Results 271 to 280 of about 5,532 (307)

On asymptotic log-optimal portfolio optimization

Automatica, 2023
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An Asymptotically Optimal Set Approach for Simulation Optimization

INFORMS Journal on Computing, 2019
We propose an asymptotically optimal set (AOS) approach for solving stochastic optimization problems with discrete or continuous feasible regions. Our AOS approach is a framework for designing provably convergent algorithms that are adaptive in seeking new points and in resampling or discarding already sampled points.
Liujia Hu, Sigrún Andradóttir
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Generalized asymptotically optimal codebooks

Applied Mathematics and Computation, 2020
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Gang Wang 0035, Min-Yao Niu, You Gao
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ASYMPTOTICALLY OPTIMAL PORTFOLIOS

Mathematical Finance, 1992
This paper extends to continuous time the concept of universal portfolio introduced by Cover (1991). Being a performance weighted average of constant rebalanced portfolios, the universal portfolio outperforms constant rebalanced and buy‐and‐hold portfolios exponentially over the long run.
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Asymptotically Optimal Filters

The 31st ACM Symposium on Parallelism in Algorithms and Architectures, 2019
A filter, such as a Bloom filter, maintains a compact, probabilistic representation of a set S of elements from a universe U. The challenge is to design a filter that uses optimal space and requires a constant number of memory accesses per query while supporting both insertions and deletions.
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Simulation and the Asymptotics of Optimization Estimators

Econometrica, 1989
On demontre un theoreme de limite centrale general pour des estimateurs definis par minimisation de la longueur d'une fonction de critere aleatoire a valeurs vectorielles. Aucune hypothese de regularite suffisante n'est imposee sur la fonction de critere, pour que les resultats puissent etre appliques a une classe d'estimlateurs de simulation assez ...
Pakes, Ariel, Pollard, David
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Asymptotically optimal quantizers (Corresp.)

IEEE Transactions on Information Theory, 1977
Asymptotically accurate approximations for quantizer performance were developed by Gish and Pierce. Variational techniques were used to obtain asymptotically optimal performance. In this correspondence, optimal performance is demonstrated simply without variational techniques using Holder's and Jensen's inequalities.
Robert M. Gray, Augustine H. Gray Jr.
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Global denoising is asymptotically optimal

2014 IEEE International Conference on Image Processing (ICIP), 2014
In this paper an upper bound on the decay rate of the mean-squared error for global image denoising is derived. As image size increases, this upper bound decays to zero; that is, the global denoising is asymptotically optimal. Unlike patch-based methods such as BM3D, this property only holds for global denoising schemes.
Hossein Talebi Esfandarani, Peyman Milanfar   +1 more
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Asymptotically Optimal CFAR Detectors

IEEE Transactions on Signal Processing, 2015
This paper investigates the asymptotic optimality of the Constant False Alarm Rate (CFAR) tests obtained using the Minimal Invariant Group (MIG) reduction. We show that the CFAR tests obtained after MIG reduction using the Wald test is a Separating Function Estimation Test (SFET) and that the Generalized Likelihood Ratio Test (GLRT) and the Rao test ...
Ali Ghobadzadeh, Saeed Gazor, Masoud Naderpour, AliAkbar Tadaion   +3 more
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Asymptotically optimal block quantization

IEEE Transactions on Information Theory, 1979
In 1948 W. R. Bennett used a companding model for nonuniform quantization and proposed the formula D \: = \: \frac{1}{12N^{2}} \: \int \: p(x) [ E(x) ]^{-2} \dx for the mean-square quantizing error where N is the number of levels, p (x) is the probability density of the input, and E \prime (x) is the slope of the compressor curve.
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