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Conditional Value at Risk (CVaR) is a family of "coherent risk measures" which generalize the traditional mathematical expectation.
A Primer on PAC-Bayesian Learning
Benjamin Guedj · 1901
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Sharper bounds for uniformly stable algorithms
Olivier Bousquet, Yegor Klochkov, and Nikita Zhivotovskiy · 1910
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Le comportement de l’homme rationnel devant le risque: critique des postulats et axiomes de l’école américaine
Maurice Allais · 1953
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Risk, ambiguity, and the savage axioms
Daniel Ellsberg · 1961
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I-divergence geometry of probability distributions and minimization problems
I. Csiszár · 1975
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Asymptotic evaluation of certain Markov process expectations for large time — III
M. D. Donsker and S. R. S. Varadhan · 1976
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Concentration
Colin McDiarmid · 1998
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Coherent measures of risk
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, and David Heath · 1999
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Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk , pages 272–281
Georg Ch. Pflug · 2000
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Optimization of conditional value-at-risk
R Tyrrell Rockafellar, Stanislav Uryasev, et al · 2000
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Stability and generalization
Olivier Bousquet and André Elisseeff · 2002
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PAC-Bayesian generalization error bounds for Gaussian process classification
Matthias Seeger · 2002
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Mirror descent and nonlinear projected subgradient methods for convex optimization
Amir Beck and Marc Teboulle · 2003
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Concentration inequalities
Stéphane Boucheron, Gábor Lugosi, and Olivier Bousquet · 2003
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PAC-Bayes & margins
John Langford and John Shawe-Taylor · 2003
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PAC-Bayesian Stochastic Model Selection
David A. McAllester · 2003
Cited alongside, same era.
A note on the PAC-Bayesian theorem
Andreas Maurer · 2004
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Prediction, learning, and games
Nicolo Cesa-Bianchi and Gabor Lugosi · 2006
Cited alongside, same era.
Large deviations bounds for estimating conditional value-at-risk
David B. Brown · 2007
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PAC-Bayesian supervised classification: the thermodynamics of statistical learning
Olivier Catoni · 2007
Cited alongside, same era.
A robust approach based on conditional value-at-risk measure to statistical learning problems
Akiko Takeda and Takafumi Kanamori · 2008
Cited alongside, same era.
Pac-bayes-empirical-bernstein inequality
Ilya O. Tolstikhin and Yevgeny Seldin · 2013
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Algorithms for CVaR Optimization in MDPs
Yinlam Chow and Mohammad Ghavamzadeh · 2014
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Optimizing the CVaR via sampling
Aviv Tamar, Yonatan Glassner, and Shie Mannor · 2015
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Stability revisited: new generalisation bounds for the leave-one-out
Alain Celisse and Benjamin Guedj · 2016
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Risk-aware multi-armed bandit problem with application to portfolio selection
Xiaoguang Huo and Feng Fu · 2017
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Variance-based regularization with convex objectives
Hongseok Namkoong and John C. Duchi · 2017
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ν \nu -support vector machine as conditional value-at-risk minimization
Akiko Takeda and Masashi Sugiyama · 2008
Cited alongside, same era.
A Risk-Averse Newsvendor Model Under the CVaR Criterion
Youhua (Frank) Chen, Minghui Xu, and Zhe George Zhang · 2009
Cited alongside, same era.
Empirical Bernstein bounds and sample variance penalization
Andreas Maurer and Massimiliano Pontil · 2009
Cited alongside, same era.
Nonparametric return distribution approximation for reinforcement learning
Tetsuro Morimura, Masashi Sugiyama, Hisashi Kashima, Hirotaka Hachiya, and Toshiyuki Tanaka · 2010
Cited alongside, same era.
Deviation inequalities for an estimator of the conditional value-at-risk
Ying Wang and Fuqing Gao · 2010
Cited alongside, same era.
Entropic value-at-risk: A new coherent risk measure
Amir Ahmadi-Javid · 2012
Cited alongside, same era.
Robust adversarial reinforcement learning
Lerrel Pinto, James Davidson, Rahul Sukthankar, and Abhinav Gupta · 2017
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Learning models with uniform performance via distributionally robust optimization
John Duchi and Hongseok Namkoong · 2018
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An exponential tail bound for lq stable learning rules
Karim T. Abou-Moustafa and Csaba Szepesvári · 2019
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Concentration of risk measures: A Wasserstein distance approach
Sanjay P Bhat and LA Prashanth · 2019
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Concentration bounds for empirical conditional value-at-risk: The unbounded case
Ravi Kumar Kolla, LA Prashanth, Sanjay P Bhat, and Krishna Jagannathan · 2019
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PAC-Bayes Un-Expected Bernstein Inequality
Zakaria Mhammedi, Peter Grünwald, and Benjamin Guedj · 2019
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Concentration inequalities for conditional value at risk
Philip Thomas and Erik Learned-Miller · 2019
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High-Dimensional Statistics: A Non-Asymptotic Viewpoint
M. J. Wainwright · 2019
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Fairness risk measures
Robert Williamson and Aditya Menon · 2019
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