Zobrazeno 1 - 10
of 73
pro vyhledávání: '"Barratt, Shane"'
Autor:
Barratt, Shane, Boyd, Stephen
We consider the problem of predicting the covariance of a zero mean Gaussian vector, based on another feature vector. We describe a covariance predictor that has the form of a generalized linear model, i.e., an affine function of the features followe
Externí odkaz:
http://arxiv.org/abs/2101.12416
We consider the problem of forecasting multiple values of the future of a vector time series, using some past values. This problem, and related ones such as one-step-ahead prediction, have a very long history, and there are a number of well-known met
Externí odkaz:
http://arxiv.org/abs/2101.12414
In this paper we develop models of asset return mean and covariance that depend on some observable market conditions, and use these to construct a trading policy that depends on these conditions, and the current portfolio holdings. After discretizing
Externí odkaz:
http://arxiv.org/abs/2101.04113
A convex optimization model predicts an output from an input by solving a convex optimization problem. The class of convex optimization models is large, and includes as special cases many well-known models like linear and logistic regression. We prop
Externí odkaz:
http://arxiv.org/abs/2006.04248
We consider the problem of assigning weights to a set of samples or data records, with the goal of achieving a representative weighting, which happens when certain sample averages of the data are close to prescribed values. We frame the problem of fi
Externí odkaz:
http://arxiv.org/abs/2005.09065
Autor:
Barratt, Shane, Boyd, Stephen
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and therefore
Externí odkaz:
http://arxiv.org/abs/2005.09066
We consider a collection of derivatives that depend on the price of an underlying asset at expiration or maturity. The absence of arbitrage is equivalent to the existence of a risk-neutral probability distribution on the price; in particular, any ris
Externí odkaz:
http://arxiv.org/abs/2003.02878
Given an infeasible, unbounded, or pathological convex optimization problem, a natural question to ask is: what is the smallest change we can make to the problem's parameters such that the problem becomes solvable? In this paper, we address this ques
Externí odkaz:
http://arxiv.org/abs/2001.11010
Autor:
Palan, Malayandi, Barratt, Shane, McCauley, Alex, Sadigh, Dorsa, Sindhwani, Vikas, Boyd, Stephen
We consider the problem of learning a linear control policy for a linear dynamical system, from demonstrations of an expert regulating the system. The standard approach to this problem is policy fitting, which fits a linear policy by minimizing a los
Externí odkaz:
http://arxiv.org/abs/2001.07572
Many control policies used in various applications determine the input or action by solving a convex optimization problem that depends on the current state and some parameters. Common examples of such convex optimization control policies (COCPs) incl
Externí odkaz:
http://arxiv.org/abs/1912.09529