4 papers
Simulation-Based Neural Policies for Portfolio Choice: Architecture, Training, and Interpretability
Jules Viard, Alexander Michaelides, Panos Parpas
Many economic decision problems, lifecycle consumption-saving and dynamic portfolio choice, are finite-horizon stochastic control problems with continuous states and actions. When…
Adaptive Multilevel Newton: A Quadratically Convergent Optimization Method
Nick Tsipinakis, Panagiotis Tigkas, Panos Parpas
Newton's method may exhibit slower convergence than vanilla Gradient Descent in its initial phase on strongly convex problems. Classical Newton-type multilevel methods mitigate thi…
Adaptive Multilevel Newton: A Quadratically Convergent Optimization Method
Nick Tsipinakis, Panos Parpas, Matthias Voigt
Newton's method may exhibit slower convergence than vanilla Gradient Descent in its initial phase on strongly convex problems. Classical Newton-type multilevel methods mitigate thi…
Convergence rates of Newton's method for strongly self-concordant minimization
Nick Tsipinakis, Panos Parpas
Newton's method has been thoroughly studied for the class of self-concordant functions. However, a local analysis specific to strongly self-concordant functions (a subclass of the…