Peak Value-at-Risk Estimation of Stochastic Processes using Occupation Measures

arXiv2303.16064MaRDI QIDQ6509387FDOQ6509387

Authors: Jared Miller, Matteo Tacchi, Mario Sznaier, Ashkan M. Jasour 

Abstract: This paper proposes an algorithm to upper-bound maximal quantile statistics of a state function over the course of a Stochastic Differential Equation (SDE) system execution. This chance-peak problem is posed as a nonconvex program aiming to maximize the Value-at-Risk (VaR) of a state function along SDE state distributions. The VaR problem is upper-bounded by an infinite-dimensional Second-Order Cone Program in occupation measures through the use of one-sided Cantelli or Vysochanskii-Petunin inequalities. These upper bounds on the true quantile statistics may be approximated from above by a sequence of Semidefinite Programs in increasing size using the moment-Sum-of-Squares hierarchy when all data is polynomial. Effectiveness of this approach is demonstrated on example stochastic polynomial dynamical systems.

Has companion code repository: https://github.com/jarmill/chance_peak

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