Results 91 to 100 of about 16,024 (227)
Tackling nonlinear price impact with linear strategies
Mathematical Finance, Volume 35, Issue 2, Page 422-440, April 2025.Abstract Empirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear ...
Xavier Brokmann +3 more
wiley +1 more source
Constrained LQR for low-precision data representation [PDF]
Automatica, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stefano Longo +2 more
openaire +2 more sources
Medical Education, EarlyView.Abstract Introduction The transition from student to doctor represents a challenging shift in identity and responsibility that many graduates find difficult to manage. To understand better how to support the transition to practice we need an exploration of graduates' experiences that does not see the transition as a single moment, but a continuous ...
Stuart Redvers Pattinson +2 more
wiley +1 more source
Policy Gradient for LQR with Domain Randomization
2025 IEEE 64th Conference on Decision and Control (CDC)Domain randomization (DR) enables sim-to-real transfer by training controllers on a distribution of simulated environments, with the goal of achieving robust performance in the real world. Although DR is widely used in practice and is often solved using simple policy gradient (PG) methods, understanding of its theoretical guarantees remains limited ...
Tesshu Fujinami +3 more
openaire +2 more sources
, 2021 We consider the infinite-horizon LQR control problem. Motivated by competitive analysis in online learning, as a criterion for controller design we introduce the dynamic regret, defined as the difference between the LQR cost of a causal controller (that has only access to past disturbances) and the LQR cost of the \emph{unique} clairvoyant one (that ...
Sabag, Oron +3 more
openaire +2 more sources
Sparse Minimum Redundancy Maximum Relevance for Feature Selection
Scandinavian Journal of Statistics, EarlyView.ABSTRACT We propose a feature screening method that integrates both feature–feature and feature–target relationships. Inactive features are identified via a penalized minimum Redundancy Maximum Relevance (mRMR) procedure, which is the continuous version of the classical mRMR penalized by a non‐convex regularizer, and where the parameters estimated as ...
Peter Naylor +3 more
wiley +1 more source
A Two Degree of Freedom Approach for Discrete‐Time Sliding Mode Control
International Journal of Robust and Nonlinear Control, Volume 36, Issue 13, Page 6540-6551, 10 September 2026.ABSTRACT This paper proposes a new two degree of freedom (2‐DOF) framework for discrete‐time sliding mode control (DSMC) that decouples the disturbed evolution from its nominal counterpart. The novel nominal/disturbed subsystem separation for DSMC can be used to define multiple closed‐loop specifications. The nominal regulation (or tracking) controller
Tito L. M. Santos, Ary M. Batista
wiley +1 more source
Theory of Optimal Transportation Over LQR: Free-Final-States Compared to Fixed-Final-States
IEEE AccessIn this paper, we address the optimal transport problem over a linear quadratic regulator with free-final-states (the free OT-LQR problem). We prove the existence and uniqueness of the solution and discuss the regularity conditions for the optimal ...
Mahdi H. Azad, Nima Assadian
doaj +1 more source
Point and Risk estImation Using an enSemble of Models for Nowcasting: PRISM‐Now
Journal of Forecasting, Volume 45, Issue 6, Page 2760-2784, September 2026.ABSTRACT We propose PRISM‐Now, a novel ensemble forecasting system for near‐term GDP projection. Recognizing that relevant economic information evolves over time, we treat forecasts from multiple base models as draws from a mixture distribution of “good” and “bad” estimates, whose composition changes continuously and cannot be identified ex ante.
Beomseok Seo, Hyungbae Cho, Dongjae Lee
wiley +1 more source
The Distributionally Robust Infinite-Horizon LQR
2024 IEEE 63rd Conference on Decision and Control (CDC)Accepted at CDC ...
Joudi Hajar +3 more
openaire +2 more sources