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Results for “average value-at-risk”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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Surrogate Modeling For Efficiently Accurately and Conservatively Estimating Measures of Risk

We present a surrogate modeling framework for conservatively estimating measures of risk from limited realizations of an expensive physical experiment or computational simulation. We adopt a probabilistic description of risk that assigns probabilities to consequences associated with an event and use risk measures, which combine objective evidence with the subjective values of decision makers, to quantify anticipated outcomes. Given a set of samples, we construct a surrogate model that produces estimates of risk measures that are always greater than their empirical estimates obtained from the training data. These surrogate models not only limit over-confidence in reliability and safety assessments, but produce estimates of risk measures that converge much faster to the true value than purely sample-based estimates. We first detail the construction of conservative surrogate models that can be tailored to the specific risk preferences of the stakeholder and then present an approach, based upon stochastic orders, for constructing surrogate models that are conservative with respect to families of risk measures. The surrogate models introduce a bias that allows them to conservatively estimate the target risk measures. We provide theoretical results that show that this bias decays at the same rate as the L 2 error in the surrogate model. Our numerical examples confirm that risk-aware surrogate models do indeed over-estimate the target risk measures while converging at the expected rate.

97 MATHEMATICS AND COMPUTING↗

Higher-moment buffered probability

In stochastic optimization, probabilities naturally arise as cost functionals and chance constraints. Unfortunately, these functions are difficult to handle both theoretically and computationally. The buffered probability of failure and its subsequent extensions were developed as numerically tractable, conservative surrogates for probabilistic computations. In this manuscript, we introduce the higher-moment buffered probability. Whereas the buffered probability is defined using the Conditional Value-at-Risk, the higher-moment buffered probability is defined using Higher-Moment Coherent Risk measures. In this way, the higher-moment buffered probability encodes information about the magnitude of tail moments, not simply the tail average. We prove that the higher-moment buffered probability is closed, monotonic, quasi-convex and can be computed by solving a smooth one-dimensional convex optimization problem. These properties enable smooth reformulations of both higher-moment buffered probability cost functionals and constraints.

97 MATHEMATICS AND COMPUTING↗