INFORMS Open Forum

NEWEST ISSUE OF STOCHASTIC SYSTEMS

  • 1.  NEWEST ISSUE OF STOCHASTIC SYSTEMS

    Posted 11 days ago

    Happy New Year INFORMS members.  Start your new year off with a bang and read the newest issue of Stochastic Systems.  In this issue you can learn about stochastic gradient descent and how to optimize your portfolio by buying and selling stocks.  Be one of the first to read the latest issue of Stochastic Systems, which features four new and exciting articles on the topics of diffusion approximations for stochastic gradient descent, a distributed version of the Kiefer-Wolfowitz algorithm, rare event algorithms for analyzing reflected Brownian motion, and optimal control methods for buying and selling a portfolio of securities.  These papers can be found at the Stochastic Systems website:  pubsonline.informs.org/toc/stsy/current

    1. Diffusion Approximation Theory of Momentum Stochastic Gradient Descent in Non-Convex Optimization
    2. Convergence of a Distributed Kiefer-Wolfowitz Algorithm
    3. Splitting Algorithms for Rare Events of Semi-martingale Reflecting Brownian Motions
    4. Optimal Liquidity-Based Trading Tactics


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    Jamol Pender
    Professor
    Cornell University
    Ithaca, NY
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