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math.OC2023
Fast Minimization of Expected Logarithmic Loss via Stochastic Dual Averaging
Chung-En Tsai, Hao-Chung Cheng, Yen-Huan Li
Consider the problem of minimizing an expected logarithmic loss over either the probability simplex or the set of quantum density matrices. This problem includes tasks such as solv…
cs.LG2023
Data-Dependent Bounds for Online Portfolio Selection Without Lipschitzness and Smoothness
Chung-En Tsai, Ying-Ting Lin, Yen-Huan Li
This work introduces the first small-loss and gradual-variation regret bounds for online portfolio selection, marking the first instances of data-dependent bounds for online convex…