相关论文: A Model-Based Method for Minimizing CVaR and Beyon…

We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset…

A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected…

We study nonconvex finite-sum problems and analyze stochastic variance reduced gradient (SVRG) methods for them. SVRG and related methods have recently surged into prominence for convex optimization given their edge over stochastic gradient…

The conditional gradient method (CGM) is widely used in large-scale sparse convex optimization, having a low per iteration computational cost for structured sparse regularizers and a greedy approach to collecting nonzeros. We explore the…

We present and analyze several strategies for improving the performance of stochastic variance-reduced gradient (SVRG) methods. We first show that the convergence rate of these methods can be preserved under a decreasing sequence of errors…

To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk measures such as Value-at-Risk (VaR) and Expected Shortfall…

We propose and analyze several stochastic gradient algorithms for finding stationary points or local minimum in nonconvex, possibly with nonsmooth regularizer, finite-sum and online optimization problems. First, we propose a simple proximal…

We develop and analyze a variant of the SARAH algorithm, which does not require computation of the exact gradient. Thus this new method can be applied to general expectation minimization problems rather than only finite sum problems. While…

A recent article introduced thecontinuous stochastic gradient method (CSG) for the efficient solution of a class of stochastic optimization problems. While the applicability of known stochastic gradient type methods is typically limited to…

Hybrid quantum/classical variational algorithms can be implemented on noisy intermediate-scale quantum computers and can be used to find solutions for combinatorial optimization problems. Approaches discussed in the literature minimize the…

This work considers the non-convex finite sum minimization problem. There are several algorithms for such problems, but existing methods often work poorly when the problem is badly scaled and/or ill-conditioned, and a primary goal of this…

Regularization is a critical component in deep learning. The most commonly used approach, weight decay, applies a constant penalty coefficient uniformly across all parameters. This may be overly restrictive for some parameters, while…

Enforcing safety in the presence of stochastic uncertainty is a challenging problem. Traditionally, researchers have proposed safety in the statistical mean as a safety measure in this case. However, ensuring safety in the statistical mean…

In a chance constrained program (CCP), the decision-makers aim to seek the best decision whose probability of violating the uncertainty constraints is within the prespecified risk level. As a CCP is often nonconvex and is difficult to solve…

We develop a reinforcement learning (RL) framework for insurance loss reserving that formulates reserve setting as a finite-horizon sequential decision problem under claim development uncertainty, macroeconomic stress, and solvency…

A stochastic incremental subgradient algorithm for the minimization of a sum of convex functions is introduced. The method sequentially uses partial subgradient information and the sequence of partial subgradients is determined by a general…

We consider a composite convex minimization problem associated with regularized empirical risk minimization, which often arises in machine learning. We propose two new stochastic gradient methods that are based on stochastic dual averaging…

This paper introduces a novel optimization algorithm designed for nonlinear least-squares problems. The method is derived by preconditioning the gradient descent direction using the Singular Value Decomposition (SVD) of the Jacobian. This…

We consider the problem of evaluating risk for a system that is modeled by a complex stochastic simulation with many possible input parameter values. Two sources of computational burden can be identified: the effort associated with…

We consider the portfolio optimization with risk measured by conditional value-at-risk, based on the stress event of chosen asset being equal to the opposite of its value-at-risk level, under the normality assumption. Solvability conditions…