Search Results for author: Yanhong Chen

Found 3 papers, 0 papers with code

Set-Valued Dynamic Risk Measures for Processes and Vectors

no code implementations1 Mar 2021 Yanhong Chen, Zachary Feinstein

Finally, the equivalence of multiportfolio time consistency between set-valued risk measures for processes and vectors is provided; to accomplish this, an augmented definition for multiportfolio time consistency of set-valued risk measures for processes is proposed.

Multi-task Additive Models for Robust Estimation and Automatic Structure Discovery

no code implementations NeurIPS 2020 Yingjie Wang, Hong Chen, Feng Zheng, Chen Xu, Tieliang Gong, Yanhong Chen

For high-dimensional observations in real environment, e. g., Coronal Mass Ejections (CMEs) data, the learning performance of previous methods may be degraded seriously due to the complex non-Gaussian noise and the insufficiency of prior knowledge on variable structure.

Additive models Bilevel Optimization +1

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