Robust sensitivity analysis for stochastic systems
From MaRDI portal
Publication:2833103
DOI10.1287/MOOR.2015.0776zbMATH Open1361.65008arXiv1303.0326OpenAlexW1693992350MaRDI QIDQ2833103FDOQ2833103
Authors: Henry Lam 
Publication date: 16 November 2016
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Abstract: We study a worst-case approach to measure the sensitivity to model misspecification in the performance analysis of stochastic systems. The situation of interest is when only minimal parametric information is available on the form of the true model. Under this setting, we post optimization programs that compute the worst-case performance measures, subject to constraints on the amount of model misspecification measured by Kullback-Leibler (KL) divergence. Our main contribution is the development of infinitesimal approximations for these programs, resulting in asymptotic expansions of their optimal values in terms of the divergence. The coefficients of these expansions can be computed via simulation, and are mathematically derived from the representation of the worst-case models as changes of measure that satisfy a well-defined class of functional fixed point equations.
Full work available at URL: https://arxiv.org/abs/1303.0326
Recommendations
- Robust analysis in stochastic simulation: computation and performance guarantees
- Generalized sensitivity analysis of ergodic stochastic systems
- Stochastic Control with Imperfect Models
- Estimates of performance sensitivity of a stochastic system
- Generalized estimates for performance sensitivities of stochastic systems
Cites Work
- A new look at the statistical model identification
- On Information and Sufficiency
- The Influence Curve and Its Role in Robust Estimation
- Probabilistic Sensitivity Analysis of Complex Models: A Bayesian Approach
- Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
- Perturbation theory and finite Markov chains
- Efficient nested simulation for estimating the variance of a conditional expectation
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Global sensitivity analysis: The primer
- Sensitivity and convergence of uniformly ergodic Markov chains
- Tractable stochastic analysis in high dimensions via robust optimization
- Distributionally Robust Optimization and Its Tractable Approximations
- Title not available (Why is that?)
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- Robust Dynamic Programming
- Estimation of Entropy and Mutual Information
- Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index
- Robust Portfolio Control with Stochastic Factor Dynamics
- Series Expansions for Continuous-Time Markov Processes
- The Maclaurin series for performance functions of Markov chains
- Taylor series expansions for stationary Markov chains
- SERIES EXPANSIONS FOR FINITE-STATE MARKOV CHAINS
- A Perturbation Theory for Ergodic Markov Chains and Application to Numerical Approximations
- On the Optimum Rate of Transmitting Information
- On the optimality of threshold control in queues with model uncertainty
- Performance analysis approximation in a queueing system of type \(M/G/1\)
- Unbiased estimation with square root convergence for SDE models
- Robust risk measurement and model risk
- Minimax optimal control of stochastic uncertain systems with relative entropy constraints
Cited In (48)
- Title not available (Why is that?)
- Learning models with uniform performance via distributionally robust optimization
- Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
- Distributionally Robust Optimization with Principal Component Analysis
- Formulation and properties of a divergence used to compare probability measures without absolute continuity
- Randomized Global Sensitivity Analysis and Model Robustness
- Subsampling to Enhance Efficiency in Input Uncertainty Quantification
- Stochastic sensitivity analysis
- Estimates of performance sensitivity of a stochastic system
- Robust quantile estimation under bivariate extreme value models
- Toward theoretical understandings of robust Markov decision processes: sample complexity and asymptotics
- Calibration of Distributionally Robust Empirical Optimization Models
- The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
- Robust distortion risk measures
- Data-driven aerodynamic shape design with distributionally robust optimization approaches
- Robust Actuarial Risk Analysis
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Residuals-based distributionally robust optimization with covariate information
- A Bayesian Risk Approach to Data-driven Stochastic Optimization: Formulations and Asymptotics
- Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty
- Parametric scenario optimization under limited data: a distributionally robust optimization view
- Robust empirical optimization is almost the same as mean-variance optimization
- Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
- Confidence regions of stochastic variational inequalities: error bound approach
- Quantification of model uncertainty on path-spaceviagoal-oriented relative entropy
- Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization
- Optimal Dividends Under Model Uncertainty
- Robustness to Incorrect Priors in Partially Observed Stochastic Control
- Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach
- System design of stochastic models using robustness of temporal properties
- Rigorous sensitivity analysis for parameter-dependent systems of equations
- Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
- Title not available (Why is that?)
- Work by Robert Kalaba on automated sensitivity analysis
- Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach
- Scalable information inequalities for uncertainty quantification
- Variance Regularization in Sequential Bayesian Optimization
- Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
- Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees
- Optimization-Based Calibration of Simulation Input Models
- Sensitivity analysis for systems with structured uncertainty
- Quantifying Distributional Model Risk via Optimal Transport
- Optimal Ergodic Harvesting under Ambiguity
- Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities
- Frameworks and results in distributionally robust optimization
- Decentralized sensitivity of stochastic composite systems
- Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty
- Robustness to Incorrect System Models in Stochastic Control
Uses Software
This page was built for publication: Robust sensitivity analysis for stochastic systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2833103)
