papers
Publications (2)
math.OC2021
Efficient differentiable quadratic programming layers: an ADMM approach
Andrew Butler, Roy Kwon
Recent advances in neural-network architecture allow for seamless integration of convex optimization problems as differentiable layers in an end-to-end trainable neural network. In…
cs.SI2020
Market Graph Clustering Via QUBO and Digital Annealing
Seo Hong, Pierre Miasnikof, Roy Kwon +1
Our goal is to find representative nodes of a market graph that best replicate the returns of a broader market graph (index), a common task in the financial industry. We model our…