2 papers
math.OC2019
General risk measures for robust machine learning
Emilie Chouzenoux, Henri Gérard, Jean-Christophe Pesquet
A wide array of machine learning problems are formulated as the minimization of the expectation of a convex loss function on some parameter space. Since the probability distributio…
math.OC2017
On risk averse competitive equilibrium
Henri Gérard, Vincent Leclère, Andy Philpott
We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to socialplanning models, we show by example tha…