Zobrazeno 1 - 10
of 48
pro vyhledávání: '"Jun-ya Gotoh"'
Autor:
Yuichi Takano, Jun-ya Gotoh
Publikováno v:
Operations Research Perspectives, Vol 10, Iss , Pp 100262- (2023)
This paper is concerned with a linear control policy for dynamic portfolio selection. We develop this policy by incorporating time-series behaviors of asset returns on the basis of coherent risk minimization. Analyzing the dual form of our optimizati
Externí odkaz:
https://doaj.org/article/bc1521e3804d4c8996814254b28be791
Publikováno v:
Risks, Vol 6, Iss 4, p 129 (2018)
This paper studies the peer-to-peer lending and loan application processing of LendingClub. We tried to reproduce the existing loan application processing algorithm and find features used in this process. Loan application processing is considered a b
Externí odkaz:
https://doaj.org/article/c8ddb8fc57094660bba015b738addb30
Autor:
Shummin Nakayama, Jun-ya Gotoh
Publikováno v:
Optimization Letters. 15(8):2831-2860
This paper conducts a comparative study of proximal gradient methods (PGMs) and proximal DC algorithms (PDCAs) for sparse regression problems which can be cast as Difference-of-two-Convex-functions (DC) optimization problems. It has been shown that f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::16a7a416ea051dad2f0ce55f0a094b37
http://id.nii.ac.jp/1438/00010242/
http://id.nii.ac.jp/1438/00010242/
Publikováno v:
SSRN Electronic Journal.
While solutions of Distributionally Robust Optimization (DRO) problems can sometimes have a higher out-of-sample expected reward than the Sample Average Approximation (SAA), there is no guarantee. In this paper, we introduce a class of Distributional
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4040bd1390b52f26fc60c22b95b3e161
https://doi.org/10.2139/ssrn.3853493
https://doi.org/10.2139/ssrn.3853493
We introduce the notion of Worst-Case Sensitivity, defined as the worst-case rate of increase in the expected cost of a Distributionally Robust Optimization (DRO) model when the size of the uncertainty set vanishes. We show that worst-case sensitivit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1a0480eefd5b240c689c28c6ca404c1c
Publikováno v:
Operations Research Letters. 46:448-452
We formulate a distributionally robust optimization problem where the deviation of the alternative distribution is controlled by a ϕ -divergence penalty in the objective, and show that a large class of these problems are essentially equivalent to a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3172e516bec2b51e3e6a70d6cb397386
https://doi.org/10.1016/j.orl.2018.05.005
https://doi.org/10.1016/j.orl.2018.05.005
Publikováno v:
Mathematical Programming. 169:141-176
We propose a DC (Difference of two Convex functions) formulation approach for sparse optimization problems having a cardinality or rank constraint. With the largest-k norm, an exact DC representation of the cardinality constraint is provided. We then
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ab6fedda0ebea2ebd117dc63fa0fe51
https://doi.org/10.1007/s10107-017-1181-0
https://doi.org/10.1007/s10107-017-1181-0
Autor:
Jun-ya Gotoh, Stan Uryasev
Publikováno v:
Annals of Operations Research. 249:301-328
This paper studies unified formulations of support vector machines (SVMs) for binary classification on the basis of convex analysis, especially, convex risk functions theory, which is recently developed in the context of financial optimization. Using
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a587004b7d59644728b122625059875d
https://doi.org/10.1007/s10479-016-2326-x
https://doi.org/10.1007/s10479-016-2326-x
Publikováno v:
Risks
Volume 6
Issue 4
Risks, Vol 6, Iss 4, p 129 (2018)
Volume 6
Issue 4
Risks, Vol 6, Iss 4, p 129 (2018)
This paper studies the peer-to-peer lending and loan application processing of LendingClub. We tried to reproduce the existing loan application processing algorithm and find features used in this process. Loan application processing is considered a b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6bd8b9752f281788d1422e9b44d0d483
Autor:
Jun-ya Gotoh, Stan Uryasev
Publikováno v:
Mathematical Programming. 156:391-431
This paper studies four families of polyhedral norms parametrized by a single parameter. The first two families consist of the CVaR norm (which is equivalent to the D-norm, or the largest-$$k$$k norm) and its dual norm, while the second two families
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::948843f1467db769b05eb7be01788462
https://doi.org/10.1007/s10107-015-0899-9
https://doi.org/10.1007/s10107-015-0899-9