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Operations Research and Financial Engineering

Publication DateArticle TitleAuthor(s)
1-Sep-2019Learning to Control in Metric Space with Optimal RegretYang, Lin F.; Ni, Chengzhuo; Wang, Mengdi
31-Jul-2019Dual representations for systemic risk measuresArarat, Çağın; Rudloff, Birgit
1-Jan-2019Multi-Level Stochastic Gradient Methods for Nested Composition OptimizationYang, Shuoguang; Wang, Mengdi; Fang, Ethan X.
2019Blessing of massive scale: spatial graphical model estimation with a total cardinality constraint approachFang, Ethan X.; Liu, Han; Wang, Mengdi
2019Approximation Hardness for A Class of Sparse Optimization ProblemsChen, Yichen; Ye, Yinyu; Wang, Mengdi
8-Jun-2018A Supermartingale Relation for Multivariate Risk MeasuresFeinstein, Zachary; Rudloff, Birgit
2-Jan-2018ECA: High Dimensional Elliptical Component Analysis in Non-Gaussian DistributionsHan, Fang; Liu, Han
1-Jan-2018Estimation of Markov Chain via Rank-Constrained LikelihoodLi, Xudong; Wang, Mengdi; Zhang, Anru
1-Jan-2018Minimax-optimal privacy-preserving sparse PCA in distributed systemsGe, Jason; Wang, Zhaoran; Wang, Mengdi; Liu, Han
2018Dimensionality Reduction for Stationary Time Series via Stochastic Nonconvex OptimizationChen, Minshuo; Yang, Lin F.; Wang, Mengdi; Zhao, Tuo
2018Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilitiesFeinstein, Zachary; Pang, Weijie; Rudloff, Birgit; Schaanning, Eric; Sturm, Stephan; et al
2018Near-optimal stochastic approximation for online principal component estimationLi, CJ; Wang, Mengdi; Liu, Han; Zhang, T
2018Max-norm optimization for robust matrix recoveryFang, Ethan X; Liu, Han; Toh, Kim-Chuan; Zhou, Wen-Xin
17-Oct-2017Accelerating Stochastic Composition OptimizationWang, Mengdi; Liu, Ji; Fang, Ethan X.
Sep-2017Set-valued shortfall and divergence risk measuresArarat, Çağın; Hamel, Andreas H.; Rudloff, Birgit
Feb-2017A general theory of hypothesis tests and confidence regions for sparse high dimensional modelsNing, Yang; Liu, Han
1-Jan-2017Finite-sum Composition Optimization via Variance Reduced Gradient DescentLian, Xiangru; Wang, Mengdi; Liu, Ji
Jan-2017Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptionsFan, Jianqing; Li, Quefeng; Wang, Yuyan
2017Diffusion Approximations for Online Principal Component Estimation and Global ConvergenceLi, Chris Junchi; Wang, Mengdi; Liu, Han; Zhang, Tong
1-Nov-2016Guarding against spurious discoveries in high dimensionsFan, J; Zhou, WX