1.2k citations · 3.4k across the 72 of their papers we have counts for
98 papers
Value-Gradient Iteration with Quadratic Approximate Value Functions
Alan Yang, Stephen Boyd
We propose a method for designing policies for convex stochastic control problems characterized by random linear dynamics and convex stage cost. We consider policies that employ qu…
PV Fleet Modeling via Smooth Periodic Gaussian Copula
Mehmet G. Ogut, Bennet Meyers, Stephen P. Boyd
We present a method for jointly modeling power generation from a fleet of photovoltaic (PV) systems. We propose a white-box method that finds a function that invertibly maps vector…
Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY
Eric Luxenberg, Dhruv Malik, Yuanzhi Li +2
We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies over a given convex un…
Joint Graph Learning and Model Fitting in Laplacian Regularized Stratified Models
Ziheng Cheng, Junzi Zhang, Akshay Agrawal +1
Laplacian regularized stratified models (LRSM) are models that utilize the explicit or implicit network structure of the sub-problems as defined by the categorical features called…
A Simple Method for Predicting Covariance Matrices of Financial Returns
Kasper Johansson, Mehmet Giray Ogut, Markus Pelger +2
We consider the well-studied problem of predicting the time-varying covariance matrix of a vector of financial returns. Popular methods range from simple predictors like rolling wi…
Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
Eric Luxenberg, Philipp Schiele, Stephen Boyd
The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the points on the yield cu…