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Amit Agarwal 0008

dblp:67/340-8 · DBLP profile ↗
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3ranked-venue papers
1as first author
0since 2021 · last 2007
0000-0002-1259-6839ORCID · corroborated

Domains — the database's venue-derived domains; a paper can count in several

Artificial intelligence and machine learning · 3 · 1 first-author

Expertise — from the expertise taxonomy: the topics of the expert's papers under the CCF categories. A weight counts papers with recency: 1 for a paper about the topic, 0.3 when the topic is its context, halved every five years.

Theoretical computer science
2 papers
Approximation and online algorithms · 50% Mathematical optimization · 25% Algorithmic game theory and mechanism design · 25%
Artificial intelligence
1 paper
Optimization for machine learning · 50% Learning theory · 38% Reinforcement learning · 12%
Interdisciplinary, comprehensive, and emerging computing
1 paper
Computational finance and economics · 100%

Topics — the 10 heaviest of 10, each with the papers that count most for it

TopicWeightPapersLastEvidence papers
Machine learning › Optimization for machine learning
online optimization
0.112006
Logarithmic Regret Algorithms for Online Convex Optimization · COLT 2006
Machine learning › Learning theory › online learning
regret bounds
0.112006
Logarithmic Regret Algorithms for Online Convex Optimization · COLT 2006
Computational finance and economics › portfolio management › portfolio optimization
online portfolio selection
0.112006
Algorithms for portfolio management based on the Newton method · ICML 2006
Computational finance and economics
portfolio management
0.112006
Algorithms for portfolio management based on the Newton method · ICML 2006
Approximation and online algorithms › online learning
logarithmic regret
0.112006
Logarithmic Regret Algorithms for Online Convex Optimization · COLT 2006
Approximation and online algorithms
online algorithms
0.112006
Algorithms for portfolio management based on the Newton method · ICML 2006
Mathematical optimization › online optimization
online convex optimization
0.112006
Logarithmic Regret Algorithms for Online Convex Optimization · COLT 2006
Algorithmic game theory and mechanism design
regret minimization
0.112006
Algorithms for portfolio management based on the Newton method · ICML 2006
Machine learning › Optimization for machine learning
convex optimization
0.012006
Logarithmic Regret Algorithms for Online Convex Optimization · COLT 2006
Machine learning › Reinforcement learning
regret minimization
0.012006
Logarithmic Regret Algorithms for Online Convex Optimization · COLT 2006

Methods — techniques the papers use, named apart from their topics

potential function analysis · 0.1online convex optimization · 0.1newton method · 0.1
YearPublicationVenuePosition
2007 Logarithmic regret algorithms for online convex optimization
Elad Hazan, Amit Agarwal 0008, Satyen Kale
Mach. Learn.2
2006 Logarithmic Regret Algorithms for Online Convex Optimization
Elad Hazan, Adam Tauman Kalai, Satyen Kale, Amit Agarwal 0008
COLT4
2006 Algorithms for portfolio management based on the Newton method
abstract
We experimentally study on-line investment algorithms first proposed by Agarwal and Hazan and extended by Hazan et al. which achieve almost the same wealth as the best constant-rebalanced portfolio determined in hindsight. These algorithms are the first to combine optimal logarithmic regret bounds with efficient deterministic computability. They are based on the Newton method for offline optimization which, unlike previous approaches, exploits second order information. After analyzing the algorithm using the potential function introduced by Agarwal and Hazan, we present extensive experiments on actual financial data. These experiments confirm the theoretical advantage of our algorithms, which yield higher returns and run considerably faster than previous algorithms with optimal regret. Additionally, we perform financial analysis using mean-variance calculations and the Sharpe ratio.
Amit Agarwal 0008, Elad Hazan, Satyen Kale, Robert E. Schapire
ICML1