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In this paper, we document a novel machine learning based bottom-up approach for static and dynamic portfolio optimization on, potentially, a large number of assets. The methodology applies to general constrained optimization problems and…
In this work, we study the positive definiteness (PDness) problem in covariance matrix estimation. For high dimensional data, many regularized estimators are proposed under structural assumptions on the true covariance matrix including…
We present a new method for estimating multivariate, second-order stationary Gaussian Random Field (GRF) models based on the Sparse Precision matrix Selection (SPS) algorithm, proposed by Davanloo et al. (2015) for estimating scalar GRF…
We investigate whether sophisticated volatility estimation improves the out-of-sample performance of mean-variance portfolio strategies relative to the naive 1/N strategy. The portfolio strategies rely solely upon second moments. Using a…
Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-step procedure sometimes encounter the "error maximization"…
This paper is concerned with portfolio optimization models for creating high-quality lists of recommended items to balance the accuracy and diversity of recommendations. However, the statistics (i.e., expectation and covariance of ratings)…
Stochastic gradient methods are among the most widely used algorithms for large-scale optimization and machine learning. A key technique for improving the statistical efficiency and stability of these methods is the use of averaging schemes…
Finding an unconstrained and statistically interpretable reparameterization of a covariance matrix is still an open problem in statistics. Its solution is of central importance in covariance estimation, particularly in the recent…
Gaussian graphical models are used for determining conditional relationships between variables. This is accomplished by identifying off-diagonal elements in the inverse-covariance matrix that are non-zero. When the ratio of variables (p) to…
The spiked covariance model has gained increasing popularity in high-dimensional data analysis. A fundamental problem is determination of the number of spiked eigenvalues, $K$. For estimation of $K$, most attention has focused on the use of…
Learning a Gaussian Mixture Model (GMM) is hard when the number of parameters is too large given the amount of available data. As a remedy, we propose restricting the GMM to a Gaussian Markov Random Field Mixture Model (GMRF-MM), as well as…
Choosing a shrinkage method can be done by selecting a penalty from a list of pre-specified penalties or by constructing a penalty based on the data. If a list of penalties for a class of linear models is given, we provide comparisons based…
Graph generation is a crucial task in many fields, including network science and bioinformatics, as it enables the creation of synthetic graphs that mimic the properties of real-world networks for various applications. Graph Generative…
We propose PACE-GGM, a data-adaptive differentially private method for covariance estimation that concentrates its privacy budget on the most informative entries of the empirical covariance matrix, rather than perturbing all entries. This…
We consider maximum likelihood estimation for Gaussian Mixture Models (Gmms). This task is almost invariably solved (in theory and practice) via the Expectation Maximization (EM) algorithm. EM owes its success to various factors, of which…
We introduce a unified framework for rapid, large-scale portfolio optimization that incorporates both shrinkage and regularization techniques. This framework addresses multiple objectives, including minimum variance, mean-variance, and the…
We address structured covariance estimation in elliptical distributions by assuming that the covariance is a priori known to belong to a given convex set, e.g., the set of Toeplitz or banded matrices. We consider the General Method of…
We propose a new stochastic optimization framework for empirical risk minimization problems such as those that arise in machine learning. The traditional approaches, such as (mini-batch) stochastic gradient descent (SGD), utilize an…
Weighting methods are widely used to adjust for covariates in observational studies, sample surveys, and regression settings. In this paper, we study a class of recently proposed weighting methods which find the weights of minimum…
Uncertainty estimation plays an important role for future reliable deployment of deep segmentation models in safety-critical scenarios such as medical applications. However, existing methods for uncertainty estimation have been limited by…