1 citations · 1 across the 1 of their papers we have counts for
3 papers
Estimation of Spectral Risk Measures
Ajay Kumar Pandey, Prashanth L. A., Sanjay P. Bhat
We consider the problem of estimating a spectral risk measure (SRM) from i.i.d. samples, and propose a novel method that is based on numerical integration. We show that our SRM est…
Bidding in Smart Grid PDAs: Theory, Analysis and Strategy (Extended Version)
Susobhan Ghosh, Sujit Gujar, Praveen Paruchuri +2
Periodic Double Auctions (PDAs) are commonly used in the real world for trading, e.g. in stock markets to determine stock opening prices, and energy markets to trade energy in orde…
Concentration bounds for empirical conditional value-at-risk: The unbounded case
Ravi Kumar Kolla, Prashanth L. A., Sanjay P. Bhat +1
In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control loss…