The decision rule approach to optimization under uncertainty: methodology and applications

Dynamic decision-making under uncertainty has a long and distinguished history in operations research. Due to the curse of dimensionality, solution schemes that naïvely partition or discretize the support of the random problem parameters are limited to small and medium-sized problems, or they require restrictive modeling assumptions (e.g., absence of recourse actions). In the last few decades, several solution techniques have been proposed that aim to alleviate the curse of dimensionality. Amongst these is the decision rule approach, which faithfully models the random process and instead approximates the feasible region of the decision problem. In this paper, we survey the major theoretical findings relating to this approach, and we investigate its potential in two applications areas

Forecasting Bond Risk Premia Using Technical Analysis

This paper is selected as one of the Top Ten Paper in Forecasting in SSRN

Online tracking of the degree of nonlinearity within complex signals

A novel method for online tracking of the changes in the nonlinearity within complex-valued signals is introduced. This is achieved by a collaborative adaptive signal processing approach by means of a hybrid filter. By tracking the dynamics of the adaptive mixing parameter within the employed hybrid filtering architecture, we show that it is possible to quantify the degree of nonlinearity within complex-valued data. Simulations on both benchmark and real world data support the approach