35 citations · 393 across the 62 of their papers we have counts for
4 papers · 1 filter
Market Making with Model Uncertainty
Hee Su Roh, Yinyu Ye
Pari-mutuel markets are trading platforms through which the common market maker simultaneously clears multiple contingent claims markets. This market has several distinctive proper…
Extended ADMM and BCD for Nonseparable Convex Minimization Models with Quadratic Coupling Terms: Convergence Analysis and Insights
Caihua Chen, Min Li, Xin Liu +1
In this paper, we establish the convergence of the proximal alternating direction method of multipliers (ADMM) and block coordinate descent (BCD) for nonseparable minimization mode…
On the Efficiency of Random Permutation for ADMM and Coordinate Descent
Ruoyu Sun, Zhi-Quan Luo, Yinyu Ye
Random permutation is observed to be powerful for optimization algorithms: for multi-block ADMM (alternating direction method of multipliers), while the classical cyclic version di…
Strong NP-Hardness for Sparse Optimization with Concave Penalty Functions
Yichen Chen, Dongdong Ge, Mengdi Wang +3
Consider the regularized sparse minimization problem, which involves empirical sums of loss functions for data points (each of dimension ) and a nonconvex sparsity penalty.…