10 papers
Simple Dynamic Stock/Bond/Gold Portfolios
Nikhil Devanathan, Alexandros E. Tzikas, Stephen P. Boyd
For more than four decades, the 60/40 stock/bond portfolio has served as a benchmark for delivering reasonable returns without excessive risk. More recently, a 50/30/20 stock/bond/…
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…
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…
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…
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…
Enhanced Importance Sampling through Latent Space Exploration in Normalizing Flows
Liam A. Kruse, Alexandros E. Tzikas, Harrison Delecki +2
Importance sampling is a rare event simulation technique used in Monte Carlo simulations to bias the sampling distribution towards the rare event of interest. By assigning appropri…
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…
Distributed Online Planning for Min-Max Problems in Networked Markov Games
Alexandros E. Tzikas, Jinkyoo Park, Mykel J. Kochenderfer +1
Min-max problems are important in multi-agent sequential decision-making because they improve the performance of the worst-performing agent in the network. However, solving the mul…
Distributed Markov Chain Monte Carlo Sampling based on the Alternating Direction Method of Multipliers
Alexandros E. Tzikas, Licio Romao, Mert Pilanci +2
Many machine learning applications require operating on a spatially distributed dataset. Despite technological advances, privacy considerations and communication constraints may pr…