Results 131 to 140 of about 341,424 (240)
MathematicsCollaborative clustering is an ensemble technique that enhances clustering performance by simultaneously and synergistically processing multiple data dimensions or tasks.
Jing Han, Linzhang Lu
doaj +1 more source
Subspace segmentation with a minimal squared frobenius norm representation [PDF]
, 2012 We introduce a novel subspace segmentation method called Minimal Squared Frobenius Norm Representation (MSFNR). MSFNR performs data clustering by solving a convex optimization problem.
Wei, S, Yu, Y
core
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley +1 more source
A remark on “Inequalities for the Frobenius norm” [PDF]
Journal of Mathematical Inequalities, 2016 openaire +1 more source
The present research investigates the global asymptotic stability of bidirectional associative memory (BAM) neural networks using distinct sufficient conditions.
Saravanan Shanmugam +3 more
core +1 more source
Metroeconomica, EarlyView.ABSTRACT The Kurz–Salvadori eigenequation concerns Sraffian closed, single‐product–circulating capital economies and determines the unique economically relevant profit rate and price vector that correspond to an exogenously given money wage rate. This paper approaches the Kurz–Salvadori eigenequation as a (semi‐)positive rank‐one matrix perturbation of
Theodore Mariolis
wiley +1 more source
Threshold Regression for Fixed‐T$$ T $$ Panel Data with Interactive Fixed Effects
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper develops a new toolbox for estimation and inference in panel data threshold regression models with interactive fixed effects and a fixed number of time periods, T$$ T $$. The toolbox is designed to be simple, accurate, and computationally efficient.
Jan Ditzen +2 more
wiley +1 more source
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A popular approach to interactive effects panel data models is the common correlated effects (CCE) estimator of Pesaran (Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967–1012, 2006). The current paper proposes a modified version of this estimator that is useful in a number of cases
Yousef Kaddoura +2 more
wiley +1 more source