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SIAMJO
2010
155views more  SIAMJO 2010»
13 years 16 days ago
Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
Somayeh Moazeni, Thomas F. Coleman, Yuying Li
AINA
2008
IEEE
14 years 8 days ago
Missing Value Estimation for Time Series Microarray Data Using Linear Dynamical Systems Modeling
The analysis of gene expression time series obtained from microarray experiments can be effectively exploited to understand a wide range of biological phenomena from the homeostat...
Connie Phong, Raul Singh
ICA
2010
Springer
13 years 6 months ago
Common SpatioTemporal Pattern Analysis
In this work we present a method for the estimation of a rank-one pattern living in two heterogeneous spaces, when observed through a mixture in multiple observation sets. Using a ...
Ronald Phlypo, Nisrine Jrad, Bertrand Rivet, Marco...
ICASSP
2010
IEEE
13 years 6 months ago
A nullspace analysis of the nuclear norm heuristic for rank minimization
The problem of minimizing the rank of a matrix subject to linear equality constraints arises in applications in machine learning, dimensionality reduction, and control theory, and...
Krishnamurthy Dvijotham, Maryam Fazel
ICC
2007
IEEE
182views Communications» more  ICC 2007»
14 years 3 days ago
BER Analysis of MIMO-SVD Systems with Channel Estimation Error and Feedback Delay
— This paper analyzes the average bit error rate (BER) performance of singular value decomposition-based multiple-input multiple-output systems with channel estimation error and ...
Edward K. S. Au, Shi Jin, Matthew R. McKay, Wai Ho...