13 citations · 20 across the 3 of their papers we have counts for
6 papers
Sparse Hierarchical Regression with Polynomials
Dimitris Bertsimas, Bart Van Parys
We present a novel method for exact hierarchical sparse polynomial regression. Our regressor is that degree polynomial which depends on at most inputs, counting at most $\e…
Sparse High-Dimensional Regression: Exact Scalable Algorithms and Phase Transitions
Dimitris Bertsimas, Bart Van Parys
We present a novel binary convex reformulation of the sparse regression problem that constitutes a new duality perspective. We devise a new cutting plane method and provide evidenc…
The Trimmed Lasso: Sparsity and Robustness
Dimitris Bertsimas, Martin S. Copenhaver, Rahul Mazumder
Nonconvex penalty methods for sparse modeling in linear regression have been a topic of fervent interest in recent years. Herein, we study a family of nonconvex penalty functions t…
Best Subset Selection via a Modern Optimization Lens
Dimitris Bertsimas, Angela King, Rahul Mazumder
In the last twenty-five years (1990-2014), algorithmic advances in integer optimization combined with hardware improvements have resulted in an astonishing 200 billion factor speed…
Theory and Applications of Robust Optimization
Dimitris Bertsimas, David B. Brown, Constantine Caramanis
In this paper we survey the primary research, both theoretical and applied, in the area of Robust Optimization (RO). Our focus is on the computational attractiveness of RO approach…
Option Pricing without Price Dynamics: A Probabilistic Approach
Dimitris Bertsimas, Natasha Bushueva
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function b…