We study data-driven decision-making problems in the Bayesian framework, where the expectation in the Bayes risk is replaced by a risk-sensitive entropic risk measure with respect to the posterior distribution. We focus on problems where calculating the posterior distribution is intractable, a typical situation in modern applications with large datasets and complex data generating models. We leverage a dual representation of the entropic risk measure to introduce a novel risk-sensitive variational Bayesian (RSVB) framework for jointly computing a risk-sensitive posterior approximation and the corresponding decision rule. Our general framework includes \textit{loss-calibrated} VB (Lacoste-Julien et al. [2011] ) as a special case. We also study the impact of these computational approximations on the predictive performance of the inferred decision rules. We compute the convergence rates of the RSVB approximate posterior and the corresponding optimal value. We illustrate our theoretical findings in parametric and nonparametric settings with the help of three examples.

A face morph is created by strategically combining two or more face images corresponding to multiple identities. The intention is for the morphed image to match with multiple identities. Current morph attack detection strategies can detect morphs but cannot recover the images or identities used in creating them. The task of deducing the individual face images from a morphed face image is known as demorphing. Existing work in de-morphing assume the availability of a reference image pertaining to one identity in order to recover the image of the accomplice - i.e., the other identity. In this work, we propose a novel de-morphing method that can recover images of both identities simultaneously from a single morphed face image without needing a reference image or prior information about the morphing process. We propose a generative adversarial network that achieves single image-based de-morphing with a surprisingly high degree of visual realism and biometric similarity with the original face images. We demonstrate the performance of our method on landmark-based morphs and generative model-based morphs with promising results.