A Minimax Theorem with Applications to Machine Learning, Signal Processing, and Finance

DOI10.1137/060677586MaRDI QIDQ3395019zbMATH OpenOpenAlexFDO

Authors Seung-Jean Kim, Stephen Boyd

Publication date 20 August 2009

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/060677586

zbMATH Keywords

convex optimizationportfolio selectionrobust optimizationminimax theoremmatch filtering

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Portfolio theory (91G10) Minimax problems in mathematical programming (90C47) Other game-theoretic models (91A40)

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Cited in

(13)

• Regularized robust optimization: the optimal portfolio execution case
• Distributed convergence to Nash equilibria in two-network zero-sum games
• New primal-dual algorithms for a class of nonsmooth and nonlinear convex-concave minimax problems
• Data-driven distributionally robust risk parity portfolio optimization
• Majorization-Minimization Algorithms in Signal Processing, Communications, and Machine Learning
• A survey of nonlinear robust optimization
• Two-timescale recurrent neural networks for distributed minimax optimization
• Linear models based on noisy data and the Frisch scheme
• Convex optimization for group feature selection in networked data
• Robust generalized eigenvalue classifier with ellipsoidal uncertainty
• Robust Rayleigh quotient minimization and nonlinear eigenvalue problems
• Matrix support functionals for inverse problems, regularization, and learning
• Portfolio concentration, portfolio inertia, and ambiguous correlation

Describes a project that uses

Uses Software

• SeDuMi
• DSDP5

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