Estimating and quantifying uncertainties on level sets using the Vorob'ev expectation and deviation with Gaussian process models

Several methods based on Kriging have recently been proposed for calculating a probability of failure involving costly-to-evaluate functions. A closely related problem is to estimate the set of inputs leading to a response exceeding a given threshold. Now, estimating such a level set—and not solely its volume—and quantifying uncertainties on it are not straightforward. Here we use notions from random set theory to obtain an estimate of the level set, together with a quantification of estimation uncertainty. We give explicit formulae in the Gaussian process set-up and provide a consistency result. We then illustrate how space-filling versus adaptive design strategies may sequentially reduce level set estimation uncertainty.

Automated cement segmentation in vertebroplasty

Vertebroplasty is a minimally invasive procedure with many benefits; however, the procedure is not without risks and potential complications, of which leakage of the cement out of the vertebral body and into the surrounding tissues is one of the most serious. Cement can leak into the spinal canal, venous system, soft tissues, lungs and intradiscal space, causing serious neurological complications, tissue necrosis or pulmonary embolism. We present a method for automatic segmentation and tracking of bone cement during vertebroplasty procedures, as a first step towards developing a warning system to avoid cement leakage outside the vertebral body. We show that by using active contours based on level sets the shape of the injected cement can be accurately detected. The model has been improved for segmentation as proposed in our previous work by including a term that restricts the level set function to the vertebral body. The method has been applied to a set of real intra-operative X-ray images and the results show that the algorithm can successfully detect different shapes with blurred and not well-defined boundaries, where the classical active contours segmentation is not applicable. The method has been positively evaluated by physicians.

Risk measures with the CxLS property

In the present contribution, we characterise law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (Math. Finance 16:419–441, 2006), we show that these risk measures can be identified with a class of generalised shortfall risk measures. As a direct consequence, we are able to extend the results in Ziegel (Math. Finance, 2014, http://onlinelibrary.wiley.com/doi/10.1111/mafi.12080/abstract) and Bellini and Bignozzi (Quant. Finance 15:725–733, 2014) on convex elicitable risk measures and confirm that expectiles are the only elicitable coherent risk measures. Further, we provide a simple characterisation of robustness for convex risk measures in terms of a weak notion of mixture continuity.