1.2k citations · 3.4k across the 72 of their papers we have counts for
5 papers · 2 filters
Tax-Aware Portfolio Construction via Convex Optimization
Nicholas Moehle, Mykel J. Kochenderfer, Stephen Boyd +1
We describe an optimization-based tax-aware portfolio construction method that adds tax liability to standard Markowitz-based portfolio construction. Our method produces a trade li…
Differentiating through Log-Log Convex Programs
Akshay Agrawal, Stephen Boyd
We show how to efficiently compute the derivative (when it exists) of the solution map of log-log convex programs (LLCPs). These are nonconvex, nonsmooth optimization problems with…
A New Heuristic for Physical Design
Guillermo Angeris, Jelena Vučković, Stephen Boyd
In a physical design problem, the designer chooses values of some physical parameters, within limits, to optimize the resulting field. We focus on the specific case in which each p…
Automatic Repair of Convex Optimization Problems
Shane Barratt, Guillermo Angeris, Stephen Boyd
Given an infeasible, unbounded, or pathological convex optimization problem, a natural question to ask is: what is the smallest change we can make to the problem's parameters such…
Fitting a Linear Control Policy to Demonstrations with a Kalman Constraint
Malayandi Palan, Shane Barratt, Alex McCauley +3
We consider the problem of learning a linear control policy for a linear dynamical system, from demonstrations of an expert regulating the system. The standard approach to this pro…