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Shane Barratt

Stanford University - Department of Electrical Engineering

Stanford, CA 94305-6104

United States

  • Stanford University - Department of Electrical Engineering

SCHOLARLY PAPERS

3

DOWNLOADS

327

TOTAL CITATIONS

3

Scholarly Papers (3)

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1.

Convex Optimization Over Risk-Neutral Probabilities

Number of pages: 19 Posted: 31 Mar 2020
Shane Barratt, Jonathan Tuck and Stephen Boyd
Stanford University - Department of Electrical Engineering, Stanford University - Department of Electrical Engineering and Stanford University - Department of Electrical Engineering
Downloads 122 (588,531)

Abstract:

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options, risk-neutral proababilities, derivatives, convex optimization

2.

Optimal Representative Sample Weighting

Number of pages: 29 Posted: 12 Jun 2020
Shane Barratt, Guillermo Angeris and Stephen Boyd
Stanford University - Department of Electrical Engineering, Stanford University and Stanford University - Department of Electrical Engineering
Downloads 103 (674,591)
Citation 1

Abstract:

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representative samples; survey weighting; raking; iterative proportional fitting; convex optimization; mixed-integer convex optimization

3.

Multi-Period Liability Clearing via Convex Optimal Control

Number of pages: 26 Posted: 12 Jun 2020
Shane Barratt and Stephen Boyd
Stanford University - Department of Electrical Engineering and Stanford University - Department of Electrical Engineering
Downloads 102 (679,608)
Citation 2

Abstract:

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Liability clearing; Eisenberg-Noe; Interbank liabilities; Stochastic control; Model predictive control; Optimization; Convex optimization