… In the spirit of linear programming theory (see Smith 1995 and Bertsimas and Popescu 1999), we write the dual of Problem (3) by associating a vector of dual variables y = y0 y1 …
D Bertsimas, L Kogan, AW Lo - Journal of Financial Economics, 2000 - Elsevier
Continuous-time stochastic processes are approximations to physically realizable phenomena. We quantify one aspect of the approximation errors by characterizing the asymptotic …
… In the present paper, we join Bertsimas and Van Parys (2020) in imposing a ridge regularizer, … First, we note that Bertsimas and Van Parys (2020)’s algorithm can be improved by setting …
D Bertsimas - Operations Research, 1990 - pubsonline.informs.org
… In fact, we were able to prove this for the special case m = 2 (Bertsimas 1988). For m = 1 this … Bertsimas shows that if there are I roots of (7), then the waiting time distribution is a mixture …
… While we do not have theoretical evidence on the closeness of the approximation, Bertsimas and Brown [7] report excellent computational results utilizing Problem (8) for constrained …
We propose a semidefinite optimization approach to the problem of deriving tight moment inequalities for $P(X\in S)$, for a set S defined by polynomial inequalities and a random vector …
… In [5], Bertsimas and Popescu use these methods to find best possible bounds for pricing financial derivatives without assuming particular price dynamics. Lasserre [13] and Parrilo [17] …
… The full formulation is provided in Bertsimas and Georghiou (2015), but we repeat the … We also sought to compare our results with Bertsimas and Georghiou (2015), who use a different …
… Note that all functions introduced in this section are either matrix convex or the trace of a matrix convex function, and thus supply valid convex relaxations when used as regularizers for …