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math.OC2026
Fast Spawn\&Prune (FS\&P): Global convergence of stochastic conic particle gradient descent via birth/death process
Yohann De Castro, Sébastien Gadat, Clément Marteau
We investigate the global optimization of the objective function arising in continuous sparse regression, specifically the Beurling LASSO (BLASSO), over the space of measures. Whil…
math.OC2024
CV@R penalized portfolio optimization with biased stochastic mirror descent
Manon Costa, Sébastien Gadat, Lorick Huang
This article studies and solves the problem of optimal portfolio allocation with CV@R penalty when dealing with imperfectly simulated financial assets. We use a Stochastic biased M…