3 papers
cs.AI2025
Sharpe Ratio Optimization in Markov Decision Processes
Shuai Ma, Guangwu Liu, Li Xia
Sharpe ratio (also known as reward-to-variability ratio) is a widely-used metric in finance, which measures the additional return at the cost of per unit of increased risk (standar…
cs.LG2024
Derivative-Free Optimization via Finite Difference Approximation: An Experimental Study
Wang Du-Yi, Liang Guo, Liu Guangwu +1
Derivative-free optimization (DFO) is vital in solving complex optimization problems where only noisy function evaluations are available through an oracle. Within this domain, DFO…
math.ST2024
An Upper Confidence Bound Approach to Estimating the Maximum Mean
Zhang Kun, Liu Guangwu, Shi Wen
Estimating the maximum mean finds a variety of applications in practice. In this paper, we study estimation of the maximum mean using an upper confidence bound (UCB) approach where…