Applications of robust optimal control to decision making in the presence of uncertainty

This thesis is concerned with robustness of decision making in financial economics. Feedback control models developed in engineering are applied to three separate though linked problems in order to examine the role and impact of robustness in the creation and application of decision rules. Three problems are examined using robust optimal control techniques to evaluate the impact of robustness and stability in financial economic models. The first problem examines the use of linear models of robust optimal control in the pricing of castastrophe based derivatives and finds its relative performance to be superior to the popular jump diffusion and stochastic volatility models in the pricing of these emerging instruments. The novelty of the approach arises from the examination of the impact of robustness and stability of the pricing solution. The second problem involves robustness and stability of hedging. An alternative method of creating hedging rules is developed. The method is based on robust control Lyapunov functions that are simple, robust and stable in operation, yet in practice are not so conservative that they eliminate all trading gains. The third problem involves the development of robust control policies for managing risk, using non-linear robust optimal control techniques to provide clear evidence of superior performance of robust models when compared with existing VAR and EVT approaches to risk management. The novelty in the approach arises from the development of a simple and powerful risk management metric

Essays on the Impacts of Environment on Uncertainty Attitudes and Consumption Choices

This thesis comprises three essays on the impact of the environment (i.e. objects or conditions which surround people) on uncertainty attitudes. The first chapter reports an online experiment by mimicking screen colours frequently used in asset trading software platforms and evaluates the impact of the graphical interface on decisions in risk and uncertainty. The findings in this chapter provide empirical evidence that people’s judgment in uncertainty depends on factors well beyond the traditional formulation of uncertainty through a set of state-contingent payoffs, and that the impact of these factors demonstrates disassociation between decisions in risk and in ambiguity. The next essay shows that people’s attitudes are sensitive to the inflow of information within their nation (environment). The announcement (a hike of interest rates) although positive and well anticipated, resulted in different reactions to the news. The media coverage prior to and after a monetary policy announcement creates different informed environment which affect people’s aversion to ambiguity and risk. The effect is detectable by controlling for individuals’ exposure to monetary policy news, and by disentangling precise news (after the announcement) and imprecise information (media discussions on change in monetary policy). These effects on individuals’ attitudes are driven by the channels for receiving economic information. The third chapter explores the expectation effects further by investigating the relationship between people’s uncertainty attitudes and their allocation of marginal income to consumption. This essay shows that people increase their marginal allocation to expenses when the associated risk and ambiguity aversion is high. The main results show that the ambiguity aversion explains the increased marginal allocation to household and discretionary expenses and contradicts other theories

An Unsolicited Soliloquy on Dependency Parsing

Programa Oficial de Doutoramento en Computación . 5009V01[Abstract] This thesis presents work on dependency parsing covering two distinct lines of research. The first aims to develop efficient parsers so that they can be fast enough to parse large amounts of data while still maintaining decent accuracy. We investigate two techniques to achieve this. The first is a cognitively-inspired method and the second uses a model distillation method. The first technique proved to be utterly dismal, while the second was somewhat of a success. The second line of research presented in this thesis evaluates parsers. This is also done in two ways. We aim to evaluate what causes variation in parsing performance for different algorithms and also different treebanks. This evaluation is grounded in dependency displacements (the directed distance between a dependent and its head) and the subsequent distributions associated with algorithms and the distributions found in treebanks. This work sheds some light on the variation in performance for both different algorithms and different treebanks. And the second part of this area focuses on the utility of part-of-speech tags when used with parsing systems and questions the standard position of assuming that they might help but they certainly won’t hurt.[Resumen] Esta tesis presenta trabajo sobre análisis de dependencias que cubre dos líneas de investigación distintas. La primera tiene como objetivo desarrollar analizadores eficientes, de modo que sean suficientemente rápidos como para analizar grandes volúmenes de datos y, al mismo tiempo, sean suficientemente precisos. Investigamos dos métodos. El primero se basa en teorías cognitivas y el segundo usa una técnica de destilación. La primera técnica resultó un enorme fracaso, mientras que la segunda fue en cierto modo un ´éxito. La otra línea evalúa los analizadores sintácticos. Esto también se hace de dos maneras. Evaluamos la causa de la variación en el rendimiento de los analizadores para distintos algoritmos y corpus. Esta evaluación utiliza la diferencia entre las distribuciones del desplazamiento de arista (la distancia dirigida de las aristas) correspondientes a cada algoritmo y corpus. También evalúa la diferencia entre las distribuciones del desplazamiento de arista en los datos de entrenamiento y prueba. Este trabajo esclarece las variaciones en el rendimiento para algoritmos y corpus diferentes. La segunda parte de esta línea investiga la utilidad de las etiquetas gramaticales para los analizadores sintácticos.[Resumo] Esta tese presenta traballo sobre análise sintáctica, cubrindo dúas liñas de investigación. A primeira aspira a desenvolver analizadores eficientes, de maneira que sexan suficientemente rápidos para procesar grandes volumes de datos e á vez sexan precisos. Investigamos dous métodos. O primeiro baséase nunha teoría cognitiva, e o segundo usa unha técnica de destilación. O primeiro método foi un enorme fracaso, mentres que o segundo foi en certo modo un éxito. A outra liña avalúa os analizadores sintácticos. Esto tamén se fai de dúas maneiras. Avaliamos a causa da variación no rendemento dos analizadores para distintos algoritmos e corpus. Esta avaliaci´on usa a diferencia entre as distribucións do desprazamento de arista (a distancia dirixida das aristas) correspondentes aos algoritmos e aos corpus. Tamén avalía a diferencia entre as distribucións do desprazamento de arista nos datos de adestramento e proba. Este traballo esclarece as variacións no rendemento para algoritmos e corpus diferentes. A segunda parte desta liña investiga a utilidade das etiquetas gramaticais para os analizadores sintácticos.This work has received funding from the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation programme (FASTPARSE, grant agreement No 714150) and from the Centro de Investigación de Galicia (CITIC) which is funded by the Xunta de Galicia and the European Union (ERDF - Galicia 2014-2020 Program) by grant ED431G 2019/01.Xunta de Galicia; ED431G 2019/0

ISIPTA'07: Proceedings of the Fifth International Symposium on Imprecise Probability: Theories and Applications

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Fundamental Approaches to Software Engineering

This open access book constitutes the proceedings of the 24th International Conference on Fundamental Approaches to Software Engineering, FASE 2021, which took place during March 27–April 1, 2021, and was held as part of the Joint Conferences on Theory and Practice of Software, ETAPS 2021. The conference was planned to take place in Luxembourg but changed to an online format due to the COVID-19 pandemic. The 16 full papers presented in this volume were carefully reviewed and selected from 52 submissions. The book also contains 4 Test-Comp contributions

Maximising axiomatization coverage and minimizing regression testing time

The correctness of program verification systems is of great importance, as they are used to formally prove that safety- and security-critical programs follow their specification. One of the contributing factors to the correctness of the whole verification system is the correctness of the background axiomatization, which captures the semantics of the target program language. We present a framework for the maximization of the proportion of the axiomatization that is used (“covered”) during testing of the verification tool. The diverse set of test cases found not only increases the trust in the verification system, but it can also be used to reduce the time needed for regression testing.Markus Wagne

Efficient Decision Support Systems

This series is directed to diverse managerial professionals who are leading the transformation of individual domains by using expert information and domain knowledge to drive decision support systems (DSSs). The series offers a broad range of subjects addressed in specific areas such as health care, business management, banking, agriculture, environmental improvement, natural resource and spatial management, aviation administration, and hybrid applications of information technology aimed to interdisciplinary issues. This book series is composed of three volumes: Volume 1 consists of general concepts and methodology of DSSs; Volume 2 consists of applications of DSSs in the biomedical domain; Volume 3 consists of hybrid applications of DSSs in multidisciplinary domains. The book is shaped upon decision support strategies in the new infrastructure that assists the readers in full use of the creative technology to manipulate input data and to transform information into useful decisions for decision makers