GOTOH Junya 後藤順哉

… Alternative Names

後藤純哉ゴトウジュンヤ

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Researcher Number	40334031
Other IDs	https://orcid.org/0000-0002-0097-7298
External Links
Affiliation (Current)	2024: 中央大学, 理工学部, 教授
Affiliation (based on the past Project Information) *help	2014 – 2024: 中央大学, 理工学部, 教授 2007 – 2014: Chuo University, 理工学部, 准教授 2006: 筑波大学, 大学院システム情報工学研究科, 講師 2004 – 2005: University of Tsukuba, Graduate School of Systems and Information Engineering, Assistant Professor, 大学院・システム情報工学研究科, 講師 2001 – 2003: Chuo University, Faculty of Science and Engineering, Associate Professor, 社会工学系, 講師
Review Section/Research Field	Principal Investigator Social systems engineering/Safety system / Basic Section 25010:Social systems engineering-related / Social systems engineering/Safety system / 社会システム工学 Except Principal Investigator Social systems engineering/Safety system / 社会システム工学 / Social systems engineering/Safety system / Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields
Keywords	Principal Investigator 数理最適化 / ロバスト最適化 / ポートフォリオ選択 / ポートフォリオ最適化 / スパース最適化 / 機械学習 / データ解析 / 正則化 / 汎化誤差 / データ駆動型意思決定 … More / 分布的ロバスト最適化 / ロバスト / データ / 平均・分散モデル / データ駆動型最適化 / 凸最適化 / 実数空間上のノルム / リスク最小化 / 凸リスク尺度 / SVM / コヒレントリスク尺度 / CVaR / support vector machine(SVM) / 条件付きVaR(CVaR) / バリューアットリスク(VaR) / ノルム制約 / CVaR(条件付きバリュー・アット・リスク) / VaR(バリュー・アット・リスク) / リスク・マネジメント / 平均-リスクモデル / 凸計画問題 / 新聞売り子問題 / VaR最小化 / CVaR最小化 / ノルム / 分数計画 / conditional VaR (CVaR) / value-at-Risk(vaR) / 非凸型計画 / 倒産判別 / 切除平面法 / 半正定値制約 / 最小極大流 / 分枝限定法 / 最小楕円 / 大域的最適化 / 非凸計画 / 条件付VaR / 判別分析 … More Except Principal Investigator 最適化 / エネルギー / ファイナンス / アルゴリズム / ポートフォリオ理論 / 実証 / シミュレーション / 電力市場 / 実証分析 / 経営工学 / 統合リスク管理 / ポートフォリオ / 数理計画問題 / 信用リスク / 金融リスク管理技術 / OR / デリバティブ / 社会実装 / 機械学習 / オペレーションズリサーチ / 社会システム工学 / 市場模擬実験 / 市場シミュレーション / 市場取引実験 / 模擬実験システム / 最適ヘッジ / Multi Dimensional scaling / Complementarity / Network flow / Global optimization / Social choice function / Social welfare function / Game theory / 凹関数 / 相補性 / NP困難 / 非凸集合 / 極大流 / 部分システム / 制御不能 / 相補性条件 / 非凸性 / 大域的適化 / 多次元尺度法 / 相補性問題 / ネットワーク流 / 大域的最適化 / 社会的選択関数 / 社会的厚生関数 / ゲーム理論 / D.C, cost function / large scale LP / mean-lower partial risk model / branch and bound / rebalance / long-short portfolio / concave cost / portfolio theory / SDP / 大規模投資 / データマイニング / SDD / 倒産判別 / 取引コスト / リスク / D. C.取引コスト / D.C.取引コスト / 超大型線形計画問題 / 平均・下方リスクモデル / 分枝限定法 / リバランス / ロング・ショート・ポートフォリオ / 凹型取引コスト / Option Pricing / Scoring / Financial Data / Small companies / Lodit Model / Faillure Probability / Semi-Definite Programming / Credit Risk / ニューラルネット / 判別分析 / 財務諸表分析 / ポートフォリオ最適化 / 最適化アルゴリズム / 国際分散投資 / 半生定値問題 / スコアリンング / スコアリング / 財務指標 / 中小企業 / ロジットモデル / 倒産リスク評価 / 半定値問題 / 信用リスク分析 / 錐計画問題 / モデル化 / 意思決定問題 / 市場リスク / アクティブ運用 / トランスファー係数 / インデックス運用 / 半正定値計画問題 / 超楕円面による分類 / 格付け / マルチスレッドコンピューティング / クラウドコンピューティング / グリッドコンピューティング / クラスタコンピューティング / HPC(高性能計算) / オペレーションズ・リサーチ / 最適化問題 / 組合せ日適化 / 組合せ最適化 / ネットワーク理論 / 倒産判別分析 / マルチ・インデックス・トラッキング / 変数選択 / 0-1整数計画問題 / 最大予測可能性ポートフォリオ / モデルの自由度 / 回帰分析 / 多段階解法 / 0-1混合整数計画法 / 2次ロジット・モデル / インフォーメーション・レシオ / 回転率制約 / インデックス・トラッキング / 指標選択 / 半正定値ロジット・モデル / 2次回帰モデル / ロジット・モデル Less

2種類のロバスト性を統合したデータ駆動意思決定モデルの構築Principal Investigator
- Principal Investigator
  
  後藤順哉
- Project Period (FY)
  2024 – 2028
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 25010:Social systems engineering-related
- Research Institution
  Chuo University
Construction of risk management system to support renewable energy P2P transactions
- Principal Investigator
  
  山田雄二
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields
- Research Institution
  University of Tsukuba
Next Optimization Methods for Social Implementation of Machine Learning Systems
- Principal Investigator
  
  Mizuno Shinji
- Project Period (FY)
  2019 – 2021
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 25:Social systems engineering, safety engineering, disaster prevention engineering, and related fields
- Research Institution
  Tokyo Institute of Technology
Deepening optimization modelings for robust data analysisPrincipal Investigator
- Principal Investigator
  
  GOTOH Jun-ya
- Project Period (FY)
  2019 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 25010:Social systems engineering-related
- Research Institution
  Chuo University
Constructions of demand-prediction based strategy and real-time experimental system to accelerate electricity market
- Principal Investigator
  
  Yamada Yuji
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Exploration of integrated approach to data-driven optimization modelsPrincipal Investigator
- Principal Investigator
  
  Gotoh Jun-ya
- Project Period (FY)
  2015 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Chuo University
Research and Development of Decision Making Platform by New Optimization Model
- Principal Investigator
  
  MIZUNO SHINJI
- Project Period (FY)
  2014 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Tokyo Institute of Technology
Construction of management systems for energy portfolios and market risks
- Principal Investigator
  
  Yamada Yuji
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Penalized Optimization Approaches to Control Lower-partial Risk Using Factor ModelPrincipal Investigator
- Principal Investigator
  
  GOTOH Jun-ya
- Project Period (FY)
  2011 – 2014
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Chuo University
資産運用手法と信用リスク計量手法の研究:数理計画法によるアプローチ
- Principal Investigator
  
  今野浩
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Chuo University
The development of online solver having functions of automatic parameter settings for optimization problems
- Principal Investigator
  
  FUJISAWA Katsuki
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Chuo University
A Statistical Learning Analysis to Norm-Constrained Portfolio OptimizationPrincipal Investigator
- Principal Investigator
  
  GOTO Junya
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Chuo University
Development of theoretical foundation and extension on networks
- Principal Investigator
  
  SHIGENO Maiko
- Project Period (FY)
  2007 – 2009
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  University of Tsukuba
Research on Integrated Financial Risk Management Technologies : Integration of Market Risk and Credit Risk
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Chuo University
パラメータの推定誤差を考慮したCVaR最小化に基づく金融リスク制御Principal Investigator
- Principal Investigator
  
  後藤順哉
- Project Period (FY)
  2005 – 2007
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Social systems engineering/Safety system
- Research Institution
  Chuo University
  University of Tsukuba
半正定値計画によるクラスタリング問題の効率的解法と金融リスク分析への応用Principal Investigator
- Principal Investigator
  
  後藤順哉
- Project Period (FY)
  2002 – 2004
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  社会システム工学
- Research Institution
  University of Tsukuba
Optimization of Systems having Uncontrollable Subsystems
- Principal Investigator
  
  YAMAMOTO Yoshitsugu
- Project Period (FY)
  2002 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  社会システム工学
- Research Institution
  University of Tsukuba
Portfolio Models for the Next Generation Fund Management
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  2000 – 2002
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  社会システム工学
- Research Institution
  CHUO UNIVERSITY
  Tokyo Institute of Technology
Quantitative Evaluation of Financial Risk
- Principal Investigator
  
  KONNO Hiroshi
- Project Period (FY)
  1999 – 2001
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  社会システム工学
- Research Institution
  CHUO UNIVERSITY
  Tokyo Institute of Technology

[Book] Excelで学ぶOR2011
- Author(s)
  藤澤克樹、後藤順哉、安井雄一郎
- Total Pages
  310
- Publisher
  オーム社
- Data Source
  KAKENHI-PROJECT-23710176
[Book] 意思決定のための数理モデル入門2011
- Author(s)
  今野浩、後藤順哉
- Total Pages
  157
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-23710176
[Journal Article] Dynamic portfolio selection with linear control policies for coherent risk minimization2023
- Author(s)
  Yuichi Takano, Jun-ya Gotoh
- Journal Title
  
  Operations Research Perspectives
  
  Volume: 10 Pages: 100262-100262
- DOI
  10.1016/j.orp.2022.100262
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K04526, KAKENHI-PROJECT-19H02379, KAKENHI-PROJECT-20K20417
[Journal Article] On the superiority of PGMs to PDCAs in nonsmooth nonconvex sparse regression2021
- Author(s)
  Nakayama Shummin、Gotoh Jun-ya
- Journal Title
  
  Optimization Letters
  
  Volume: － Issue: 8 Pages: 1-30
- DOI
  10.1007/s11590-021-01716-1
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19H00808, KAKENHI-PROJECT-19H02379, KAKENHI-PROJECT-20H00285, KAKENHI-PROJECT-20K11698, KAKENHI-PROJECT-20K14986
[Journal Article] Calibration of Distributionally Robust Empirical Optimization Models2021
- Author(s)
  Gotoh Jun‐ya、Kim Michael Jong、Lim Andrew E. B.
- Journal Title
  
  Operations Research
  
  Volume: － Issue: 5 Pages: 1630-1650
- DOI
  10.1287/opre.2020.2041
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808, KAKENHI-PROJECT-19H02379
[Journal Article] 初到達時間を用いたペアポートフォリオ最適化問題の新定式化2020
- Author(s)
  東出卓朗, 浅井謙輔, 後藤順哉, 藤田岳彦
- Journal Title
  
  日本応用数理学会論文誌
  
  Volume: 30 Pages: 194-225
- NAID
  130007907808
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20H00285
[Journal Article] 初到達時間を用いたペアポートフォリオ最適化問題の新定式化2020
- Author(s)
  東出卓朗、浅井謙輔、後藤順哉、藤田岳彦
- Journal Title
  
  日本応用数理学会論文誌
  
  Volume: 30 Pages: 194-225
- NAID
  130007907808
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19H00808
[Journal Article] CALIBRATION OF DISTRIBUTIONALLY ROBUST EMPIRICAL OPTIMIZATION MODELS2020
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. LIM
- Journal Title
  
  Operations Research
  
  Volume: 印刷中
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] 初到達時間を用いたペアポートフォリオ最適化問題の新定式化2020
- Author(s)
  東出卓朗, 浅井謙輔, 後藤順哉, 藤田岳彦
- Journal Title
  
  日本応用数理学会論文誌
  
  Volume: 30巻 Pages: 194-225
- NAID
  130007907808
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19H02379
[Journal Article] Peer-To-Peer Lending: Classification in the Loan Application Process2018
- Author(s)
  Wei Xinyuan、Gotoh Jun-ya、Uryasev Stan
- Journal Title
  
  Risks
  
  Volume: 6 Issue: 4 Pages: 129-129
- DOI
  10.3390/risks6040129
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833, KAKENHI-PROJECT-26242027, KAKENHI-PROJECT-15K01204
[Journal Article] Robust empirical optimization is almost the same as mean-variance optimization2018
- Author(s)
  Gotoh Jun-ya、Kim Michael Jong、Lim Andrew E.B.
- Journal Title
  
  Operations Research Letters
  
  Volume: 46 Issue: 4 Pages: 448-452
- DOI
  10.1016/j.orl.2018.05.005
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833, KAKENHI-PROJECT-26242027, KAKENHI-PROJECT-15K01204
[Journal Article] DC formulations and algorithms for sparse optimization problems2018
- Author(s)
  Gotoh Jun-ya、Takeda Akiko、Tono Katsuya
- Journal Title
  
  Mathematical Programming
  
  Volume: 169 Issue: 1 Pages: 141-176
- DOI
  10.1007/s10107-017-1181-0
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K01204, KAKENHI-PROJECT-16H01833, KAKENHI-PROJECT-26242027
[Journal Article] Support Vector Machines Based on Convex Risk Functions and General Norms2017
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Journal Title
  
  Annals of Operations Research
  
  Volume: 249 Issue: 1-2 Pages: 301-328
- DOI
  10.1007/s10479-016-2326-x
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833, KAKENHI-PROJECT-15K01204
[Journal Article] Efficient DC Algorithm for Constrained Sparse Optimization2017
- Author(s)
  Tono,K, Takeda,A., and Gotoh,J.
- Journal Title
  
  arXiv:1701.08498 [math.OC]
  
  Volume: 印刷中
- Open Access
- Data Source
  KAKENHI-PROJECT-26242027
[Journal Article] Leaders, Followers, and Equity Risk Premium in Booms and Busts2016
- Author(s)
  Makoto, Goto, Katsumasa, Nishide, Ryuta Takashima
- Journal Title
  
  Journal of Banking & Finance
  
  Volume: Available online 10 October Pages: 1-14
- DOI
  10.1016/j.jbankfin.2016.08.010
- NAID
  120006876266
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833, KAKENHI-PROJECT-25245046, KAKENHI-PROJECT-26242028, KAKENHI-PROJECT-15H02965, KAKENHI-PROJECT-15H02975, KAKENHI-PROJECT-26380390, KAKENHI-PROJECT-15K16290, KAKENHI-PROJECT-17K03797
[Journal Article] CVaR Minimizations in Support Vector Machines2016
- Author(s)
  Gotoh,J., Takeda,A.
- Journal Title
  
  Financial signal processing and machine learning
  
  Volume: 0 Pages: 233-265
- Data Source
  KAKENHI-PROJECT-15K01204
[Journal Article] 媒介変数表現に基づくJEPXスポット電力供給・需要関数の推定2016
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太, 後藤順哉
- Journal Title
  
  ジャフィー・ジャーナル「ファイナンスにおける数値計算手法の新展開」
  
  Volume: 15 Pages: 64-93
- NAID
  120007129149
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] CVaR Minimizations in Support Vector Machines2016
- Author(s)
  Jun-ya Gotoh，Akiko Takeda
- Journal Title
  
  Financial signal processing and machine learning
  
  Volume: 無 Pages: 233-265
- DOI
  10.1002/9781118745540.ch10
- Data Source
  KAKENHI-PROJECT-16H01833
[Journal Article] Two Pairs of Families of Polyhedral Norms Versus l_p-Norms: Proximity and Applications in Optimization2015
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Journal Title
  
  Mathematical Programming (Ser. A)
  
  Volume: 印刷中 Issue: 1-2 Pages: 391-431
- DOI
  10.1007/s10107-015-0899-9
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-23710176, KAKENHI-PROJECT-15K01204, KAKENHI-PROJECT-26242027, KAKENHI-PROJECT-25282087
[Journal Article] Multi-period portfolio selection using kernel-based control policy with dimensionality reduction2014
- Author(s)
  Yuichi Takano, Gotoh Jun-ya
- Journal Title
  
  Expert Systems with Applications
  
  Volume: 41 Issue: 8 Pages: 3901-3914
- DOI
  10.1016/j.eswa.2013.11.043
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-23710176, KAKENHI-PROJECT-25282087, KAKENHI-PROJECT-26242027
[Journal Article] Convex Optimization Approaches to Maximally Predictable Portfolio Selection2014
- Author(s)
  Jun-ya Gotoh, Katsuki Fujisawa
- Journal Title
  
  Optimization
  
  Volume: 63 Issue: 11 Pages: 1713-1735
- DOI
  10.1080/02331934.2012.741237
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-23710176
[Journal Article] ECサイトにおける顧客の閲覧履歴を利用した商品ランキング生成法2014
- Author(s)
  武政孝師、後藤順哉
- Journal Title
  
  オペレーションズ･リサーチ　－経営の科学－
  
  Volume: 59 Pages: 465-471
- NAID
  110009839079
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-23710176
[Journal Article] Interaction between financial risk measures and machine learning methods2014
- Author(s)
  Jun-ya Gotoh, Akiko Takeda, Rei Yamamoto
- Journal Title
  
  Computational Management Science
  
  Volume: 11 Issue: 4 Pages: 365-402
- DOI
  10.1007/s10287-013-0175-5
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-23710176, KAKENHI-PROJECT-25282087
[Journal Article] ECサイトにおける顧客の閲覧履歴を利用した商品ランキング生成法2014
- Author(s)
  武政孝師, 後藤順哉
- Journal Title
  
  オペレーションズ･リサーチ
  
  Volume: 59（8） Pages: 465-471
- NAID
  110009839079
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26242027
[Journal Article] Multi-period portfolio selection using kernel-based control policy with dimensionality reduction2014
- Author(s)
  Takano, Y., Gotoh, J.
- Journal Title
  
  Expert Systems with Applications
  
  Volume: 41 Pages: 3901-3914
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Convex Optimization Approaches to Maximally Predictable Portfolio Selection2014
- Author(s)
  Gotoh,J., Fujisawa,K
- Journal Title
  
  Optimization
  
  Volume: 63 Pages: 1713-1735
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Simultaneous pursuit of out-of-sample performance and sparsity in tracking portfolio2013
- Author(s)
  A.Takeda, M.Niranjan, J.Goto and Y.Kawahara
- Journal Title
  
  Computational Management Science
  
  Volume: Vol.10, No.1 Issue: 1 Pages: 21-49
- DOI
  10.1007/s10287-012-0158-y
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22700147, KAKENHI-PROJECT-23710174, KAKENHI-PROJECT-23710176
[Journal Article] Robust Portfolio Techniques for Mitigating the Fragility of CVaR Minimization and Generalization to Coherent Risk Measures2013
- Author(s)
  J. Gotoh, K. Shinozaki and A. Takeda
- Journal Title
  
  Quantitative Finance
  
  Volume: - Issue: 10 Pages: 1621-1635
- DOI
  10.1080/14697688.2012.738930
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23710174, KAKENHI-PROJECT-23710176
[Journal Article] Investment, capacity choice and outsourcing options under uncertainty2013
- Author(s)
  Makoto Goto, Ryuta Takashima
- Journal Title
  
  International Journal of Real Options and Strategy
  
  Volume: 1 Pages: 17-27
- NAID
  130005001741
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25282087
[Journal Article] Minimizing Loss Probability Bounds for Portfolio Selection2012
- Author(s)
  Jun-ya Gotoh and Akiko Takeda
- Journal Title
  
  European Journal of Operational Research
  
  Volume: 217 Issue: 2 Pages: 371-380
- DOI
  10.1016/j.ejor.2011.09.012
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23710174, KAKENHI-PROJECT-23710176
[Journal Article] 大規模最短路問題に対するダイクストラ法の高速化2011
- Author(s)
  安井雄一郎,藤澤克樹,笹島啓史,後藤和茂
- Journal Title
  
  Transactions of the Operations Research Society of Japan (掲載予定)
- NAID
  110008913792
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20510143
[Journal Article] On the Role of Norm Constraints in Portfolio Selection2011
- Author(s)
  Jun-ya Gotoh and Akiko Takeda
- Journal Title
  
  Computational Management Science
  
  Volume: 8 Issue: 4 Pages: 323-353
- DOI
  10.1007/s10287-011-0130-2
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23710174, KAKENHI-PROJECT-23710176
[Journal Article] 大規模最短路問題に対するダイクストラ法の高速化2011
- Author(s)
  安井雄一郎, 藤澤克樹, 笹島啓史, 後藤和茂
- Journal Title
  
  Transactions of the Operations Research Society of Japan
  
  Volume: 54(In press)
- NAID
  110008913792
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20510143
[Journal Article] A Nonlinear Control Policy Using Kernel Method for Dynamic Asset Allocation2011
- Author(s)
  Takano,Y. and Gotoh,J.
- Journal Title
  
  Journal of the Operations Research of Japan
  
  Volume: 54 Pages: 201-218
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23710176
[Journal Article] Numerical Evaluation of Dynamic Behavior of Ornstein-Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options2011
- Author(s)
  Jun-ya Gotoh, Hui Jin, Ushio Sumita
- Journal Title
  
  Methodology and Computing in Applied Probability 13巻
  
  Pages: 193-219
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Bounding contingent claim prices via hedging strategy with coherent risk measures2011
- Author(s)
  J. Gotoh, Y. Yamamoto and W. Yao
- Journal Title
  
  Journal of Optimization Theory and Applications
  
  Volume: vol.151 No.3 Issue: 3 Pages: 613-632
- DOI
  10.1007/s10957-011-9899-y
- NAID
  120007137378
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22510136, KAKENHI-PROJECT-23710176
[Journal Article] Numerical Evaluation of Dynamic Behavior of Ornstein-Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options2011
- Author(s)
  Jun-ya Gotoh, Hui Jin, Ushio Sumita
- Journal Title
  
  Methodology and Computing in Applied Probability
  
  Volume: 13 Pages: 193-219
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Yuichi Takano, Jun-ya Gotoh2010
- Author(s)
  Yuichi Takano, Jun-ya Gotoh
- Journal Title
  
  Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs Asia-Pacific Financial Markets(掲載決定(印刷中))Online First
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Numerical Evaluation of Dynamic Behavior of Ornstein-Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options2010
- Author(s)
  Gotoh, J., Jin, H., Sumita, U.
- Journal Title
  
  Methodology and Computing in Applied Probability (掲載決定(印刷中))
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Support Vector Regression as Conditional Value-at-Risk Minimization with Application to Financial Time-Series Analysis2010
- Author(s)
  Takeda, A., Gotoh, J., Sugiama, M.
- Journal Title
  
  2010 IEEE International Workshop on Machine Learning for Signal Processing
  
  Pages: 118-123
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs2010
- Author(s)
  Yuichi Takano, Jun-ya Gotoh
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: Online First(掲載決定(印刷中))
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Constant Rebalanced Portfolio Optimization under Nonlinear Transaction Costs2010
- Author(s)
  Takano, Y., Gotoh, J.
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: (Online first) Pages: 191-211
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20510143
[Journal Article] A Robust Portfolio Technique for Mitigating the Fragility of CVaR Minimization2010
- Author(s)
  Gotoh, J., Shinozaki, K.
- Journal Title
  
  Department of Social Systems and Management Discussion Paper Series.Univ.of Tsukuba
  
  Volume: ISE10-03 Pages: 1-15
- Data Source
  KAKENHI-PROJECT-20510143
[Journal Article] Support Vector Regression as Conditional Value-at-Risk Minimization with Application to Financial Time-Series Analysis20102010
- Author(s)
  Akiko Takeda., Jun-ya Gotoh, Masashi Sugiama
- Journal Title
  
  IEEE International Workshop on Machine Learning for Signal Processing
  
  Pages: 118-123
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] On the Role of the Norm Constraint in Portfolio Selection2009
- Author(s)
  Jun-va Gotoh, Akiko Takeda
- Journal Title
  
  Department of Industrial and Systems Engineerin a Discussion Paper Series 03
  
  Pages: 1-23
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Improving the Out-of-Sample Performance via VaR/CVaR Minimization : A Statistical Learning Approach to Portfolio Selection2009
- Author(s)
  後藤順哉, 武田朗子
- Journal Title
  
  統計数理研究所共同研究リポート229「最適化 : モデリングとアルゴリズム」 22
  
  Pages: 36-50
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Improving the Out-of-Sample Performance via VaR/CVaR Minimization: A Statistical Learning Approach to Portfolio Selection2009
- Author(s)
  後藤順哉, 武田朗子
- Journal Title
  
  統計数理研究所共同研究リポート229「最適化:モデリングとアルゴリズム」22巻
  
  Pages: 36-50
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Numerical Evaluation of Dynamic Behavior of Ornstein-Uhlenbeck Processes Modified by Various Boundaries and its Application to Pricing Barrier Options2009
- Author(s)
  J.Gotoh, H.Jin, U.Sumita
- Journal Title
  
  Methodology and Computing in Applied Probability (online first)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20510143
[Journal Article] Constant Rebalanced Portfolio Optimization under Nonlinear Transaction Costs2009
- Author(s)
  Y.Takano, J.Gotoh
- Journal Title
  
  Department of Social Systems and Management Discussion Paper Series.Univ.of Tsukuba 1241
- Data Source
  KAKENHI-PROJECT-20510143
[Journal Article] Bounding European-type Contingent Claim Prices via Hedging Strategy with Coherent Risk Measure2009
- Author(s)
  J.Gotoh, Y.Yamamoto, W.Yao
- Journal Title
  
  Department of Social Systems and Management Discussion Paper Series.Univ.of Tsukuba. 1240
- Data Source
  KAKENHI-PROJECT-20510143
[Journal Article] Conditional Minimum Volume Ellipsoid with Application to Multiclass Discrimination2009
- Author(s)
  Gotoh, J. and A. Takeda
- Journal Title
  
  Computational Optimization and Applications 41
  
  Pages: 27-51
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310109
[Journal Article] Alpha-Conservative Approximation for Probabilistically Constrained Convex Programs2009
- Author(s)
  Gotoh, J. and A. Takeda
- Journal Title
  
  Computational Optimization and Applications (to appear)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310109
[Journal Article] Convex Optimization Approaches to Maximally Predictable Portfolio Selection2009
- Author(s)
  J.Gotoh, K.Fujisawa
- Journal Title
  
  Dept.of Industrial and Systems Engineering Discussion Paper Series.Chuo Univ. ISE09
- Data Source
  KAKENHI-PROJECT-20510143
[Journal Article] Conditional minimum volume ellipsoid with application to multiclass dis crimination2008
- Author(s)
  Jun-va Gotoh, Akiko Takeda
- Journal Title
  
  Computational Optimization and Applications 41
  
  Pages: 27-51
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Conditional minimum volume ellipsoid with application to multiclass discrimination2008
- Author(s)
  Jun-ya Gotoh, Akiko Takeda
- Journal Title
  
  Computational Optimization and Applications 41巻
  
  Pages: 27-51
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Portfolio Learning via VaR/CVaR Minimization2008
- Author(s)
  Jun-va Gotoh, Akiko Takeda
- Journal Title
  
  Department of Industrial and Systems Engineerin a Discussion Paper Series 04
  
  Pages: 1-27
- Data Source
  KAKENHI-PROJECT-20710120
[Journal Article] Newsvendor Solutions via Conditional Value-at-Risk Minimization2007
- Author(s)
  Gotoh, J., Takano, Y.
- Journal Title
  
  European Journal of Operational Research 179
  
  Pages: 80-96
- Data Source
  KAKENHI-PROJECT-17710125
[Journal Article] alpha-Conservative Approximation for Probabilistically Constrained Convex Programs2007
- Author(s)
  Takano, Y.・Gotoh, J.
- Journal Title
  
  Department of Industrial and Systems Engineering Discussion Paper Series No. 07-04
  
  Pages: 1-22
- Data Source
  KAKENHI-PROJECT-17710125
[Journal Article] Newsvendor Solutions via Conditional Value-at-Risk Minimization2007
- Author(s)
  Gotoh, J. and A. Takeda
- Journal Title
  
  European Journal of Operational Research 179
  
  Pages: 80-96
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310109
[Journal Article] A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Reversion and Volatility Functions2007
- Author(s)
  Jin, H.・Gotoh, J.・Sumita, U.
- Journal Title
  
  The Journal of Derivatives 15(1)
  
  Pages: 67-85
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17710125
[Journal Article] A New Approach for Computing Option Prices of the Hull-White Type with Stepwise Perversion and Volatility Functions2007
- Author(s)
  Gotoh, J. and U. Sumita
- Journal Title
  
  The Journal of Derivatives 15
  
  Pages: 67-85
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310109
[Journal Article] Minimal Ellipsoid Circumscribing a Polytope Defined by a System of Linear Inequalities2006
- Author(s)
  Jun-ya Gotoh
- Journal Title
  
  Journal of Global Optimization 34
  
  Pages: 1-14
- Data Source
  KAKENHI-PROJECT-17710125
[Journal Article] Numerical Exploration of Dynamic Behavior of Ornstein -Uhlenbeck Processes via Ehrenfest Process Approximation2006
- Author(s)
  Gotoh, J. and U. Sumita
- Journal Title
  
  Journal of Operations Research Society of Japan 49
  
  Pages: 256-278
- NAID
  110003481655
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310109
[Journal Article] Minimal Ellipsoid Circumscribing a Polytope Defined by a System of Linear Inequalities2006
- Author(s)
  Gotoh, J. and H. Konno
- Journal Title
  
  J. of Global Optimization 34
  
  Pages: 1-14
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18310109
[Journal Article] Numerical Exploration of Dynamic Behavior of the Ornstein-Uhlenbeck Process via Ehrenfest Process Approximation2006
- Author(s)
  Sumita, U, Gotoh, J., Jin, H.
- Journal Title
  
  Journal of Operations Research Society of Japan 49
  
  Pages: 256-278
- NAID
  110003481655
- Data Source
  KAKENHI-PROJECT-17710125
[Journal Article] A Linear Classification Model Based on Conditional Geometric Score2005
- Author(s)
  Jun-ya Gotoh
- Journal Title
  
  Pacific Journal of Optimization 1
  
  Pages: 277-296
- Data Source
  KAKENHI-PROJECT-17710125
[Journal Article] A Linear Classification Model Based on Conditional Geometric Score2005
- Author(s)
  J.Gotoh, A.Takeda
- Journal Title
  
  Pacific Journal of Optimization 1・2(発行予定)
- Data Source
  KAKENHI-PROJECT-14780343
[Journal Article] Global optimization method for solving the minimum maximal flow problem2003
- Author(s)
  J.Gotoh, N.v.Thoai, Y.Yamamoto
- Journal Title
  
  Optimization Methods and Software 18
  
  Pages: 395-415
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14380188
[Journal Article] Global optimization method for solving the minimum maximal flow problem2003
- Author(s)
  J.Gotoh, N.v.Thoai, Y.Yamamoto
- Journal Title
  
  Optimization Methods and Software Vol.18
  
  Pages: 395-415
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14380188
[Presentation] More Practical Results on the Exactness of Trimmed Penalties for Sparse Optimization2022
- Author(s)
  Shotaro Yagishita, Jun-ya Gotoh
- Organizer
  INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] ロバスト最適化モデリング入門2022
- Author(s)
  後藤順哉
- Organizer
  統計数理研究所「連続最適化および関連分野に関する夏季学校2022」
- Invited
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Trimmed l1正則化を用いたイメージレジストレーション2022
- Author(s)
  中山舜民，後藤順哉
- Organizer
  京都大学数理解析研究所研究集会「数理最適化：モデル，理論，アルゴリズム」
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] 刈込l1正則化によるB-スプライン回帰の節点の選択2022
- Author(s)
  柳下翔太郎、後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会 2022年春季研究発表会
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Knot Selection of B-Spline Regression via Trimmed Regularizer2022
- Author(s)
  Shotaro Yagishita, Jun-ya Gotoh
- Organizer
  The 6th RIKEN-IMI-ISM-NUS-ZIB-MODAL-NHR Workshop on Advances in Classical and Quantum Algorithms for Optimization and Machine Learning
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] 刈込l1正則化によるB-スプライン回帰の節点の選択2022
- Author(s)
  柳下翔太郎，後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] 刈込l1正則化によるB-スプライン回帰の節点の選択2022
- Author(s)
  柳下翔太郎，後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Knot Selection of B-Spline Regression via Trimmed Regularizer2022
- Author(s)
  Shotaro Yagishita, Jun-ya Gotoh
- Organizer
  International Conference on Continuous Optimization 2022
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] ランク制約付き問題に対するタイトな緩和問題の性質について2022
- Author(s)
  柳下翔太郎、後藤順哉
- Organizer
  京都大学数理解析研究所研究集会「数理最適化：モデル，理論，アルゴリズム」
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Knot Selection of B-Spline Regression via Trimmed Regularizer2022
- Author(s)
  Shotaro Yagishita, Jun-ya Gotoh
- Organizer
  INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Fitting Models to Data with Trimmed LASSO Penalties2021
- Author(s)
  Jun-ya Gotoh
- Organizer
  1st NUS-Tsukuba Joint-Online-Workshop on Sustainable Management and Data Sciences
- Invited
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Fitting Models to Data with Trimmed LASSO Penalties2021
- Author(s)
  Jun-ya Gotoh
- Organizer
  NUS-Tsukuba Joint-Online-Workshop on “Sustainable Management and Data Sciences”
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] 分布的ロバスト最適化におけるパラメータの選択2021
- Author(s)
  後藤順哉
- Organizer
  数理システムアカデミックコンファレンス FY 2020
- Invited
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] 分布的ロバスト最適化におけるパラメータの選択2021
- Author(s)
  後藤順哉
- Organizer
  数理システムアカデミックコンファレンス FY 2020
- Invited
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] 刈込LASSO罰則を用いたモデル推定と近接勾配型アルゴリズムの適用2021
- Author(s)
  後藤順哉
- Organizer
  2021年度科研費シンポジウム「機械学習システムの社会実装に向けた次世代最適化技法の研究」
- Invited
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] 刈込LASSO 罰則を用いたモデル推定と近接勾配型アルゴリズムの適用2021
- Author(s)
  後藤順哉
- Organizer
  2021年度科研費シンポジウム「機械学習システムの社会実装に向けた次世代最適化技法の研究」
- Invited
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] 刈込LASSO罰則を用いたモデル推定と近接勾配型アルゴリズムの適用2021
- Author(s)
  後藤順哉
- Organizer
  2021年度科研費シンポジウム「機械学習システムの社会実装に向けた次世代最適化技法の研究」
- Invited
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Fitting Models to Data with Trimmed LASSO Penalties2021
- Author(s)
  Jun-ya Gotoh
- Organizer
  NUS-Tsukuba Joint-Online-Workshop on “Sustainable Management and Data Sciences”
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] 分布的ロバスト最適化におけるパラメータの選択2021
- Author(s)
  後藤順哉
- Organizer
  数理システムアカデミックコンファレンス FY 2020
- Invited
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] Dynamic portfolio selection with linear control policies for coherent risk minimization2020
- Author(s)
  Yuichi Takano and Jun-ya Gotoh
- Organizer
  Webinars of Quantitative Finance Program, Stony Brook University
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Continuous Exact Penalty Approach To Grouped Variable Selection In Regression Methods2020
- Author(s)
  Jun-ya Gotoh
- Organizer
  INFORMS Annual Meeting 2020 virtual
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Continuous Exact Penalty Approach To Grouped Variable Selection In Regression Methods2020
- Author(s)
  Jun-ya Gotoh
- Organizer
  INFORMS Annual Meeting 2020 virtual
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] 非凸最適化問題に対する近接勾配法の方向停留点への収束性と近接DCAとの比較2020
- Author(s)
  中山舜民、後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Continuous Exact Penalty Approach To Grouped Variable Selection In Regression Methods2020
- Author(s)
  Jun-ya Gotoh
- Organizer
  2020 INFORMS Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Worst-case Sensitivity2020
- Author(s)
  Jun-ya Gotoh
- Organizer
  Workshop: Uncertainty Management and Machine Learning in Engineering Applications
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] 分布的ロバスト最適化モデリング---解釈と実用への示唆2020
- Author(s)
  後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会関西支部シンポジウム『最適化の理論と応用』
- Invited
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Dynamic portfolio selection with linear control policies for coherent risk minimization2020
- Author(s)
  Yuichi Takano and Jun-ya Gotoh
- Organizer
  Webinars of Quantitative Finance Program, Stony Brook University
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] 非凸最適化問題に対する近接勾配法の方向停留点への収束性と近接DCAとの比較2020
- Author(s)
  中山舜民、後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会 2020年春季研究発表会
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] 分布的ロバスト最適化モデリング---解釈と実用への示唆2020
- Author(s)
  後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会関西支部シンポジウム『最適化の理論と応用』
- Invited
- Data Source
  KAKENHI-PROJECT-20H00285
[Presentation] 分布的ロバスト最適化モデリング---解釈と実用への示唆2020
- Author(s)
  後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会関西支部シンポジウム『最適化の理論と応用』
- Invited
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Worst-case Sensitivity2020
- Author(s)
  Jun-ya Gotoh
- Organizer
  Workshop: Uncertainty Management and Machine Learning in Engineering Applications
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Worst-case Sensitivity2020
- Author(s)
  Jun-ya Gotoh
- Organizer
  Workshop: Uncertainty Management and Machine Learning in Engineering Applications
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Continuous Exact k-Sparse Penalties for Sparse Optimization2019
- Author(s)
  Jun-ya GOTOH, Shummin NAKAYAMA
- Organizer
  International Conference on Continuous Optimization (ICCOPT) 2019 Berlin
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Calibration of distributionally robust empirical optimization models2019
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. Lim
- Organizer
  NACA-ICOTA 2019
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Continuous Exact k-Sparse Penalties for Sparse Optimization2019
- Author(s)
  Jun-ya GOTOH, Shummin NAKAYAMA
- Organizer
  International Conference on Continuous Optimization (ICCOPT) 2019 Berlin
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Sparse Robust Regression with Continuous Exact k-Sparse Penalties2019
- Author(s)
  Jun-ya GOTOH, Shummin NAKAYAMA
- Organizer
  INFORMS Annual Meeting 2019
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Sparse Robust Regression with Continuous Exact k-Sparse Penalties2019
- Author(s)
  Jun-ya GOTOH, Shummin NAKAYAMA
- Organizer
  INFORMS Annual Meeting 2019
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] コヒレントリスク指標に基づくポートフォリオの線形制御政策最適化2019
- Author(s)
  高野祐一, 後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会 2019年春季研究発表会
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] Calibration of distributionally robust empirical optimization models2019
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. Lim
- Organizer
  Workshop on Recent Development in Optimization III
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Calibration of distributionally robust empirical optimization models2019
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. Lim
- Organizer
  NACA-ICOTA 2019
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Calibration of distributionally robust empirical optimization models2019
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. Lim
- Organizer
  NACA-ICOTA 2019
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Calibration of distributionally robust empirical optimization models2019
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. Lim
- Organizer
  Workshop on Recent Development in Optimization III
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] ロバスト最適化モデルの事後的振る舞いについて2019
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. Lim
- Organizer
  科学研究費基盤研究(A)「機械学習システムの社会実装に向けた次世代最適化技法の研究」による2019年度ワークショップ
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] ノイズのない場合のk-疎復元に対する刈込lp 関数を用いた定式化とADMM の適用2019
- Author(s)
  後藤順哉，福田琢巳
- Organizer
  日本オペレーションズ・リサーチ学会2019年春季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] ロバスト最適化モデルの事後的振る舞いについて2019
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. Lim
- Organizer
  科学研究費基盤研究(A)「機械学習システムの社会実装に向けた次世代最適化技法の研究」による2019年度ワークショップ
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] ノイズのない場合のk-疎復元に対するlp関数を用いた定式化とADMM の適用2019
- Author(s)
  後藤順哉，福田琢巳
- Organizer
  日本OR学会2019年度春季研究発表会
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] Sparse Recovery with Continuous Exact k-sparse Penalties2019
- Author(s)
  Jun-ya GOTOH, Takumi FUKUDA
- Organizer
  The PolyU AMA - RIKEN AIP Joint Workshop on Optimization and Machine Learning
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Continuous Exact k-Sparse Penalties for Sparse Optimization2019
- Author(s)
  Jun-ya GOTOH, Shummin NAKAYAMA
- Organizer
  International Conference on Continuous Optimization (ICCOPT) 2019 Berlin
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Sparse Robust Regression with Continuous Exact k-Sparse Penalties2019
- Author(s)
  Jun-ya GOTOH, Shummin NAKAYAMA
- Organizer
  NFORMS Annual Meeting 2019
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] コヒレントリスク指標に基づくポートフォリオの線形制御政策最適化2019
- Author(s)
  高野祐一, 後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会「評価のOR」研究部会
- Invited
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] A New Formulation of Pair's Portfolio Selection with First Passage Time2019
- Author(s)
  Takuo HIGASHIDE, Kensuke ASAI, Jun-ya GOTOH, Takahiko FUJITA
- Organizer
  Workshop: New Ideas in Quantitative Finance
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] A New Formulation of Pair's Portfolio Selection with First Passage Time2019
- Author(s)
  Takuo HIGASHIDE, Kensuke ASAI, Jun-ya GOTOH, Takahiko FUJITA
- Organizer
  Workshop: New Ideas in Quantitative Finance
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] Dynamic portfolio selection with linear control policies for coherent risk minimization2019
- Author(s)
  Yuichi Takano and Jun-ya Gotoh
- Organizer
  INFORMS 2019 Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Sparse Recovery with Continuous Exact k-sparse Penalties2019
- Author(s)
  Jun-ya GOTOH, Takumi FUKUDA
- Organizer
  The PolyU AMA - RIKEN AIP Joint Workshop on Optimization and Machine Learning
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Calibration of distributionally robust empirical optimization models2019
- Author(s)
  Jun-ya GOTOH, Michael J. KIM, Andrew E.B. Lim
- Organizer
  西南交通大学（中国）でのセミナー
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] ノイズのない場合のk-疎復元に対する刈込lp関数を用いた定式化とADMMの適用2019
- Author(s)
  後藤順哉、福田琢巳
- Organizer
  日本オペレーションズリサーチ学会2019年度春季研究発表会
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] Dynamic portfolio selection with linear control policies for coherent risk minimization2019
- Author(s)
  Yuichi Takano and Jun-ya Gotoh
- Organizer
  INFORMS 2019 Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H02379
[Presentation] コヒレントリスク指標に基づくポートフォリオの線形制御政策最適化2019
- Author(s)
  高野祐一, 後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会「評価のOR」研究部会
- Invited
- Data Source
  KAKENHI-PROJECT-19H00808
[Presentation] Out-of-sample analysis of distributionally robust optimization2018
- Author(s)
  Jun-ya Gotoh, Michael J. Kim, Andrew E.B. Lim
- Organizer
  ISMP (International Symposium on Mathematical Programming) 2018 Bordeaux
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Out-of-sample analysis of distributionally robust optimization2018
- Author(s)
  Jun-ya Gotoh, Michael J. Kim, Andrew E.B. Lim
- Organizer
  ISMP (International Symposium on Mathematical Programming) 2018 Bordeaux
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] 平均-分散規準に基づくサポートベクターマシン2018
- Author(s)
  後藤順哉、尾崎裕介
- Organizer
  日本オペレーションズ・リサーチ学会 2018年春季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Constructions of forecast based strategies and real-time experiment systems for electricity trading market2018
- Author(s)
  Yuji Yamada, Setsuya Kurahashi, Nobuyuki Yamaguchi, Naoki Makimoto, Junya Gotoh, Ryuta Takashima
- Organizer
  The 19th International Symposium on Knowledge and Systems Sciences
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 分布的ロバスト最適化の事後分析とパラメータ選択2018
- Author(s)
  後藤順哉、Kim, Michael J.、Lim, Andrew E.B.
- Organizer
  日本オペレーションズリサーチ学会2018年度秋季研究発表会
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] 平均-分散規準に基づくサポートベクターマシン2018
- Author(s)
  後藤順哉, ○尾崎裕介
- Organizer
  日本オペレーションズ・リサーチ学会 2018年度春季研究発表会
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] 分布的ロバスト最適化の事後分析とパラメータ選択2018
- Author(s)
  後藤順哉，Kim Michael Jong，Lim Andrew E.B.
- Organizer
  日本OR学会2018年度秋季研究発表会
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] 平均-分散規準に基づくサポートベクターマシン2018
- Author(s)
  後藤順哉、尾崎裕介
- Organizer
  日本オペレーションズ・リサーチ学会2018年度春季研究発表会
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] 分布的ロバスト最適化の事後分析とパラメータ選択2018
- Author(s)
  後藤順哉，Kim Michael Jong， Lim Andrew E.B.
- Organizer
  日本オペレーションズ・リサーチ学会2018年秋季研究発表会
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Out-of-sample analysis of distributionally robust optimization2018
- Author(s)
  Jun-ya Gotoh, Michael J. Kim, Andrew E.B. Lim
- Organizer
  ISMP (International Symposium on Mathematical Programming) 2018 Bordeaux
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization2017
- Author(s)
  ○Jun-ya Gotoh, Michael J. Kim, Andrew E.B. Lim
- Organizer
  2017 SIAM Conference on Optimization
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] A DC Optimization Approach to Sparse Spline Regression2017
- Author(s)
  Jun-ya Gotoh, Yuichi Misawa
- Organizer
  INFORMS Annual Meeting 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] A DC Optimization Approach to Sparse Spline Regression2017
- Author(s)
  ○Jun-ya Gotoh, Yuichi Misawa
- Organizer
  INFORMS Annual Meeting 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] A DC Optimization Approach to Sparse Spline Regression2017
- Author(s)
  Jun-ya Gotoh, Yuichi Misawa
- Organizer
  INFORMS Annual Meeting 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] DC表現によるスパース・スプライン回帰2017
- Author(s)
  後藤順哉、三澤祐一
- Organizer
  日本オペレーションズ・リサーチ学会 2017年春季研究発表会
- Place of Presentation
  沖縄県市町村自治会館（沖縄県・那覇市）
- Year and Date
  2017-03-17
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] DC表現によるスパース・スプライン回帰2017
- Author(s)
  後藤順哉（三澤祐一）
- Organizer
  日本オペレーションズ・リサーチ学会
- Place of Presentation
  沖縄県市町村自治会館（沖縄県・那覇市）
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] ノルムを用いた最適化モデリング2017
- Author(s)
  後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会 2017年度秋季研究発表会第7回研究賞受賞講演
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization2017
- Author(s)
  Jun-ya Gotoh, Michael J. Kim, Andrew E.B. Lim
- Organizer
  SIAM Optimization Conference 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] DC Formulations and Algorithms for Sparse Optimization Problems2017
- Author(s)
  Gotoh, Jun-ya (Takeda, Akiko; Katsuya, Tono)
- Organizer
  NUS Business School Decision Sciences Department
- Place of Presentation
  シンガポール（シンガポール）
- Year and Date
  2017-03-01
- Invited
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] DC Formulations and Algorithms for Sparse Optimization Problems2017
- Author(s)
  Jun-ya Gotoh, Akiko Takeda, KaKatsuya Tono
- Organizer
  Decision Sciences Department Seminar
- Place of Presentation
  NUS Business School Decision Sciences Department（シンガポール）
- Year and Date
  2017-03-01
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Real Options in Renewable Portfolio Standards2017
- Author(s)
  Makoto Goto, Ryuta Takashima
- Organizer
  IFORS 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] ノルムを用いた最適化モデリング2017
- Author(s)
  後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会 2017年度秋季研究発表会
- Invited
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization2017
- Author(s)
  Jun-ya Gotoh, Michael J. Kim, Andrew E.B. Lim
- Organizer
  SIAM Optimization Conference 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] ノルムを用いた最適化モデリング2017
- Author(s)
  後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会2017年度秋季研究発表会
- Invited
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] DC表現によるスパース・スプライン回帰2017
- Author(s)
  後藤順哉，三澤祐一
- Organizer
  日本オペレーションズ・リサーチ学会
- Place of Presentation
  沖縄県市町村自治会館（沖縄県那覇市）
- Year and Date
  2017-03-17
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] DC Formulations and Algorithms for Sparse Optimization Problems2017
- Author(s)
  Gotoh, Jun-ya (Takeda, Akiko; Katsuya, Tono)
- Organizer
  NUS Business School Decision Sciences Department Seminar
- Place of Presentation
  シンガポール（シンガポール）
- Invited
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] ロバスト最適化 ≈ 平均分散最適化2016
- Author(s)
  Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B
- Organizer
  日本オペレーションズ・リサーチ学会春季研究発表会
- Place of Presentation
  慶應義塾大学矢上キャンパス（神奈川県横浜市）
- Year and Date
  2016-03-18
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Robust Empirical Optimization is Almost the Same as Mean-variance Optimization2016
- Author(s)
  Gotoh, Jun-ya (Kim, Michael J.; Lim, E.B., Andrew)
- Organizer
  INFORMS Annual Meeting 2016
- Place of Presentation
  ナッシュビル（アメリカ合衆国）
- Invited
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] Conditional Value-at-Risk and Its Applications in Optimization2016
- Author(s)
  Gotoh, Jun-ya
- Organizer
  Seminar at Department of Industrial and Systems Engineering, KAIST
- Place of Presentation
  デジョン（韓国）
- Year and Date
  2016-09-04
- Invited
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] 媒介変数表現に基づく供給・需要関数のノンパラメトリック推定とJEPXスポット市場への応用2016
- Author(s)
  山田雄二, 牧本直樹, 高嶋隆太, 後藤順哉
- Organizer
  2015年度JAFEE冬季大会
- Place of Presentation
  慶應義塾大学三田キャンパス北館ホール（東京都港区）
- Year and Date
  2016-01-24
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Real Options in Renewable Portfolio Standards2016
- Author(s)
  Ryuta Takashima, Makoto Goto
- Organizer
  INFORMS Annual Meeting 2016
- Place of Presentation
  ナッシュビル（アメリカ合衆国テネシー州）
- Year and Date
  2016-11-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] Robust Empirical Optimization is Almost the Same as Mean-variance Optimization2016
- Author(s)
  Gotoh, Jun-ya (Kim, Michael J.; Lim, E.B., Andrew)
- Organizer
  INFORMS Annual Meeting 2016
- Place of Presentation
  ナッシュビル（アメリカ合衆国）
- Year and Date
  2016-11-13
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] Robust Empirical Optimization is Almost the Same as Mean-variance2016
- Author(s)
  Jun-ya Gotoh, Michael J. Kim, E.B. Andrew Lim
- Organizer
  INFORMS Annual Meeting 2016
- Place of Presentation
  ナッシュビル（アメリカ合衆国テネシー州）
- Year and Date
  2016-11-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] DC Formulations and Algorithms for Sparse Optimization Problems2016
- Author(s)
  Gotoh, Jun-ya (Takeda, Akiko; Katsuya, Tono)
- Organizer
  Workshop on Risk Management Approaches in Engineering Applications
- Place of Presentation
  ゲインズビル（アメリカ合衆国）
- Year and Date
  2016-11-18
- Invited
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] DC Formulations and Algorithms for Sparse Optimization Problems2016
- Author(s)
  Gotoh, Jun-ya (Takeda, Akiko; Katsuya, Tono)
- Organizer
  Workshop on Risk Management Approaches in Engineering Applications
- Place of Presentation
  ゲインズビル（アメリカ合衆国）
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] Conditional Value-at-Risk and Its Applications in Optimization2016
- Author(s)
  Gotoh, Jun-ya
- Organizer
  Department of Industrial and Systems Engineering, KAIST
- Place of Presentation
  デジョン（韓国）
- Year and Date
  2016-09-04
- Invited
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] ロバスト最適化≒平均分散最適化2016
- Author(s)
  Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
- Organizer
  日本オペレーションズ・リサーチ学会春季研究発表会
- Place of Presentation
  慶應義塾大学矢上キャンパス, 神奈川県横浜市
- Year and Date
  2016-03-18
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] Conditional Value-at-Risk and Its Applications in Optimization2016
- Author(s)
  Jun-ya Gotoh
- Organizer
  Industrial and Systems Engineering Seminar
- Place of Presentation
  Department of Industrial and Systems Engineering, KAIST（韓国デジョン市）
- Year and Date
  2016-09-04
- Invited
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] DC Formulations and Algorithms for Sparse Optimization Problems2016
- Author(s)
  Jun-ya Gotoh, Akiko Takeda, Katsuya Tono
- Organizer
  Workshop on Risk Management Approaches in Engineering Applications
- Place of Presentation
  ゲインズビル（アメリカ合衆国フロリダ州）
- Year and Date
  2016-11-18
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H01833
[Presentation] 地域間送電・分断を考慮した電源構成についての比較2015
- Author(s)
  三澤祐一, 後藤順哉, 山田雄二
- Organizer
  日本オペレーションズ・リサーチ学会2015年秋季研究発表
- Place of Presentation
  九州工業大学戸畑キャンパス（福岡県北九州市）
- Year and Date
  2015-09-10
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Two Perspectives on Robust Empirical Optimization2015
- Author(s)
  Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
- Organizer
  22nd International Symposium on Mathematical Programming
- Place of Presentation
  Pittsburgh, PA（アメリカ）
- Year and Date
  2015-07-15
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] 一般化加法モデルを用いたJEPX入札関数の推定2015
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会　2015年春季研究発表会
- Place of Presentation
  東京理科大学　神楽坂キャンパス（東京都新宿区）
- Year and Date
  2015-03-27
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Robust empirical optimization is almost the same as mean-variance optimization2015
- Author(s)
  Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
- Organizer
  Risk Management Approaches in Engineering Applications Workshop
- Place of Presentation
  Gainesville, FL（アメリカ）
- Year and Date
  2015-11-09
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] Support Vector Machines Based on Convex Risk Functionals and General Norms2015
- Author(s)
  Gotoh, Jun-ya; Uryasev, Stan
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Philadelphia, PA（アメリカ）
- Year and Date
  2015-11-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] Robust empirical optimization is almost the same as mean-variance optimization2015
- Author(s)
  Gotoh, Jun-ya; Kim, Micheal J; Lim Andrew E.B.
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Philadelphia, PA（アメリカ）
- Year and Date
  2015-11-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] 凸リスク関数と任意のノルムを用いたSVMの定式化2015
- Author(s)
  後藤順哉, Stan Uryasev
- Organizer
  日本オペレーションズ・リサーチ学会　2015年春季研究発表会
- Place of Presentation
  東京理科大学　神楽坂キャンパス（東京都新宿区）
- Year and Date
  2015-03-27
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Two Perspectives on Robust Empirical Optimization2015
- Author(s)
  Gotoh, Jun-ya; Kim, Michael J; Lim, Andrew E.B.
- Organizer
  22nd International Symposium on Mathematical Programming
- Place of Presentation
  Pittsburgh, PA（アメリカ）
- Year and Date
  2015-07-15
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] JEPX入札関数の同時推定と連立方程式モデルとの比較2015
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  JAFEE 2014 冬季大会
- Place of Presentation
  筑波大学　東京キャンパス（東京都文京区）
- Year and Date
  2015-01-23
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Support Vector Machines Based on Convex Risk Functionals and General Norms2015
- Author(s)
  Gotoh, Jun-ya; Uryasev, Stan
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Philadelphia, PA（アメリカ）
- Year and Date
  2015-11-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] Two Perspectives on Robust Empirical Optimization2015
- Author(s)
  Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
- Organizer
  22nd International Symposium on Mathematical Programming
- Place of Presentation
  Pittsburgh, PA (USA)
- Year and Date
  2015-07-15
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] 単調な一般化加法モデルの二次錐制約を用いた定式化2015
- Author(s)
  後藤順哉, 山田雄二
- Organizer
  日本オペレーションズ・リサーチ学会2015年秋季研究発表
- Place of Presentation
  九州工業大学戸畑キャンパス（福岡県北九州市）
- Year and Date
  2015-09-11
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Robust empirical optimization is almost the same as mean-variance optimization2015
- Author(s)
  Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Philadelphia, PA (USA)
- Year and Date
  2015-11-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Robust empirical optimization is almost the same as mean-variance optimization2015
- Author(s)
  Gotoh, Jun-ya; Kim, Micha J.; Lim, Andrew E.B
- Organizer
  Risk Management Approaches in Engineering Applications Workshop
- Place of Presentation
  Gainesville, FL (USA)
- Year and Date
  2015-11-09
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Robust empirical optimization is almost the same as mean-variance optimization2015
- Author(s)
  Gotoh, Jun-ya; Kim, Michael J.; Lim, Andrew E.B.
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Philadelphia, PA（アメリカ）
- Year and Date
  2015-11-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K01204
[Presentation] 凸リスク関数と任意のノルムを用いたSVMの定式化2015
- Author(s)
  後藤順哉、Uryasev, Stan
- Organizer
  日本オペレーションズ・リサーチ学会2015年春季研究発表会
- Place of Presentation
  東京理科大学神楽坂キャンパス
- Year and Date
  2015-03-27
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Support Vector Machines Based on Convex Risk Functionals and General Norms2015
- Author(s)
  Gotoh, Jun-ya; Uryasev, Stan
- Organizer
  INFORMS Annual Meeting 2015
- Place of Presentation
  Philadelphia, PA (USA)
- Year and Date
  2015-11-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Support Vector Machines Based on Convex Risk Functional and General Norms2014
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Organizer
  INFORMS Annual Meeting San Francisco 2014
- Place of Presentation
  Hilton San Francisco Union Square & Parc 55 Wyndham San Francisco, San Francisco, California, USA
- Year and Date
  2014-11-12
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] 2組の多面体ノルムとl_pノルム：近さの評価と最適化への応用2014
- Author(s)
  後藤順哉、Uryasev, Stan
- Organizer
  日本オペレーションズ・リサーチ学会2014年秋季研究発表会
- Place of Presentation
  北海道科学大学
- Year and Date
  2014-08-29
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] 一般化加法モデルを用いたJEPX入札関数の推定2014
- Author(s)
  山田雄二, 牧本直樹, 高橋隆太, 後藤順哉
- Organizer
  JAFEE 2014 夏季大会
- Place of Presentation
  成城大学（東京都世田谷区）
- Year and Date
  2014-08-01
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Support vector machines based on convex risk functionals and general norms2014
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Organizer
  The First Pacific Optimization Conference (POC2014)
- Place of Presentation
  Lakeview Park Resort, 中華人民共和国・無錫市
- Year and Date
  2014-11-01
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Support vector machines based on convex risk functionals and general norms2014
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Organizer
  The First Pacific Optimization Conference (POC2014)
- Place of Presentation
  Lakeview Park Resort（中国・無錫市）
- Year and Date
  2014-11-01
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] Support Vector Machines Based on Convex Risk Functional and General Norms2014
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Organizer
  Risk Management Approaches in Engineering Applications Workshop
- Place of Presentation
  Weil Hall, University of Florida, Gainesville, Florida, USA
- Year and Date
  2014-11-14
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Support Vector Machines Based on Convex Risk Functional and General Norms2014
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Organizer
  Risk Management Approaches in Engineering Applications Workshop
- Place of Presentation
  Weil Hall, University of Florida（米国・ゲインズビル）
- Year and Date
  2014-11-14
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] レバレッジドバイアウトにおける負債比率に関するリアルオプションモデル2014
- Author(s)
  岩下晃，高嶋隆太，後藤允，辻村元男
- Organizer
  日本リアルオプション学会2014年研究発表大会
- Place of Presentation
  東洋大学（東京都文京区）
- Year and Date
  2014-11-22
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Support Vector Machines Based on Convex Risk Functional and General Norms2014
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Organizer
  INFORMS Annual Meeting, San Francisco 2014
- Place of Presentation
  Hilton San Francisco Union Square & Parc 55 Wyndham San Francisco（米国・サンフランシスコ）
- Year and Date
  2014-11-12
- Data Source
  KAKENHI-PROJECT-26242027
[Presentation] Support vector machines based on convex risk functionals and general norms2014
- Author(s)
  Jun-ya Gotoh, Stan Uryasev
- Organizer
  SIAM Conference on Optimization
- Place of Presentation
  Town and Country Resort & Convention Center, San Diego, California, USA
- Year and Date
  2014-05-21
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Interaction between Financial Risk Measures and Machine Learning Methods2013
- Author(s)
  Gotoh, J., Uryasev, S.
- Organizer
  INFORMS Annual Meeting 2013
- Place of Presentation
  Minneapolis Convention Center (米国）
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Coherent risk minimization-based SVMs and its application to credit rating2013
- Author(s)
  Gotoh, J., Takeda, A., Yamamoto, R.
- Organizer
  26th European Conference on Operational Research
- Place of Presentation
  Sapienza University of Rome （イタリア）
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] コヒレントリスク尺度最小化に基づくSVMと格付け判別への適用2013
- Author(s)
  後藤順哉、武田朗子、山本零
- Organizer
  日本オペレーションズ・リサーチ学会
- Place of Presentation
  東京大学
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Financial risk minimization-based SVMs and its application2013
- Author(s)
  Gotoh, J., Takeda, A., Yamamoto, R.
- Organizer
  International Conference on Continuous Optimization 2013
- Place of Presentation
  Universidade Nova de Lisboa （ポルトガル）
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Approximation of Euclidean Norm by LP-representable Norms and Applications2013
- Author(s)
  Gotoh, J., Uryasev, S.
- Organizer
  INFORMS Annual Meeting 2013
- Place of Presentation
  Minneapolis Convention Center (米国)
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Interaction between Financial Risk Measures and Machine Learning Methods2013
- Author(s)
  Jun-ya Gotoh, Akiko Takeda, Rei Yamamoto
- Organizer
  INFORMS Annual Meeting
- Place of Presentation
  Minneapolis Convention Center, Minnesota, USA
- Invited
- Data Source
  KAKENHI-PROJECT-25282087
[Presentation] Robust portfolio techniques for coherent risk minimization2012
- Author(s)
  J.Gotoh, K.Shinozaki, A.Takeda
- Organizer
  21st International Symposium on Mathematical Programming (ISMP 2012)
- Place of Presentation
  Technische Universitaet Berlin (Berlin Institute of Technology), Berlin, Germany
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Simultaneous Pursuit of Out-of-sample Performance and Sparsity in Index Tracking Portfolios2012
- Author(s)
  Takeda, A., Niranjan, M., Gotoh J., Kawahara, Y.
- Organizer
  INFORMS Optimization Society Conference 2012
- Place of Presentation
  University of Miami
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Robust Portfolio Techniques for Coherent Risk Minimization2012
- Author(s)
  J.Gotoh, K.Shinozaki, A.Takeda
- Organizer
  INFORMS Annual Meeting
- Place of Presentation
  Phoenix Convention Center and Hyatt Regency Phoenix
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures2011
- Author(s)
  Gotoh, J., Yamamoto, Y., Yao, W.
- Organizer
  INFORMS Annual Meeting
- Place of Presentation
  Charlotte Convention Center
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] CVaR最小化のためのロバスト・ポートフォリオ・モデル2011
- Author(s)
  後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会
- Place of Presentation
  電気通信大学
- Year and Date
  2011-03-18
- Data Source
  KAKENHI-PROJECT-20510143
[Presentation] CVaR最小化の脆弱性を軽減するためのロバストポートフォリオ最適化2011
- Author(s)
  後藤順哉, 篠崎桂太
- Organizer
  日本金融・証券計量・工学学会夏季大会
- Place of Presentation
  慶應義塾大学三田キャンパス
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] CVaR最小化の脆弱性を軽減するためのロバストポートフォリオ最適化2011
- Author(s)
  後藤順哉, 篠崎桂太
- Organizer
  金融工学・数理計量ファイナンスの諸問題 2011(招待講演)
- Place of Presentation
  大阪大学中之島センター
- Data Source
  KAKENHI-PROJECT-23710176
[Presentation] Convex Optimization Approaches for Maximally Predictable Portfolio Selection2010
- Author(s)
  Jun-ya Gotoh, K.Fujisawa
- Organizer
  INFORMS Annual Meeting
- Place of Presentation
  Austin Convention Center
- Year and Date
  2010-11-09
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] A Robust CVaR Portfolio Using Mdel-Based Uncertainty2010
- Author(s)
  J.Gotoh, K.Shinozaki
- Organizer
  INFORMS Annual Meeting
- Place of Presentation
  Austin Convention Center
- Year and Date
  2010-11-09
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] 決定係数最大化ポートフォリオ選択に対する凸最適化アプローチ2010
- Author(s)
  後藤順哉
- Organizer
  日本オペレーションズ・リサーチ学会
- Place of Presentation
  首都大学東京
- Year and Date
  2010-03-05
- Data Source
  KAKENHI-PROJECT-20510143
[Presentation] A Robust CVaR Portfolio Using Model-Based Uncertainty2010
- Author(s)
  Jun-ya Gotoh, K.Shinozaki
- Organizer
  INFORMS Annual Meeting
- Place of Presentation
  Austin Convention Center
- Year and Date
  2010-11-09
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] Convex Optimization Approaches for Maximally Predictable Portfolio Selection2010
- Author(s)
  Gotoh, J., Fujisawa, K
- Organizer
  INFORMS Annual Meeting 2010
- Place of Presentation
  Austin(アメリカ合衆国)
- Year and Date
  2010-11-09
- Data Source
  KAKENHI-PROJECT-21310096
[Presentation] On the Role of Norm Constraints in Portfolio Selection2009
- Author(s)
  Jun-ya Gotoh, A.Takeda
- Organizer
  20^<th> International Symposium on Mathematical Programming
- Place of Presentation
  The University of Chicago, Booth School of Business(米国)
- Year and Date
  2009-08-24
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] ポートフォリオ最適化におけるノルム制約2009
- Author(s)
  後藤順哉, 武田朗子
- Organizer
  日本オペレーションズ・リサーチ学会春季発表会
- Place of Presentation
  筑波大学春日キャンパス(茨城)
- Year and Date
  2009-03-18
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] ポートフォリオ最適化におけるノルム制約の役割2009
- Author(s)
  後藤順哉, 武田朗子
- Organizer
  について研究集会「最適化:モデリングとアルゴリズム」
- Place of Presentation
  統計数理研究所(東京)
- Year and Date
  2009-03-25
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] 半正定値計画問題に対するソフトウェア開発で用いられる新技術について2009
- Author(s)
  藤澤克樹, 後藤和茂, 中田真秀, 高宮安仁, 山下真
- Organizer
  21世紀の数理計画:アルゴリズムとモデリング, 京都大学数理解析研究所研究集会
- Place of Presentation
  京都大学
- Year and Date
  2009-07-22
- Data Source
  KAKENHI-PROJECT-20510143
[Presentation] ノルム制約を課したCVaR偏差最小化トラッキング・ポートフォリオ2009
- Author(s)
  後藤順哉, 武田朗子
- Organizer
  日本金融・証券計量・工学学会夏季大会
- Place of Presentation
  法政大学、市ヶ谷(東京都)
- Year and Date
  2009-07-30
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] On the Role of Norm Constraints in Portfolio Selection2009
- Author(s)
  Jun-ya Gotoh, A.Takeda
- Organizer
  INFORMS Annual Meeting
- Place of Presentation
  Hilton San Diego Bayfront(米国)
- Year and Date
  2009-10-12
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] ポートフォリオ最適化におけるノルム制約の役割について2009
- Author(s)
  後藤順哉, 武田朗子
- Organizer
  研究集会「最適化 : モデリングとアルゴリズム」
- Place of Presentation
  統計数理研究所(東京)
- Year and Date
  2009-03-25
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] Portfolio Learning via VaR/CVaR Minimization2008
- Author(s)
  後藤順哉, 武田朗子
- Organizer
  研究集会「最適化:モデリングとアルゴリズム」
- Place of Presentation
  統計数理研究所(港区,東京)
- Year and Date
  2008-03-18
- Data Source
  KAKENHI-PROJECT-17710125
[Presentation] 汎化理論に基づくVaR/CVaR最小化ポートフォリオ選択モデル2008
- Author(s)
  後藤順哉, 武田朗子
- Organizer
  日本オペレーションズ・リサーチ学会秋季発表会
- Place of Presentation
  札幌コンベンションセンター(北海道)
- Year and Date
  2008-09-11
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] Improving Portfolio Performance via VaR/CVaR Minimization : A Statistic al Learning Approach2008
- Author(s)
  Jun-va Gotoh, Akiko Takeda
- Organizer
  INFORMS Annual Meeting 2008
- Place of Presentation
  Marhott Wardman Park Hotel(ワシントンD. C., 米国)
- Year and Date
  2008-10-12
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] 汎化理論に基づくVaR/cvaR最小化ポートフォリオ選択モデル2008
- Author(s)
  後藤順哉, 武田朗子
- Organizer
  日本オペレーションズ・リサーチ学会秋季発表会
- Place of Presentation
  札幌コンベンションセンター(北海道)
- Year and Date
  2008-09-11
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] Improving the Out-of-Sample Performance via VaR/CVaR Minimization : A Statistical Learning Approach to Portfolio Selection2008
- Author(s)
  J. Gotoh
- Organizer
  The 4th Sino-Japanese Optimization Meeting August 27-August 31, 2008
- Place of Presentation
  NCKU, Tainan, Taiwan
- Year and Date
  2008-08-27
- Data Source
  KAKENHI-PROJECT-20510143
[Presentation] Improving Portfolio Performance via VaR/CVaR Minimization: A Statistical Learning Approach2008
- Author(s)
  Jun-ya Gotoh, Akiko Takeda
- Organizer
  INFORMS Annual Meeting 2008
- Place of Presentation
  Marriott Wardman Park Hotel(ワシントンD.C.,米国)
- Year and Date
  2008-10-12
- Data Source
  KAKENHI-PROJECT-20710120
[Presentation] A Conservative Approximation Approach to a Chance-Constrained Convex Program with Application to the Value-at-Risk Minimization2007
- Author(s)
  Takano, Y & Gotoh, J
- Organizer
  Second Mathematical Programming Society International Conference on Continuous Optimization (ICCOPT II & MOPTA-07)
- Place of Presentation
  McMaster University, Hamilton, Canada
- Year and Date
  2007-08-15
- Data Source
  KAKENHI-PROJECT-17710125

1. 高野祐一 (40602959)

# of Collaborated Projects: 5 results

# of Collaborated Products: 8 results
2. KONNO Hiroshi (10015969)

# of Collaborated Projects: 4 results

# of Collaborated Products: 1 results
3. FUJISAWA Katsuki (40303854)

# of Collaborated Projects: 3 results

# of Collaborated Products: 4 results
4. Yamada Yuji (50344859)

# of Collaborated Projects: 3 results

# of Collaborated Products: 8 results
5. MIZUNO SHINJI (90174036)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
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# of Collaborated Projects: 3 results

# of Collaborated Products: 6 results
7. 高嶋隆太 (50401138)

# of Collaborated Projects: 3 results

# of Collaborated Products: 8 results
8. SHIGENO Maiko (40272687)

# of Collaborated Projects: 2 results

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9. YAMAMOTO Yoshitsugu (00119033)

# of Collaborated Projects: 2 results

# of Collaborated Products: 3 results
10. YOSHISE Akiko (50234472)

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11. HACHIMORI Masahiro (00344862)

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12. WATANABE Norio (10182940)

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13. KAMAKURA Toshinari (40150031)

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14. UNO Takeaki (00302977)

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17. 鮭川矩義 (20757710)

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18. 倉橋節也 (40431663)

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19. 山口順之 (50371224)

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20. IWATA Satoru (00263161)

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21. NONOBE Koji (40324678)

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22. UMETANI Syunji (80367820)

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23. SATO-ILIC Mika (60269214)

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24. 水谷友彦 (00553984)

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25. 松井知己 (30270888)

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26. 二宮祥一 (70313377)

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27. 白川浩 (10216187)

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28. 比嘉邦彦 (50282877)

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# of Collaborated Products: 0 results
31. 田中謙司 (40431788)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
32. 松本拓史 (60883163)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
33. kojima Masakazu

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
34. TAKEDA Akiko

# of Collaborated Projects: 1 results

# of Collaborated Products: 7 results
35. TONO Katsuya

# of Collaborated Projects: 1 results

# of Collaborated Products: 3 results
36. URYASEV Stan

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
37. LIM Andrew E. B.

# of Collaborated Projects: 1 results

# of Collaborated Products: 8 results
38. KIM Michael J.

# of Collaborated Projects: 1 results

# of Collaborated Products: 8 results
39. KAWAHARA Yoshinobu

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results

GOTOH Junya 後藤 順哉

後藤 純哉 ゴトウ ジュンヤ

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2種類のロバスト性を統合したデータ駆動意思決定モデルの構築Principal Investigator

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Deepening optimization modelings for robust data analysisPrincipal Investigator

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Exploration of integrated approach to data-driven optimization modelsPrincipal Investigator

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Penalized Optimization Approaches to Control Lower-partial Risk Using Factor ModelPrincipal Investigator

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A Statistical Learning Analysis to Norm-Constrained Portfolio OptimizationPrincipal Investigator

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GOTOH Junya 後藤順哉

後藤純哉ゴトウジュンヤ