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20112021
most citedSparse Portfolio Selection via the sorted -Norm

66 citations · 84 across the 6 of their papers we have counts for

collaborators

6 papers

cs.LG2021

Data Quality Measures and Efficient Evaluation Algorithms for Large-Scale High-Dimensional Data

Hyeongmin Cho, Sangkyun Lee

Machine learning has been proven to be effective in various application areas, such as object and speech recognition on mobile systems. Since a critical key to machine learning suc…

stat.ML2019★ 3 cited

Structure Learning of Gaussian Markov Random Fields with False Discovery Rate Control

Sangkyun Lee, Piotr Sobczyk, Malgorzata Bogdan

In this paper, we propose a new estimation procedure for discovering the structure of Gaussian Markov random fields (MRFs) with false discovery rate (FDR) control, making use of th…

cs.LG2019★ 5 cited

Compressed Learning of Deep Neural Networks for OpenCL-Capable Embedded Systems

Sangkyun Lee, Jeonghyun Lee

Deep neural networks (DNNs) have been quite successful in solving many complex learning problems. However, DNNs tend to have a large number of learning parameters, leading to a lar…

q-fin.PM2017★ 66 cited

Sparse Portfolio Selection via the sorted -Norm

Philipp J. Kremer, Sangkyun Lee, Malgorzata Bogdan +1

We introduce a financial portfolio optimization framework that allows us to automatically select the relevant assets and estimate their weights by relying on a sorted -Norm…

stat.ML2015★ 5 cited

Fast Saddle-Point Algorithm for Generalized Dantzig Selector and FDR Control with the Ordered l1-Norm

Sangkyun Lee, Damian Brzyski, Malgorzata Bogdan

In this paper we propose a primal-dual proximal extragradient algorithm to solve the generalized Dantzig selector (GDS) estimation problem, based on a new convex-concave saddle-poi…

cs.LG2011★ 5 cited

Approximate Stochastic Subgradient Estimation Training for Support Vector Machines

Sangkyun Lee, Stephen J. Wright

Subgradient algorithms for training support vector machines have been quite successful for solving large-scale and online learning problems. However, they have been restricted to l…