2 papers
math.OC2026
A splitting proximal method in portfolio optimization with entropic value-at-risk
Nail Baloul, Sorin-Mihai Grad, Oleg Wilfer
Motivated by a recent paper where a convex portfolio optimization problem formulated by means of the entropic value-at-risk is solved via a primal-dual interior-point method, we pr…
math.DS2026
Traffic Flow Reconstruction from Limited Collected Data
Nail Baloul, Amaury Hayat, Thibault Liard +1
We propose an efficient method for reconstructing traffic density with low penetration rate of probe vehicles. Specifically, we rely on measuring only the initial and final positio…