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Lecture

Hedging for LPs

In course

CS-450: Algorithms II

A first graduate course in algorithms, this course assumes minimal background, but moves rapidly. The objective is to learn the main techniques of algorithm analysis and design, while building a repertory of basic algorithmic solutions to problems in many ...

Description

This lecture covers the Hedge algorithm for minimizing loss in linear programming problems, focusing on expert advice, weighted majority, and cost vectors. The instructor explains the concept of mistakes, loss, and the aggregation of predictions.

Instructors (3)

Ola Nils Anders Svensson

Alessandro Chiesa

Alessandro Chiesa is a faculty member in computer science. He conducts research in complexity theory, cryptography, and security, with a focus on the theoretical foundations and practical implementations of cryptographic proofs that are short and easy to verify. He is a co-author of several zkSNARK libraries, and is a co-inventor of the Zerocash protocol. He has co-founded Zcash and StarkWare Industries. He is a recipient of a Sloan Research Fellowship (2021), an Okawa Foundation Research Grant (2020), and Google Faculty Research Awards (2018 and 2017). He was included in MIT Technology Review's "35 Innovators Under 35" list in 2018.

Mikhail Kapralov

Official source

Related concepts (32)

Linear programming

Linear programming (LP), also called linear optimization, is a method to achieve the best outcome (such as maximum profit or lowest cost) in a mathematical model whose requirements are represented by linear relationships. Linear programming is a special case of mathematical programming (also known as mathematical optimization). More formally, linear programming is a technique for the optimization of a linear objective function, subject to linear equality and linear inequality constraints.

Integer programming

An integer programming problem is a mathematical optimization or feasibility program in which some or all of the variables are restricted to be integers. In many settings the term refers to integer linear programming (ILP), in which the objective function and the constraints (other than the integer constraints) are linear. Integer programming is NP-complete. In particular, the special case of 0-1 integer linear programming, in which unknowns are binary, and only the restrictions must be satisfied, is one of Karp's 21 NP-complete problems.

Nonlinear programming

In mathematics, nonlinear programming (NLP) is the process of solving an optimization problem where some of the constraints or the objective function are nonlinear. An optimization problem is one of calculation of the extrema (maxima, minima or stationary points) of an objective function over a set of unknown real variables and conditional to the satisfaction of a system of equalities and inequalities, collectively termed constraints. It is the sub-field of mathematical optimization that deals with problems that are not linear.

Linear programming relaxation

In mathematics, the relaxation of a (mixed) integer linear program is the problem that arises by removing the integrality constraint of each variable. For example, in a 0–1 integer program, all constraints are of the form The relaxation of the original integer program instead uses a collection of linear constraints The resulting relaxation is a linear program, hence the name.

Hedge fund

A hedge fund is a pooled investment fund that trades in relatively liquid assets and is able to make extensive use of more complex trading, portfolio-construction, and risk management techniques in an attempt to improve performance, such as short selling, leverage, and derivatives. Financial regulators generally restrict hedge fund marketing to institutional investors, high net worth individuals, and accredited investors. Hedge funds are considered alternative investments.

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