22 citations · 52 across the 14 of their papers we have counts for
14 papers
Realized Local Volatility Surface
Yuming Ma, Shintaro Sengoku, Kazuhide Nakata
For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when…
An IPW-based Unbiased Ranking Metric in Two-sided Markets
Keisho Oh, Naoki Nishimura, Minje Sung +2
In modern recommendation systems, unbiased learning-to-rank (LTR) is crucial for prioritizing items from biased implicit user feedback, such as click data. Several techniques, such…
Approximation hierarchies for copositive cone over symmetric cone and their comparison
Mitsuhiro Nishijima, Kazuhide Nakata
We first provide an inner-approximation hierarchy described by a sum-of-squares (SOS) constraint for the copositive (COP) cone over a general symmetric cone. The hierarchy is a gen…
Generalizations of doubly nonnegative cones and their comparison
Mitsuhiro Nishijima, Kazuhide Nakata
In this study, we examine the various extensions of the doubly nonnegative (DNN) cone, frequently used in completely positive programming (CPP) to achieve a tighter relaxation than…
Cardinality-constrained Distributionally Robust Portfolio Optimization
Ken Kobayashi, Yuichi Takano, Kazuhide Nakata
This paper studies a distributionally robust portfolio optimization model with a cardinality constraint for limiting the number of invested assets. We formulate this model as a mix…
Solving Large Break Minimization Problems in a Mirrored Double Round-robin Tournament Using Quantum Annealing
Michiya Kuramata, Ryota Katsuki, Kazuhide Nakata
Quantum annealing (QA) has gained considerable attention because it can be applied to combinatorial optimization problems, which have numerous applications in logistics, scheduling…
Online Trading Models with Deep Reinforcement Learning in the Forex Market Considering Transaction Costs
Koya Ishikawa, Kazuhide Nakata
In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading met…
Constrained Generalized Additive 2 Model with Consideration of High-Order Interactions
Akihisa Watanabe, Michiya Kuramata, Kaito Majima +3
In recent years, machine learning and AI have been introduced in many industrial fields. In fields such as finance, medicine, and autonomous driving, where the inference results of…
Technical Progress Analysis Using a Dynamic Topic Model for Technical Terms to Revise Patent Classification Codes
Mana Iwata, Yoshiro Matsuda, Yoshimasa Utsumi +2
Japanese patents are assigned a patent classification code, FI (File Index), that is unique to Japan. FI is a subdivision of the IPC, an international patent classification code, t…
Larger Sparse Quadratic Assignment Problem Optimization Using Quantum Annealing and a Bit-Flip Heuristic Algorithm
Michiya Kuramata, Ryota Katsuki, Kazuhide Nakata
Quantum annealing and D-Wave quantum annealer attracted considerable attention for their ability to solve combinatorial optimization problems. In order to solve other type of optim…
A Block Coordinate Descent Method for Sensor Network Localization
Mitsuhiro Nishijima, Kazuhide Nakata
The problem of sensor network localization (SNL) can be formulated as a semidefinite programming problem with a rank constraint. We propose a new method for solving such SNL proble…
Bilevel Cutting-plane Algorithm for Solving Cardinality-constrained Mean-CVaR Portfolio Optimization Problems
Ken Kobayashi, Yuichi Takano, Kazuhide Nakata
This paper studies mean-risk portfolio optimization models using the conditional value-at-risk (CVaR) as a risk measure. We also employ a cardinality constraint for limiting the nu…
Unbiased Recommender Learning from Missing-Not-At-Random Implicit Feedback
Yuta Saito, Suguru Yaginuma, Yuta Nishino +2
Recommender systems widely use implicit feedback such as click data because of its general availability. Although the presence of clicks signals the users' preference to some exten…
Fast implementation for semidefinite programs with positive matrix completion
Makoto Yamashita, Kazuhide Nakata
Solving semidefinite programs (SDP) in a short time is the key to managing various mathematical optimization problems. The matrix-completion primal-dual interior-point method (MC-P…