21 citations · 25 across the 7 of their papers we have counts for
8 papers
A QPTAS for Facility Location on Unit Disk graphs
Zachary Friggstad, Mohsen Rezapour, Mohammad R. Salavatipour +1
We study the classic \textsc{(Uncapacitated) Facility Location} problem on Unit Disk Graphs (UDGs). For a given point set in the plane, the unit disk graph UDG(P) on has ve…
Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are period…
Portfolio Selection under Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to ma…
Approximation Schemes for Clustering with Outliers
Zachary Friggstad, Kamyar Khodamoradi, Mohsen Rezapour +1
Clustering problems are well-studied in a variety of fields such as data science, operations research, and computer science. Such problems include variants of centre location probl…
Heavy Tails for an Alternative Stochastic Perpetuity Model
Thomas Mikosch, Mohsen Rezapour, Olivier Wintenberger
In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten [12] and Goldie [8] all discount factors in the mode…
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
Anja Janßen, Thomas Mikosch, Mohsen Rezapour +1
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its ent…
Local Search Yields a PTAS for k-Means in Doubling Metrics
Zachary Friggstad, Mohsen Rezapour, Mohammad R. Salavatipour
The most well known and ubiquitous clustering problem encountered in nearly every branch of science is undoubtedly -means: given a set of data points and a parameter , select…
Stochastic volatility models with possible extremal clustering
Thomas Mikosch, Mohsen Rezapour
In this paper we consider a heavy-tailed stochastic volatility model, , , where the volatility sequence and the i.i.d. noise sequence ar…