4 papers
A Penalty Approach for Differentiation Through Black-Box Quadratic Programming Solvers
Yuxuan Linghu, Zhiyuan Liu, Qi Deng
Differentiating through the solution of a quadratic program (QP) is a central problem in differentiable optimization. Most existing approaches differentiate through the Karush--Kuh…
Test-Time Adaptation for Non-stationary Time Series: From Synthetic Regime Shifts to Financial Markets
Yurui Wu, Qingying Deng, Wonou Chung +1
Time series encountered in practice are rarely stationary. When the data distribution changes, a forecasting model trained on past observations can lose accuracy. We study a small-…
Integrated Prediction and Multi-period Portfolio Optimization
Yuxuan Linghu, Zhiyuan Liu, Qi Deng
Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of tradi…
BenLOC: A Benchmark for Learning to Configure MIP Optimizers
Hongpei Li, Ziyan He, Yufei Wang +4
The automatic configuration of Mixed-Integer Programming (MIP) optimizers has become increasingly critical as the large number of configurations can significantly affect solver per…