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math.OC2022
Efficient and Near-Optimal Online Portfolio Selection
Rémi Jézéquel, Dmitrii M. Ostrovskii, Pierre Gaillard
In the problem of online portfolio selection as formulated by Cover (1991), the trader repeatedly distributes her capital over assets in each of rounds, with the go…
math.OC2021★ 1 cited
A Continuized View on Nesterov Acceleration for Stochastic Gradient Descent and Randomized Gossip
Mathieu Even, Raphaël Berthier, Francis Bach +5
We introduce the continuized Nesterov acceleration, a close variant of Nesterov acceleration whose variables are indexed by a continuous time parameter. The two variables continuou…