3 papers
cs.LG2026
AltTS: A Dual-Path Framework with Alternating Optimization for Multivariate Time Series Forecasting
Zhihang Yuan, Zhiyuan Liu, Mahesh K. Marina
Multivariate time series forecasting involves two qualitatively distinct factors: (i) stable within-series autoregressive (AR) dynamics, and (ii) intermittent cross-dimension inter…
cs.LG2026
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…
cs.CE2025
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…