Skip to main content

All Questions

Filter by
Sorted by
Tagged with
0 votes
0 answers
68 views

Convex optimization under asymmetric loss in infinite dimensional space

The following problem is common in financial economics $$ \min_{m \in L^2} \mathbb{E}[ \phi(y(\theta)-m)] \quad \text{s.t. } \mathbb{E}[ mx ]= q $$ That is, given a random variable $y(\theta)$ ($\...
Dejan Evisal's user avatar
3 votes
1 answer
260 views

Better alternative to solve quadratic programming for large matrices

I have the following problem. Let's say we have $x_{jk}$ it is an expression value of gene $j$ in a sample $k$. It is the average of expression levels across the cell types $s_{ij}$, weighted by ...
neversaint's user avatar