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Operations Research and Financial Engineering

Publication DateArticle TitleAuthor(s)
2016An improved convergence analysis of cyclic block coordinate descent-type methods for strongly convex minimizationLi, X; Zhao, T; Arora, R; Liu, H; Hong, M
2016Replicates in high dimensions, with applications to latent variable graphical modelsTan, Kean Ming; Ning, Yang; Witten, Daniela M; Liu, Han
2016Sparse median graphs estimation in a high-dimensional semiparametric modelHan, Fang; Han, Xiaoyan; Liu, Han; Caffo, Brian
2016Stochastic variance reduced optimization for nonconvex sparse learningLi, X; Zhao, T; Arora, R; Liu, H; Haupt, J
2016Gradients weights improve regression and classificationKpotufe, S; Boularias, A; Schultz, T; Kim, K
2016Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equationsShkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
2016Equilibrium Pricing in Incomplete Markets Under Translation Invariant PreferencesCheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A
1-Dec-2015A Direct Estimation of High Dimensional Stationary Vector AutoregressionsHan, Fang; Lu, Huanran; Liu, Han
Dec-2015An Approximate Dynamic Programming Algorithm for Monotone Value FunctionsJiang, Daniel R; Powell, Warren B
18-Nov-2015Online learning in repeated auctionsWeed, Jonathan; Perchet, Vianney; Rigollet, Philippe
9-Nov-2015Beta-gamma tail asymptoticsPitman, J; Rácz, Miklos Z
Oct-2015Can local particle filters beat the curse of dimensionality?Rebeschini, Patrick; van Handel, Ramon
16-Sep-2015Shaped pupil Lyot coronagraph designs for WFIRST/AFTAZimmerman, NT; Riggs, AJE; Kasdin, NJ; Carlotti, A; Vanderbei, Robert J.
15-Sep-2015Scaling relation for occulter manufacturing errorsSirbu, D; Shaklan, SB; Kasdin, NJ; Vanderbei, Robert J.
Sep-2015Sparsifying the Fisher linear discriminant by rotationHao, Ning; Dong, Bin; Fan, Jianqing
Sep-2015Distributed Estimation and Inference with Statistical GuaranteesBattey, Heather; Fan, Jianqing; Liu, Han; Lu, Junwei; Zhu, Ziwei
Aug-2015QUADRO: A supervised dimension reduction method via Rayleigh quotient optimizationFan, Jianqing; Ke, Zheng Tracy; Liu, Han; Xia, Lucy
Aug-2015Calibrated Multivariate Regression with Application to Neural Semantic Basis DiscoveryLiu, Han; Wang, Lie; Zhao, Tuo
Aug-2015Optimal Hour-Ahead Bidding in the Real-Time Electricity Market with Battery Storage Using Approximate Dynamic ProgrammingJiang, Daniel R; Powell, Warren B
30-Jul-2015Which young tableaux can represent an outer sum?Mallows, C; Vanderbei, Robert J.