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While techniques have been developed for chance constrained stochastic optimal control using sample disturbance data that provide a probabilistic confidence bound for chance constraint satisfaction, far less is known about how to use sample…
Balancing covariates is critical for credible and efficient randomized experiments. Rerandomization addresses this by repeatedly generating treatment assignments until covariate balance meets a prespecified threshold. By shrinking this…
We introduce a novel covariance estimator for portfolio selection that adapts to the non-stationary or persistent heteroskedastic environments of financial time series by employing exponentially weighted averages and nonlinearly shrinking…
Maximum Likelihood Estimation of continuous variable models can be very challenging in high dimensions, due to potentially complex probability distributions. The existence of multiple interdependencies among variables can make it very…
Chance constraints are frequently used to limit the probability of constraint violations in real-world optimization problems where the constraints involve stochastic components. We study chance-constrained submodular optimization problems,…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors with optimality. In this problem, not all components of the…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
We commonly encounter the problem of identifying an optimally weight adjusted version of the empirical distribution of observed data, adhering to predefined constraints on the weights. Such constraints often manifest as restrictions on the…
Optimization problems with the objective function in the form of weighted sum and linear equality constraints are considered. Given that the number of local cost functions can be large as well as the number of constraints, a stochastic…
We introduce a dynamic approach to probabilistic forecast reconciliation at scale. Our model differs from the existing literature in this area in several important ways. Firstly we explicitly allow the weights allocated to the base…
We consider the optimal decision-making problem in a primary sample of interest with multiple auxiliary sources available. The outcome of interest is limited in the sense that it is only observed in the primary sample. In reality, such…
Solving parabolic optimal control problems can be inherently challenging in the field of science and engineering, especially with constraints on the nonsmooth distributed control. Motivated by the extensive applicability of the alternating…
Sparse inverse covariance selection is a fundamental problem for analyzing dependencies in high dimensional data. However, such a problem is difficult to solve since it is NP-hard. Existing solutions are primarily based on convex…
Parallel iterative applications often suffer from load imbalance, one of the most critical performance degradation factors. Hence, load balancing techniques are used to distribute the workload evenly to maximize performance. A key challenge…
Using observation data to estimate unknown parameters in computational models is broadly important. This task is often challenging because solutions are non-unique due to the complexity of the model and limited observation data. However,…
Quasi-periodic responses composed of multiple base frequencies widely exist in science and engineering problems. The multiple harmonic balance (MHB) method is one of the most commonly used approaches for such problems. However, it is…
The Maximum Balanced Biclique Problem (MBBP) is a prominent model with numerous applications. Yet, the problem is NP-hard and thus computationally challenging. We propose novel ideas for designing effective exact algorithms for MBBP.…
This paper studies the estimation and inference of treatment effects in panel data settings when treatments change dynamically over time. We propose a balancing method that allows for (i) treatments to be assigned dynamically over time…
We aim to create the highest possible quality of treatment-control matches for categorical data in the potential outcomes framework. Matching methods are heavily used in the social sciences due to their interpretability, but most matching…