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WSC
2000
15 years 8 months ago
Variance reduction techniques for value-at-risk with heavy-tailed risk factors
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...
Paul Glasserman, Philip Heidelberger, Perwez Shaha...
CORR
2010
Springer
95views Education» more  CORR 2010»
15 years 6 months ago
Statistical Compressive Sensing of Gaussian Mixture Models
A new framework of compressive sensing (CS), namely statistical compressive sensing (SCS), that aims at efficiently sampling a collection of signals that follow a statistical dist...
Guoshen Yu, Guillermo Sapiro
CORR
2008
Springer
179views Education» more  CORR 2008»
15 years 6 months ago
Distributed Parameter Estimation in Sensor Networks: Nonlinear Observation Models and Imperfect Communication
The paper studies the problem of distributed static parameter (vector) estimation in sensor networks with nonlinear observation models and imperfect inter-sensor communication. We...
Soummya Kar, José M. F. Moura, Kavita Raman...
JMLR
2006
150views more  JMLR 2006»
15 years 6 months ago
Exact 1-Norm Support Vector Machines Via Unconstrained Convex Differentiable Minimization
Support vector machines utilizing the 1-norm, typically set up as linear programs (Mangasarian, 2000; Bradley and Mangasarian, 1998), are formulated here as a completely unconstra...
Olvi L. Mangasarian
ML
2008
ACM
162views Machine Learning» more  ML 2008»
15 years 6 months ago
Incorporating prior knowledge in support vector regression
This paper explores the addition of constraints to the linear programming formulation of the support vector regression problem for the incorporation of prior knowledge. Equality an...
Fabien Lauer, Gérard Bloch