4 papers
Generalizing Markowitz Portfolio Optimization by a Quadratic Risk Measure
Ignas Gasparavičius, Andrius Grigutis
We show that the key optimization results of the classical Markowitz portfolio selection theory, originally formulated for variance as the risk measure, remain available in explici…
Sharp analysis of linear ensemble sampling
David Janz, Arya Akhavan, Csaba Szepesvári
We analyse linear ensemble sampling (ES) with standard Gaussian perturbations in stochastic linear bandits. We show that for ensemble size , ES attains $\tilde O(d^{3…
High-probability zeroth-order online convex optimisation beyond Euclidean geometry
David Janz, El-Mahdi El-Mhamdi, Arya Akhavan
We study online convex optimisation with -Lipschitz losses, -regularised FTRL, and randomised two-point finite-difference gradient estimators based on cone-measure…
Bernstein-type dimension-free concentration for self-normalised martingales
Arya Akhavan, Amitis Shidani, Alex Ayoub +1
We introduce a dimension-free Bernstein-type tail inequality for self-normalised martingales, where the normalisation uses the predictable quadratic variation and the radius depend…