Search Results - subject:"regularization"

RegularizedOptimization.jl : a Julia framework for regularized and nonsmooth optimization

Diouane, Youssef; Gollier, Maxence; Laghdaf … - 2025

Persistent link: https://www.econbiz.de/10015509062

Numerical analysis of the projection dynamics and their associated mean field control

Yoshioka, Hidekazu - In: Dynamic games and applications : DGA 15 (2025) 5, pp. 1819-1855

Persistent link: https://www.econbiz.de/10015515565

Entropy regularization in mean-field games of optimal stopping

Dianetti, Jodi; Dumitrescu, Roxana; Ferrari, Giorgio; … - 2025

singular stochastic controls (SC-MFG) with entropy regularization. We establish the existence of equilibria and prove their …

Persistent link: https://www.econbiz.de/10015472851

Characterization of transport optimizers via graphs and applications to Stackelberg-Cournot-Nash equilibria

Acciaio, Beatrice; Neumann, Berenice Anne - In: Mathematics and financial economics 19 (2025) 1, pp. 67-99

Persistent link: https://www.econbiz.de/10015526386

A test of the efficiency of a given portfolio in high dimensions

Chernov, Mikhail; Kelly, Bryan T.; Malamud, Semyon; … - 2025 - This version: March 13, 2025

Persistent link: https://www.econbiz.de/10015358006

Norm constrained empirical portfolio optimization with stochastic dominance : robust optimization non-asymptotics

Arvanitis, Stelios - 2025

The present note provides an initial theoretical explanation of the way norm regularizations may provide a means of controlling the non-asymptotic probability of False Dominance classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid...

Persistent link: https://www.econbiz.de/10015615143

Selecting the most effective nudge : evidence from a large-scale experiment on immunization

Banerjee, Abhijit V.; Chandrasekhar, Arun Gautham; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 4, pp. 1183-1223

Persistent link: https://www.econbiz.de/10015475282

Norm constrained empirical portfolio optimization with stochastic dominance: Robust optimization non-asymptotics

Arvanitis, Stelios - 2025

Persistent link: https://www.econbiz.de/10015434317

Conditional gradients for total variation regularization with PDE constraints: a graph cuts approach

Cristinelli, Giacomo; Iglesias, José A.; Walter, Daniel - In: Computational Optimization and Applications 93 (2025) 1, pp. 209-265

Total variation regularization has proven to be a valuable tool in the context of optimal control of differential … solution algorithm. In this paper, we investigate a general class of minimization problems with TV-regularization, comprising … theoretical insights on minimization problems with total variation regularization as well as tools for their practical realization …

Persistent link: https://www.econbiz.de/10015564110

An impartial look at asset correlation stability and market structure

Wijler, Etienne; Lucas, André - 2025

We develop a data-driven procedure to identify which correlations in high-dimensional dynamic systems should be time-varying, constant, or zero. The method integrates a vine-based multivariate partial correlation model with sequential penalized estimation. Applied to 50 US equities and...

Persistent link: https://www.econbiz.de/10015532201