The second and updated version of the probability cookbook is now available. The content has almost doubled in length (the PDF is now 55 pages and will keep expanding). The new material includes a section on the Brownian motion, a section on copulas and a chapter on uncertainty quantification using polynomial chaos methods.
I created a separate page where I will be announcing new versions of the cookbook. The LaTeX source code of the document can be found on github and it is licensed under the Creative Commons Attribution 4.0 International License.
Download the PDF here.
This is a brief note on the strict and strong convexity properties of the maximum of two functions. The question is whether the maximum of two strictly/strongly convex functions is strintly/strongly convex. The proofs are very simple.
Where in this post we discuss various types of constraints on stochastic optimal control problems starting from the classic uniform constraints to chance/probabilistic constraints and more elaborate risk constraints. We point out some caveats and propose a few remedies. Continue reading →
Coherent risk measures can be written as the support function of a set of random variables or as a worst-case expectation over a set of probability measures. This is the so-called dual or robust representation of risk measures. These representations extend to the conditional variants of risk measures. In this post we revisit the construction and properties of conditional risk mappings and derive the dual representation of compositions of conditional risk mappings. Continue reading →
I have been working on a probability theory cookbook which is intended to serve as a collection of important results in general probability theory. It can be used for a quick brush up, as a quick reference or cheat sheet, but not as primary tutorial material. This is a first draft version, but I will keep adding material
Download it here: probability cookbook v0.1
Feedback is more than welcome!
It is well known that MJLS can be mean-stable (the expected value of the state’s norm converges to 0), but not mean-square stable. It makes sense to assume that an MJLS can be mean-square stable, but some higher-order norms do not converge to 0. Despite the fact that mean-square stability conditions for MJLS are well studied and are easy to check, this is not always the case for moments of other order. In this post we present a counterexample and state conditions for p-order mean stability.
Continue reading →
In this post we discuss the interchangeability of the infimum with (monotone) risk measures in finite probability spaces. In particular, we show that under the common monotonicity assumption (which is satisfied by all well-behaving risk measures), for a risk measure and a mapping , we have
and , while, under additional conditions (which are typically met in finite-dimensional spaces), we have Continue reading →
This post aims at providing some intuition into cone programs from different perspectives; in particular:
- Equivalence of different formulations of cone programs
- Fenchel duality
- Primal-dual optimality conditions (OC)
- OCs as variational inequalities
- Homogeneous self-dual embeddings (HSDEs)
- OCs for HSDEs
Where here we ask what happens to the infima and sets of minimisers of sequences of functions ? under what conditions do these converge? what is an appropriate notion of convergence for functions which transfers the convergence to the corresponding sequence of its minima and minimizers? This poses a question of continuity for the infimum (as an operator) as well as the set of minimisers (as a multi-valued operator). We aim at characterising the continuity of these operators. Continue reading →
A while ago I posted this article on how to project on the epigraph of a convex function where I derived the optimality conditions and the KKT conditions. This post comes as an addendum proving a third way to project on an epigraph. Do read the previous article first because I use the same notation here. Continue reading →