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Operations Research and Financial Engineering

Publication DateArticle TitleAuthor(s)
2014Scale-Invariant Sparse PCA on High-Dimensional Meta-Elliptical DataHan, Fang; Liu, Han
2014Tighten after Relax: Minimax-Optimal Sparse PCA in Polynomial TimeWang, Z; Lu, H; Liu, H
2014Positive Semidefinite Rank-Based Correlation Matrix Estimation With Application to Semiparametric Graph EstimationZhao, Tuo; Roeder, Kathryn; Liu, Han
2014Optimal computational and statistical rates of convergence for sparse nonconvex learning problemsWang, Zhaoran; Liu, Han; Zhang, Tong
2014Sparse Covariance Matrix Estimation With Eigenvalue ConstraintsLiu, Han; Wang, Lie; Zhao, Tuo
30-Dec-2013Monochromatic verification of high-contrast imaging with an occulterSirbu, Dan; Kasdin, N Jeremy; Vanderbei, Robert J
8-Dec-2013The Self-Financing Equation in High Frequency MarketsCarmona, Rene; Webster, Kevin
6-Dec-2013Probabilistic analysis of mean-field gamesCarmona, Rene; Delarue, F
Dec-2013Reward-Risk RatiosCheridito, Patrick; Kromer, Eduard
1-Oct-2013Singular FBSDEs and scalar conservation laws driven by diffusion processesCarmona, Rene; Delarue, F
26-Sep-2013Hybrid coronagraphic design: Optimization of complex apodizersCarlotti, A; Kasdin, NJ; Vanderbei, Robert J.; Riggs, AJE
25-Mar-2014Progress on optical verification for occulter-based high contrast imagingSirbu, D; Kasdin, NJ; Vanderbei, Robert J.
6-Mar-2019Shaped pupil coronagraphy with WFIRST-AFTACarlotti, A; Kasdin, NJ; Vanderbei, Robert J.
Sep-2013Large covariance estimation by thresholding principal orthogonal complementsFan, Jianqing; Liao, Yuan; Mincheva, Martina
Sep-2013Time consistency of dynamic risk measures in markets with transaction costsFeinstein, Zachary; Rudloff, Birgit
14-Aug-2013Mean field forward-backward stochastic differential equationsCarmon, Rene; Delarue, F
8-Aug-2013The local geometry of finite mixturesGassiat, Elisabeth; van Handel, Ramon
Aug-2013Constructing sublinear expectations on path spaceNutz, Marcel; van Handel, Ramon
Aug-2013Optimal detection of sparse principal components in high dimensionBerthet, Quentin; Rigollet, Philippe
1-Jul-2013Duality and convergence for binomial markets with frictionDolinsky, Y; Soner, H Mete