Laurent El Ghaoui

University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS)

Berkeley, CA 94720-1712

United States

SCHOLARLY PAPERS

2

DOWNLOADS

449

CITATIONS

0

Scholarly Papers (2)

1.

A Direct Formulation for Sparse PCA Using Semidefinite Programming

Number of pages: 12 Posted: 13 Jul 2004
Princeton University - Department of Operations Research and Financial Engineering, University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS), University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS) and University of California, Berkeley - Computer Science Division
Downloads 263 (92,781)

Abstract:

PCA, semidefinite programming, relaxation, sparse

2.

Static Arbitrage Bounds on Basket Option Prices

Mathematics arXiv Working Paper No. math.OC/0302243
Number of pages: 19 Posted: 12 Jul 2004
Alexandre d'Aspremont and Laurent El Ghaoui
Princeton University - Department of Operations Research and Financial Engineering and University of California, Berkeley - Department of Electrical Engineering & Computer Sciences (EECS)
Downloads 181 (134,451)

Abstract:

Basket options, static arbitrage, linear programming