2 citations · 2 across the 3 of their papers we have counts for
8 papers · 1 filter
Omega and Sharpe ratio
Eric Benhamou, Beatrice Guez, Nicolas Paris1
Omega ratio, defined as the probability-weighted ratio of gains over losses at a given level of expected return, has been advocated as a better performance indicator compared to Sh…
Variance Reduction in Actor Critic Methods (ACM)
Eric Benhamou
After presenting Actor Critic Methods (ACM), we show ACM are control variate estimators. Using the projection theorem, we prove that the Q and Advantage Actor Critic (A2C) methods…
Testing Sharpe ratio: luck or skill?
Eric Benhamou, David Saltiel, Beatrice Guez +1
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (e…
NGO-GM: Natural Gradient Optimization for Graphical Models
Eric Benhamou, Jamal Atif, Rida Laraki +1
This paper deals with estimating model parameters in graphical models. We reformulate it as an information geometric optimization problem and introduce a natural gradient descent s…
Similarities between policy gradient methods (PGM) in Reinforcement learning (RL) and supervised learning (SL)
Eric Benhamou
Reinforcement learning (RL) is about sequential decision making and is traditionally opposed to supervised learning (SL) and unsupervised learning (USL). In RL, given the current s…
BCMA-ES II: revisiting Bayesian CMA-ES
Eric Benhamou, David Saltiel, Beatrice Guez +1
This paper revisits the Bayesian CMA-ES and provides updates for normal Wishart. It emphasizes the difference between a normal and normal inverse Wishart prior. After some computat…