no code implementations • 20 Sep 2023 • Guillermo Terrén-Serrano, Michael Ludkovski
We propose and analyze the application of statistical functional depth metrics for the selection of extreme scenarios in day-ahead grid planning.
no code implementations • 18 Jul 2018 • Xiong Lyu, Mickael Binois, Michael Ludkovski
We consider the problem of learning the level set for which a noisy black-box function exceeds a given threshold.
no code implementations • 2 Nov 2017 • Sergio Rodriguez, Michael Ludkovski
We consider numerical schemes for root finding of noisy responses through generalizing the Probabilistic Bisection Algorithm (PBA) to the more practical context where the sampling distribution is unknown and location-dependent.
no code implementations • 14 Oct 2017 • Michael Ludkovski, James Risk
In the respective nested simulation framework, the goal is to estimate portfolio tail risk, quantified via VaR or TVaR of a given collection of future economic scenarios representing factor levels at the risk horizon.