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We propose a distributionally robust formulation of the traditional risk parity portfolio optimization problem. Distributional robustness is introduced by targeting the discrete probabilities attached to each observation used during…

The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have to be estimated by using historical data of the asset…

We prove convergence of the proximal policy gradient method for a class of constrained stochastic control problems with control in both the drift and diffusion of the state process. The problem requires either the running or terminal cost…

In arXiv:2305.03945 [math.NA], a first-order optimization algorithm has been introduced to solve time-implicit schemes of reaction-diffusion equations. In this research, we conduct theoretical studies on this first-order algorithm equipped…

We propose a novel approach to modeling advertising dynamics for a firm operating over distributed market domain based on controlled partial differential equations of diffusion type. Using our model, we consider a general type of…

In this paper we consider distributed convex optimization over time-varying undirected graphs. We propose a linearized version of primarily averaged network dual ascent (PANDA) while requiring less computational costs. The proposed method,…

Differential evolution is one of the most prestigious population-based stochastic optimization algorithm for black-box problems. The performance of a differential evolution algorithm depends highly on its mutation and crossover strategy and…

Many core problems in robotics can be framed as constrained optimization problems. Often on these problems, the robotic system has uncertainty, or it would be advantageous to identify multiple high quality feasible solutions. To enable…

We consider data-driven inventory and pricing decisions in the feature-based newsvendor problem, where demand is influenced by both price and contextual features and is modeled without any structural assumptions. The unknown demand…

In this paper we provide a general solution for the dividend discount model in order to compute the intrinsic value of a common stock that allows for multiple stage growth rates of any predetermined number of periods. A mathematical proof…

This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs…

Spatiotemporal prediction over graphs (STPG) is challenging, because real-world data suffers from the Out-of-Distribution (OOD) generalization problem, where test data follow different distributions from training ones. To address this…

We analyze convergence rates of stochastic optimization procedures for non-smooth convex optimization problems. By combining randomized smoothing techniques with accelerated gradient methods, we obtain convergence rates of stochastic…

This paper deals with estimating model parameters in graphical models. We reformulate it as an information geometric optimization problem and introduce a natural gradient descent strategy that incorporates additional meta parameters. We…

We consider solving a convex, possibly stochastic optimization problem over a randomly time-varying multi-agent network. Each agent has access to some local objective function, and it only has unbiased estimates of the gradients of the…

In this paper, we propose the primal-dual method of multipliers (PDMM) for distributed optimization over a graph. In particular, we optimize a sum of convex functions defined over a graph, where every edge in the graph carries a linear…

Difference-based methods have been attracting increasing attention in nonparametric regression, in particular for estimating the residual variance.To implement the estimation, one needs to choose an appropriate difference sequence, mainly…

We introduce a discriminative regression approach to supervised classification in this paper. It estimates a representation model while accounting for discriminativeness between classes, thereby enabling accurate derivation of categorical…

We consider the contextual bandit problem, where a player sequentially makes decisions based on past observations to maximize the cumulative reward. Although many algorithms have been proposed for contextual bandit, most of them rely on…

In this paper, we study the problem of estimating uniformly well the mean values of several distributions given a finite budget of samples. If the variance of the distributions were known, one could design an optimal sampling strategy by…