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WSC
2008
15 years 5 days ago
Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
Sandeep Juneja
AAAI
1992
14 years 11 months ago
On the Minimality and Decomposability of Constraint Networks
Constraint networks have been shown to be useful in formulating such diverse problems as scene labeling, natural language parsing, and temporal reasoning. Given a constraint netwo...
Peter van Beek
CORR
2008
Springer
126views Education» more  CORR 2008»
14 years 10 months ago
Path following algorithm for the graph matching problem
We propose a convex-concave programming approach for the labeled weighted graph matching problem. The convex-concave programming formulation is obtained by rewriting the weighted ...
Mikhail Zaslavskiy, Francis Bach, Jean-Philippe Ve...
PAMI
2008
162views more  PAMI 2008»
14 years 9 months ago
Bayes Optimality in Linear Discriminant Analysis
We present an algorithm which provides the one-dimensional subspace where the Bayes error is minimized for the C class problem with homoscedastic Gaussian distributions. Our main ...
Onur C. Hamsici, Aleix M. Martínez
FOCS
2005
IEEE
15 years 3 months ago
Truthful and Near-Optimal Mechanism Design via Linear Programming
We give a general technique to obtain approximation mechanisms that are truthful in expectation. We show that for packing domains, any α-approximation algorithm that also bounds ...
Ron Lavi, Chaitanya Swamy