3 citations · 10 across the 10 of their papers we have counts for
15 papers
Statistical Proxy based Mean-Reverting Portfolios with Sparsity and Volatility Constraints
Ahmad Mousavi, George Michailidis
Mean-reverting portfolios with volatility and sparsity constraints are of prime interest to practitioners in finance since they are both profitable and well-diversified, while also…
Convergence of the mini-batch SIHT algorithm
Saeed Damadi, Jinglai Shen
The Iterative Hard Thresholding (IHT) algorithm has been considered extensively as an effective deterministic algorithm for solving sparse optimizations. The IHT algorithm benefits…
Gradient Properties of Hard Thresholding Operator
Saeed Damadi, Jinglai Shen
Sparse optimization receives increasing attention in many applications such as compressed sensing, variable selection in regression problems, and recently neural network compressio…
Nonconvex, Fully Distributed Optimization based CAV Platooning Control under Nonlinear Vehicle Dynamics
Jinglai Shen, Eswar Kumar H. Kammara, Lili Du
CAV platooning technology has received considerable attention in the past few years, driven by the next generation smart transportation systems. Unlike most of the existing platoon…
A Penalty Decomposition Algorithm with Greedy Improvement for Mean-Reverting Portfolios with Sparsity and Volatility Constraints
Ahmad Mousavi, Jinglai Shen
Mean-reverting portfolios with few assets, but high variance, are of great interest for investors in financial markets. Such portfolios are straightforwardly profitable because the…
Fully Distributed Optimization based CAV Platooning Control under Linear Vehicle Dynamics
Jinglai Shen, Eswar Kumar H. Kammara, Lili Du
This paper develops distributed optimization based, platoon centered CAV car following schemes, motivated by the recent interest in CAV platooning technologies. Various distributed…
Column Partition based Distributed Algorithms for Coupled Convex Sparse Optimization: Dual and Exact Regularization Approaches
Jinglai Shen, Jianghai Hu, Eswar Kumar Hathibelagal Kammara
This paper develops column partition based distributed schemes for a class of large-scale convex sparse optimization problems, e.g., basis pursuit (BP), LASSO, basis pursuit denosi…
Exact Support and Vector Recovery of Constrained Sparse Vectors via Constrained Matching Pursuit
Jinglai Shen, Seyedahmad Mousavi
Matching pursuit, especially its orthogonal version (OMP) and variations, is a greedy algorithm widely used in signal processing, compressed sensing, and sparse modeling. Inspired…
Solution Uniqueness of Convex Piecewise Affine Functions Based Optimization with Applications to Constrained Minimization
Seyedahmad Mousavi, Jinglai Shen
In this paper, we study the solution uniqueness of an individual feasible vector of a class of convex optimization problems involving convex piecewise affine functions and subject…
Least Sparsity of -norm based Optimization Problems with
Jinglai Shen, Seyedahmad Mousavi
Motivated by -optimization arising from sparse optimization, high dimensional data analytics and statistics, this paper studies sparse properties of a wide range of -nor…
Uniform Lipschitz Property of Nonnegative Derivative Constrained B-Splines and Applications to Shape Constrained Estimation
Teresa M. Lebair, Jinglai Shen
Inspired by shape constrained estimation under general nonnegative derivative constraints, this paper considers the B-spline approximation of constrained functions and studies the…
Smoothing splines with varying smoothing parameter
Xiao Wang, Pang Du, Jinglai Shen
This paper considers the development of spatially adaptive smoothing splines for the estimation of a regression function with non-homogeneous smoothness across the domain. Two chal…
Minimax Optimal Estimation of Convex Functions in the Supreme Norm
Teresa M. Lebair, Jinglai Shen, Xiao Wang
Estimation of convex functions finds broad applications in engineering and science, while convex shape constraint gives rise to numerous challenges in asymptotic performance analys…
Uniform Convergence and Rate Adaptive Estimation of a Convex Function
Xiao Wang, Jinglai Shen
This paper addresses the problem of estimating a convex regression function under both the sup-norm risk and the pointwise risk using B-splines. The presence of the convex constrai…
Local Asymptotics of P-Spline Smoothing
Xiao Wang, Jinglai Shen, David Ruppert
This paper addresses asymptotic properties of general penalized spline estimators with an arbitrary B-spline degree and an arbitrary order difference penalty. The estimator is appr…