1 citations · 2 across the 2 of their papers we have counts for
5 papers
Adaptive Sequential SAA for Solving Two-stage Stochastic Linear Programs
Raghu Pasupathy, Yongjia Song
We present adaptive sequential SAA (sample average approximation) algorithms to solve large-scale two-stage stochastic linear programs. The iterative algorithm framework we propose…
Optimal Allocations for Sample Average Approximation
Prateek Jaiswal, Harsha Honnappa, Raghu Pasupathy
We consider a single stage stochastic program without recourse with a strictly convex loss function. We assume a compact decision space and grid it with a finite set of points. In…
Dominating Points of Gaussian Extremes
Harsha Honnappa, Raghu Pasupathy, Prateek Jaiswal
We quantify the large deviations of Gaussian extreme value statistics on closed convex sets in d-dimensional Euclidean space. The asymptotics imply that the extreme value distribut…
Optimal placement of a small order in a diffusive limit order book
José E. Figueroa-López, Hyoeun Lee, Raghu Pasupathy
We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon t, by using a limit order or a market order. For a di…
Efficient Estimation in the Tails of Gaussian Copulas
Kalyani Nagaraj, Jie Xu, Raghu Pasupathy +1
We consider the question of efficient estimation in the tails of Gaussian copulas. Our special focus is estimating expectations over multi-dimensional constrained sets that have a…