Search Results for author: Brian Caffo

Found 6 papers, 0 papers with code

Robust Portfolio Optimization

no code implementations NeurIPS 2015 Huitong Qiu, Fang Han, Han Liu, Brian Caffo

We propose a robust portfolio optimization approach based on quantile statistics.

Portfolio Optimization

MONEYBaRL: Exploiting pitcher decision-making using Reinforcement Learning

no code implementations31 Jul 2014 Gagan Sidhu, Brian Caffo

This manuscript uses machine learning techniques to exploit baseball pitchers' decision making, so-called "Baseball IQ," by modeling the at-bat information, pitch selection and counts, as a Markov Decision Process (MDP).

Decision Making reinforcement-learning

Fast, Exact Bootstrap Principal Component Analysis for p>1 million

no code implementations5 May 2014 Aaron Fisher, Brian Caffo, Brian Schwartz, Vadim Zipunnikov

As a result, all bootstrap principal components are limited to the same $n$-dimensional subspace and can be efficiently represented by their low dimensional coordinates in that subspace.

Methodology Applications Computation

Joint Estimation of Multiple Graphical Models from High Dimensional Time Series

no code implementations1 Nov 2013 Huitong Qiu, Fang Han, Han Liu, Brian Caffo

In this manuscript we consider the problem of jointly estimating multiple graphical models in high dimensions.

Time Series

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