1 code implementation • 19 Feb 2024 • Enea Monzio Compagnoni, Antonio Orvieto, Hans Kersting, Frank Norbert Proske, Aurelien Lucchi
Minimax optimization problems have attracted a lot of attention over the past few years, with applications ranging from economics to machine learning.
no code implementations • 19 Jan 2023 • Enea Monzio Compagnoni, Luca Biggio, Antonio Orvieto, Frank Norbert Proske, Hans Kersting, Aurelien Lucchi
We study the SAM (Sharpness-Aware Minimization) optimizer which has recently attracted a lot of interest due to its increased performance over more classical variants of stochastic gradient descent.
no code implementations • 22 Dec 2022 • Matteo Burzoni, Alessandro Doldi, Enea Monzio Compagnoni
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures.
no code implementations • 2 Jan 2022 • Enea Monzio Compagnoni, Anna Scampicchio, Luca Biggio, Antonio Orvieto, Thomas Hofmann, Josef Teichmann
Many finance, physics, and engineering phenomena are modeled by continuous-time dynamical systems driven by highly irregular (stochastic) inputs.
no code implementations • NeurIPS Workshop DLDE 2021 • Enea Monzio Compagnoni, Luca Biggio, Antonio Orvieto
Time series analysis is a widespread task in Natural Sciences, Social Sciences and Engineering.