3 papers
math.OC2025
An Operator Splitting Method for Large-Scale CVaR-Constrained Quadratic Programs
Eric Luxenberg, David Pérez-Piñeiro, Steven Diamond +1
We introduce a fast and scalable method for solving quadratic programs with conditional value-at-risk (CVaR) constraints. While these problems can be formulated as standard quadrat…
stat.CO2024
Exponentially Weighted Moving Models
Eric Luxenberg, Stephen Boyd
An exponentially weighted moving model (EWMM) for a vector time series fits a new data model each time period, based on an exponentially fading loss function on past observed data.…
math.OC2023
Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY
Eric Luxenberg, Dhruv Malik, Yuanzhi Li +2
We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies over a given convex un…