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Operations Research and Financial Engineering

Publication DateArticle TitleAuthor(s)
Feb-2016An overview of the estimation of large covariance and precision matricesFan, Jianqing; Liao, Yuan; Liu, Han
Feb-2016Projected principal component analysis in factor modelsFan, Jianqing; Liao, Yuan; Wang, Weichen
14-Jan-2016Shaped pupil Lyot coronagraphs: high-contrast solutions for restricted focal planesZimmerman, Neil T; Eldorado Riggs, AJ; Jeremy Kasdin, N; Carlotti, Alexis; Vanderbei, Robert J.
2-Jan-2016Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional ClassificationFan, Jianqing; Feng, Yang; Jiang, Jiancheng; Tong, Xin
1-Jan-2016Facelifting in utility maximizationLarsen, K; Soner, H Mete; Žitković, G
1-Jan-2016Hedging under an expected loss constraint with small transaction costsBouchard, B; Moreau, L; Soner, H Mete
1-Jan-2016Blind attacks on machine learnersBeatson, Alex; Wang, Zhaoran; Liu, Han
1-Jan-2016Accelerating Stochastic Composition OptimizationWang, Mengdi; Liu, Ji; Fang, Ethan X.
1-Jan-2016A lasso-based sparse knowledge gradient policy for sequential optimal learningLi, Yan; Liu, Han; Powell, Warren B.
1-Jan-2016Portfolio optimization under local-stochastic volatility: Coefficient taylor series approximations and implied sharpe ratioLorigt, M; Sircar, Ronnie
2016Low-rank and sparse structure pursuit via alternating minimizationGu, Quanquan; Wang, Zhaoran; Liu, Han
2016Agnostic estimation for misspecified phase retrieval modelsNeykov, Matey; Wang, Zhaoran; Liu, Han
2016A partially linear framework for massive heterogeneous dataZhao, Tianqi; Cheng, Guang; Liu, Han
2016Accelerated Path-Following Iterative Shrinkage Thresholding Algorithm With Application to Semiparametric Graph EstimationZhao, Tuo; Liu, Han
2016Joint estimation of multiple graphical models from high dimensional time seriesQiu, Huitong; Han, Fang; Liu, Han; Caffo, Brian
2016Some applications of polynomial optimization in operations research and real-time decision makingAhmadi, AA; Majumdar, Anirudha
2016Blind attacks on machine learnersBeatson, Alex; Wang, Zhaoran; Liu, Han
2016An improved convergence analysis of cyclic block coordinate descent-type methods for strongly convex minimizationLi, X; Zhao, T; Arora, R; Liu, H; Hong, M
2016Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equationsShkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
2016Replicates in high dimensions, with applications to latent variable graphical modelsTan, Kean Ming; Ning, Yang; Witten, Daniela M; Liu, Han