activity
20222025
most citedPortfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

2 citations · 5 across the 7 of their papers we have counts for

collaborators
Showing 2023Show all

2 papers · 1 filter

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…

math.OC2023★ 1 cited

Disciplined Saddle Programming

Philipp Schiele, Eric Luxenberg, Stephen Boyd

We consider convex-concave saddle point problems, and more generally convex optimization problems we refer to as , which include the partial supremum or i…