Portfolio Optimization Under Regime Switching and Transaction Costs : Combini…
Multiperiod financial models provide superior capabilities over single-period myopic approaches but, in general, suffer from the curse of dimensionality. Prominent features include transaction cost…
Chvátal Rank in Binary Polynomial Optimization
Recently, several classes of cutting planes have been introduced for binary polynomial optimization. In this paper, we present the first results connecting the combinatorial structure of these ineq…
Katyusha Acceleration for Convex Finite-Sum Compositional Optimization
Structured optimization problems arise in many applications. To efficiently solve these problems, it is important to leverage the structure information in the algorithmic design. This paper focuses…
Augmented Lagrangian–Based First-Order Methods for Convex-Constrained Progr…
First-order methods (FOMs) have been widely used for solving large-scale problems. A majority of existing works focus on problems without constraint or with simple constraints. Several recent works…
Quasi-Stochastic Electricity Markets
With wind and solar becoming major contributors to electricity production in many systems, wholesale market operators have become increasingly aware of the need to address uncertainty when forming …
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