arXiv:2607.05078v1 Announce Type: new Abstract: 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 cla
Source: arXiv cs.LG — read the full report at the original publisher.