109 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
8 papers
Measuring Tail Risks
Kan Chen, Tuoyuan Cheng
Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail…
A Note on the Convergence of ADMM for Linearly Constrained Convex Optimization Problems
Liang Chen, Defeng Sun, Kim-Chuan Toh
This note serves two purposes. Firstly, we construct a counterexample to show that the statement on the convergence of the alternating direction method of multipliers (ADMM) for so…
An Efficient Inexact Symmetric Gauss-Seidel Based Majorized ADMM for High-Dimensional Convex Composite Conic Programming
Liang Chen, Defeng Sun, Kim-Chuan Toh
In this paper, we propose an inexact multi-block ADMM-type first-order method for solving a class of high-dimensional convex composite conic optimization problems to moderate accur…
Dense Packings from Algebraic Number Fields and Codes
Shantian Cheng
We introduce a new method from number fields and codes to construct dense packings in the Euclidean spaces. Via the canonical -embedding of arbitrary number field i…
Dynamic Games with Almost Perfect Information
Wei He, Yeneng Sun
This paper aims to solve two fundamental problems on finite or infinite horizon dynamic games with perfect or almost perfect information. Under some mild conditions, we prove (1) t…
A Rank-Corrected Procedure for Matrix Completion with Fixed Basis Coefficients
Weimin Miao, Shaohua Pan, Defeng Sun
For the problems of low-rank matrix completion, the efficiency of the widely-used nuclear norm technique may be challenged under many circumstances, especially when certain basis c…
Rejoinder to "Feature Matching in Time Series Modeling"
Yingcun Xia, Howell Tong
Rejoinder to "Feature Matching in Time Series Modeling" by Y. Xia and H. Tong [arXiv:1104.3073]
Feature Matching in Time Series Modeling
Yingcun Xia, Howell Tong
Using a time series model to mimic an observed time series has a long history. However, with regard to this objective, conventional estimation methods for discrete-time dynamical m…