7 papers
Simplifying Flow Matching Transformations with Low-Rank Mixture Models
Liam A. Kruse, Houjun Liu, Alexandros E. Tzikas +2
Normalizing flows are powerful generative models that learn an invertible mapping between complex data distributions and simple latent distributions, typically a standard normal de…
Enhancing a Risk Model by Adding Transient Statistical Factors
Alexandros E. Tzikas, Emmanuel J. Candès, Trevor Hastie +3
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a fac…
An Iterative Bayesian Approach for System Identification based on Linear Gaussian Models
Alexandros E. Tzikas, Mykel J. Kochenderfer
We tackle the problem of system identification, where we select inputs, observe the corresponding outputs from the true system, and optimize the parameters of our model to best fit…
Resource Allocation under Stochastic Demands using Shrinking Horizon Optimization
Alexandros E. Tzikas, Nazim Kemal Ure, Mansur Arief +2
We consider the problem of optimally allocating a limited number of resources across time to maximize revenue under stochastic demands. This formulation is relevant in various area…
Sliced Distribution Matching based on Cumulative Distribution Functions with Applications to Control
Alexandros E. Tzikas, Arec Jamgochian, Nazim Kemal Ure +2
Computing the similarity between two probability distributions is a recurring theme across control. We introduce a unified family of distances between the probability distributions…
Distributionally Robust Control with Constraints on Linear Unidimensional Projections
Alexandros E. Tzikas, Lukas Fiechtner, Arec Jamgochian +1
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control a…