3 papers
cs.LG2023
When Rigidity Hurts: Soft Consistency Regularization for Probabilistic Hierarchical Time Series Forecasting
Harshavardhan Kamarthi, Lingkai Kong, Alexander Rodríguez +2
Probabilistic hierarchical time-series forecasting is an important variant of time-series forecasting, where the goal is to model and forecast multivariate time-series that have un…
math.OC2023
A distributionally robust index tracking model with the CVaR penalty: tractable reformulation
Ruyu Wang, Yaozhong Hu, Chao Zhang
We propose a distributionally robust index tracking model with the conditional value-at-risk (CVaR) penalty. The model combines the idea of distributionally robust optimization for…
math.OC2021
Adaptive smoothing mini-batch stochastic accelerated gradient method for nonsmooth convex stochastic composite optimization
Ruyu Wang, Chao Zhang
This paper considers a class of convex constrained nonsmooth convex stochastic composite optimization problems whose objective function is given by the summation of a differentiabl…