5 papers
Enhancing a Risk Model by Adding Transient Statistical Factors
Alexandros E. Tzikas, Emmanuel J. Candès, Trevor Hastie +3
Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a fac…
Resource Allocation under Stochastic Demands using Shrinking Horizon Optimization
Alexandros E. Tzikas, Nazim Kemal Ure, Mansur Arief +2
We consider the problem of optimally allocating a limited number of resources across time to maximize revenue under stochastic demands. This formulation is relevant in various area…
Sliced Distribution Matching based on Cumulative Distribution Functions with Applications to Control
Alexandros E. Tzikas, Arec Jamgochian, Nazim Kemal Ure +2
Computing the similarity between two probability distributions is a recurring theme across control. We introduce a unified family of distances between the probability distributions…
Informative Input Design for Dynamic Mode Decomposition
Joshua Ott, Mykel J. Kochenderfer, Stephen Boyd
Efficiently estimating system dynamics from data is essential for minimizing data collection costs and improving model performance. This work addresses the challenge of designing f…
Approximate Sequential Optimization for Informative Path Planning
Joshua Ott, Mykel J. Kochenderfer, Stephen Boyd
We consider the problem of finding an informative path through a graph, given initial and terminal nodes and a given maximum path length. We assume that a linear noise corrupted me…