2 citations · 4 across the 4 of their papers we have counts for
4 papers · 1 filter
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…
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…
BCMA-ES: A Bayesian approach to CMA-ES
Eric Benhamou, David Saltiel, Sebastien Verel +1
This paper introduces a novel theoretically sound approach for the celebrated CMA-ES algorithm. Assuming the parameters of the multi variate normal distribution for the minimum fol…