22 citations · 24 across the 10 of their papers we have counts for
10 papers · 1 filter
Safe screening rules for portfolio optimization with linear and cardinality constraints
Nanari Wada, Shunnosuke Ikeda, Yuichi Takano +1
In portfolio optimization, a cardinality constraint, which limits the number of assets held, plays a key role in cutting down monitoring and transaction costs. However, the resulti…
Posterior and Likelihood Sensitivity in Bayesian Distributionally Robust Optimization
Jun-ya Gotoh, Andrew E. B. Lim, Michael Jong Kim
We introduce the notion of worst-case posterior and worst-case likelihood sensitivity. These measure, respectively, the sensitivity of the expected cost to worst-case perturbations…
Robustness Measures in Distributionally Robust Optimization
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
Distributionally Robust Optimization (DRO) is a worst-case approach to decision making when there is model uncertainty. It is also well known that for certain uncertainty sets, DRO…
EM algorithms for optimization problems with polynomial objectives
Kensuke Asai, Jun-ya Gotoh
The EM (Expectation-Maximization) algorithm is regarded as an MM (Majorization-Minimization) algorithm for maximum likelihood estimation of statistical models. Expanding this view,…
Exact Penalty Method for Knot Selection of B-Spline Regression
Shotaro Yagishita, Jun-ya Gotoh
This paper presents a new approach to selecting knots at the same time as estimating the B-spline regression model. Such simultaneous selection of knots and model is not trivial, b…
Exact Penalization at D-Stationary Points of Cardinality- or Rank-Constrained Problem
Shotaro Yagishita, Jun-ya Gotoh
This paper studies the properties of d-stationary points of the trimmed lasso (Luo et al., 2013, Huang et al., 2015, and Gotoh et al., 2018) and the composite optimization problem…