Search Results - subject:"Coordinate descent"

Improved iterative methods for solving risk parity portfolio

Choi, Jaehyuk; Chen, Rong - In: Journal of derivatives and quantitative studies : … 30 (2022) 2, pp. 114-124

study improves two existing iterative methods: the cyclical coordinate descent (CCD) and Newton methods. The authors enhance …

Persistent link: https://www.econbiz.de/10013202393

SISTA: Learning Optimal Transport Costs under Sparsity Constraints

Carlier, Guillaume; Dupuy, Arnaud; Galichon, Alfred; … - 2021

problems. SISTA is a hybrid between two classical methods, coordinate descent ("S"-inkhorn) and proximal gradient descent … simulated examples that it is significantly faster than both coordinate descent and ISTA. We apply it to estimating a model of …

Persistent link: https://www.econbiz.de/10012597543

SISTA: learning optimal transport costs under sparsity constraints

Carlier, Guillaume; Dupuy, Arnaud; Galichon, Alfred; … - 2021

Persistent link: https://www.econbiz.de/10012519120

Regularized area-level modelling for robust small area estimation in the presence of unknown covariate measurement errors

Burgard, Jan Pablo; Krause, Joscha; Kreber, Dennis - 2019

An approach to model-based small area estimation under covariate measurement errors is presented. Using a min-max approach, we proof that regularized regression coefficient estimation is equivalent to robust optimization under additive noise. Applying this equivalence, the Fay-Herriot model is...

Persistent link: https://www.econbiz.de/10012140846