Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Towards Scalable Risk Analysis for Stochastic Systems Using Extreme
  Value Theory   We aim to analyze the behaviour of a finite-time stochastic system, whose
model is not available, in the context of more rare and harmful outcomes.
Standard estimators are not effective in predicting the magnitude of such
outcomes due to their rarity. Instead, we leverage Extreme Value Theory (EVT),
the study of the long-term behaviour of normalized maxima of random variables.
In this letter, we quantify risk using the upper-semideviation
$E(\max\{Y-E(Y),0\})$, which is the expected exceedance of a random variable
$Y$ above its mean $E(Y)$. To assess more rare and harmful outcomes, we propose
an EVT-based estimator for this functional in a given fraction of the worst
cases. We show that our estimator enjoys a closed-form representation in terms
of a popular functional called the conditional value-at-risk. In experiments,
we illustrate the extrapolation power of our estimator when a small number of
i.i.d. samples is available ($<$50). Our approach is useful for estimating the
risk of finite-time systems when models are inaccessible and data collection is
expensive. The numerical complexity does not grow with the size of the state
space. This letter initiates a broader pathway for estimating the risk of
large-scale systems.

36
The categories of this paper are: cmp-lg
6
The categories of this paper are: astro-ph
37
The categories of this paper are: supr-con
31
The categories of this paper are: ao-sci
33
The categories of this paper are: plasm-ph
11
The categories of this paper are: hep-lat
2
The categories of this paper are: math
15
The categories of this paper are: nucl-ex
18
The categories of this paper are: econ
8
The categories of this paper are: hep-ex
28
The categories of this paper are: alg-geom
30
The categories of this paper are: q-alg
5
The categories of this paper are: gr-qc
12
The categories of this paper are: nucl-th
4
The categories of this paper are: cond-mat
23
The categories of this paper are: solv-int