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math.OC2017
Controlled Information Fusion with Risk-Averse CVaR Social Sensors
Sujay Bhatt, Vikram Krishnamurthy
Consider a multi-agent network comprised of risk averse social sensors and a controller that jointly seek to estimate an unknown state of nature, given noisy measurements. The netw…
math.OC2015
Sequential Detection of Market shocks using Risk-averse Agent Based Models
Vikram Krishnamurthy, Sujay Bhatt
This paper considers a statistical signal processing problem involving agent based models of financial markets which at a micro-level are driven by socially aware and risk- averse…