2 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.…