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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…
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…