714 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Massachusetts Institute of TechnologyUS7 papers
- Imperial College LondonGB3 papers
- Centre for Economic Policy ResearchGB2 papers
- Georgia Institute of TechnologyUS2 papers
- University of ExeterGB2 papers
- University of WarwickGB2 papers
- Aalto UniversityFI1 paper
- AGH University of KrakowPL1 paper
- Agriculture and FoodAU1 paper
- Atilim UniversityTR1 paper
- Bilkent UniversityTR1 paper
- Cardiff UniversityGB1 paper
4 papers · 1 filter
Mixed-Projection Conic Optimization: A New Paradigm for Modeling Rank Constraints
Dimitris Bertsimas, Ryan Cory-Wright, Jean Pauphilet
We propose a framework for modeling and solving low-rank optimization problems to certifiable optimality. We introduce symmetric projection matrices that satisfy , the matri…
A Model of the Fed's View on Inflation
Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin +1
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are imp…
Solving Large-Scale Sparse PCA to Certifiable (Near) Optimality
Dimitris Bertsimas, Ryan Cory-Wright, Jean Pauphilet
Sparse principal component analysis (PCA) is a popular dimensionality reduction technique for obtaining principal components which are linear combinations of a small subset of the…
Forecasting the Intra-Day Spread Densities of Electricity Prices
Ekaterina Abramova, Derek Bunn
Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and sim…