activity
20192026
most citedCity-Scale Agent-Based Simulators for the Study of Non-Pharmaceutical Interventions in the Context of the COVID-19 Epidemic

33 citations · 35 across the 13 of their papers we have counts for

collaborators

15 papers

q-fin.RM2026

Simulating Stress Laws under Extremal Dependence: Characterizing What Generative Models Must Preserve

Mantu Gupta, Anand Deo

We study stress-scenario generation for systems driven by multivariate heavy-tailed risk factors. Within regions where several financial losses are simultaneously extreme, stress a…

cs.LG2026

No Unique Minimizer, No Problem: On the Consistency of Robust Neural Classifiers

Subhabrata Majumdar, Anand Deo, Partha Pratim Saha +1

Neural network classifiers trained by cross-entropy minimization are highly sensitive to label noise and adversarial contamination. While robust alternatives offer bounded influenc…

q-fin.RM2026

An Extreme Value Perspective on Learning Stress Laws

Mantu Gupta, Anand Deo

We introduce Self-Similar Generative Estimation (SS-GEN), a method for simulating multivariate tail events and estimating rare-event probabilities in both heavy and light-tailed se…

q-fin.RM2026

Generating Plausible Stress Scenarios via Large Deviations

Anand Deo

Financial stress tests based on handpicked scenarios can mislead risk management by overlooking genuinely dangerous configurations or overemphasising shocks that are too implausibl…

math.OC2026

Decision-Scaled Scenario Approach for Rare Chance-Constrained Optimization

Jaeseok Choi, Anand Deo, Constantino Lagoa +1

Chance-constrained optimization is a suitable modeling framework for safety-critical applications where violating constraints is nearly unacceptable. The scenario approach is a pop…

q-fin.RM2025

EVT-Based Rate-Preserving Distributional Robustness for Tail Risk Functionals

Anand Deo

Risk measures such as Conditional Value-at-Risk (CVaR) focus on extreme losses, where scarce tail data makes model error unavoidable. To hedge misspecification, one evaluates worst…

math.OC2025

The Scaling Behaviors in Achieving High Reliability via Chance-Constrained Optimization

Anand Deo, Karthyek Murthy

We study the problem of resource provisioning under stringent reliability or service level requirements, which arise in applications such as power distribution, emergency response,…

math.OC2024

Reduced Sample Complexity in Scenario-Based Control System Design via Constraint Scaling

Jaeseok Choi, Anand Deo, Constantino Lagoa +1

The scenario approach is widely used in robust control system design and chance-constrained optimization, maintaining convexity without requiring assumptions about the probability…

q-fin.RM2023

Importance Sampling for Minimization of Tail Risks: A Tutorial

Anand Deo, Karthyek Murthy

This paper provides an introductory overview of how one may employ importance sampling effectively as a tool for solving stochastic optimization formulations incorporating tail ris…

q-fin.RM2022

Combining Retrospective Approximation with Importance Sampling for Optimising Conditional Value at Risk

Anand Deo, Karthyek Murthy, Tirtho Sarker

This paper investigates the use of retrospective approximation solution paradigm in solving risk-averse optimization problems effectively via importance sampling (IS). While IS ser…

q-fin.RM2021

Efficient Black-Box Importance Sampling for VaR and CVaR Estimation

Anand Deo, Karthyek Murthy

This paper considers Importance Sampling (IS) for the estimation of tail risks of a loss defined in terms of a sophisticated object such as a machine learning feature map or a mixe…

stat.ML2021★ 2 cited

Achieving Efficiency in Black Box Simulation of Distribution Tails with Self-structuring Importance Samplers

Anand Deo, Karthyek Murthy

This paper presents a novel Importance Sampling (IS) scheme for estimating distribution tails of performance measures modeled with a rich set of tools such as linear programs, inte…

stat.ME2020

Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives

Anand Deo, Karthyek Murthy

Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a measure for tail risk in settings affected by uncertainty, we develop a new formula for approximating CVaR base…

q-bio.PE2020★ 33 cited

City-Scale Agent-Based Simulators for the Study of Non-Pharmaceutical Interventions in the Context of the COVID-19 Epidemic

Shubhada Agrawal, Siddharth Bhandari, Anirban Bhattacharjee +14

We highlight the usefulness of city-scale agent-based simulators in studying various non-pharmaceutical interventions to manage an evolving pandemic. We ground our studies in the c…

econ.EM2019

Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator

Anand Deo, Sandeep Juneja

We consider discrete default intensity based and logit type reduced form models for conditional default probabilities for corporate loans where we develop simple closed form approx…