Monetary risk measures have gained popularity for expressing decision-makers' risk aversion. Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR), in particular, are used commonly for this purpose. This paper proposes new efficient algorithms to compute these risk measures for a discrete random variable in expected linear time with respect to the size of its domain. First, we propose a QuickVaR algorithm that computes the VaR of a discrete random variable. Then, we leverage QuickVaR to propose QuickDivergence, an algorithm for computing a class of $\varphi$-divergence risk measures, including the popular CVaR risk measure. The QuickVaR algorithm adapts the well-known Quickselect algorithm, while QuickDivergence builds on polymatroid optimization algorithms. Numerical results show that our new algorithms offer an order-of-magnitude speedup for large domains, and a library implementation of the algorithms is available at https://github.com/RiskAverseRL/RiskMeasures.jl.
Finance, sensing, and demand streams violate the exchangeability that IID conformal prediction and the IID bootstrap assume, and existing libraries implement either a general resampling engine or conformal calibration without the other. tsbootstrap provides block, residual, sieve…
Radiomic features derived from medical images and segmentation masks are used to support decision making in clinical imaging pipelines. In practice, these features are often computed from predicted masks, but segmentation models can be overconfident or poorly calibrated, making d…
Survival models can model time-to-event outcomes using partially observed data. They are widely used in clinical prediction, including cancer risk, disease progression, treatment response, and mortality. Recent models often rely on rich inputs collected at a specific clinical enc…
Despite alignment training, LLMs remain prone to generating unsafe outputs at deployment time. Monitoring outputs online and raising an alarm when safety can no longer be assumed is therefore critical. We study a simple real-time monitor that turns a verifier signal from an exter…
Emergency department (ED) boarding occurs when admitted patients remain in the ED while awaiting inpatient beds. Boarding is a major driver of ED crowding and has been associated with poor patient outcomes. We propose a framework to help EDs reduce boarding time and length of sta…
Physics-Informed Neural Networks (PINNs) solve PDEs by incorporating physical constraints into neural-network training, but large-scale problems are limited by automatic-differentiation memory overhead and inefficient execution of grid-based PDE operators. We present FlashPDE, a…