17 citations · 41 across the 8 of their papers we have counts for
5 papers · 1 filter
Seasonally-Adjusted Auto-Regression of Vector Time Series
Enzo Busseti
We present a simple algorithm to forecast vector time series, that is robust against missing data, in both training and inference. It models seasonal annual, weekly, and daily base…
Differentiating Through a Cone Program
Akshay Agrawal, Shane Barratt, Stephen Boyd +2
We consider the problem of efficiently computing the derivative of the solution map of a convex cone program, when it exists. We do this by implicitly differentiating the residual…
Derivative of a Conic Problem with a Unique Solution
Enzo Busseti
We view a conic optimization problem that has a unique solution as a map from its data to its solution. If sufficient regularity conditions hold at a solution point, namely that th…
Risk and Return models for Equity Markets and Implied Equity Risk Premium
Enzo Busseti
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation…
Dynamic Energy Management
Nicholas Moehle, Enzo Busseti, Stephen Boyd +1
We present a unified method, based on convex optimization, for managing the power produced and consumed by a network of devices over time. We start with the simple setting of optim…