ... See more keywords
Fuzzy Stochastic Unit Commitment Model with Wind Power and Demand Response under Conditional Value-At-Risk Assessment
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DOI: 10.3390/en11020341
Abstract: With the increasing penetration of wind power and demand response integrated into the grid, the combined uncertainties from wind power and demand response have been a challenging concern for system operators. It is necessary to… read more here.
Keywords: value risk; risk; conditional value; fuzzy stochastic ... See more keywords
Sample average approximation of conditional value-at-risk based variational inequalities
Sign Up to like & getrecommendations! Published in 2022 at "Optimization Letters"
DOI: 10.48550/arxiv.2208.11403
Abstract: This paper focuses on a class of variational inequalities (VIs), where the map defining the VI is given by the component-wise conditional value-at-risk (CVaR) of a random function. We focus on solving the VI using… read more here.
Keywords: sample average; conditional value; value risk; average approximation ... See more keywords