Posted on Categories Mathematics, Quantitative FinanceTags , , ,

Fast Portfolio re-Balancing as a Fractional Linear Program

Fast Portfolio re-Balancing as a Fractional Linear Program is an example of the kind of work we have done encoding client problems (in this case optimal portfolio selection) as optimization problems (so we can use purchased software to solve them). Its a bit mathy- but we are excited we got permission to share this. Continue reading Fast Portfolio re-Balancing as a Fractional Linear Program

Posted on Categories Computer Science, Expository Writing, MathematicsTags , , , , , , , , 1 Comment on What Did Theorists Do Before The Age Of Big Data?

What Did Theorists Do Before The Age Of Big Data?

We have been living in the age of “big data” for some time now. This is an age where incredible things can be accomplished through the effective application of statistics and machine learning at large scale (for example see: “The Unreasonable Effectiveness of Data” Alon Halevy, Peter Norvig, Fernando Pereira, IEEE Intelligent Systems (2009)). But I have gotten to thinking about the period before this. The period before we had easy access to so much data, before most computation was aggregation and before we accepted numerical analysis style convergence as “efficient.” A small problem I needed to solve (as part of a bigger project) reminded me what theoretical computer scientists did then: we worried about provable worst case efficiency.

Continue reading What Did Theorists Do Before The Age Of Big Data?

Posted on Categories Applications, Coding, Exciting Techniques, math programming, Mathematics, Programming, TutorialsTags , , , , , ,

Gradients via Reverse Accumulation

We extend the ideas of from Automatic Differentiation with Scala to include the reverse accumulation. Reverse accumulation is a non-obvious improvement to automatic differentiation that can in many cases vastly speed up calculations of gradients. Continue reading Gradients via Reverse Accumulation

Posted on Categories Applications, Coding, Computer Science, Exciting Techniques, Mathematics, Programming, TutorialsTags , , , , , , , 5 Comments on Automatic Differentiation with Scala

Automatic Differentiation with Scala

This article is a worked-out exercise in applying the Scala type system to solve a small scale optimization problem. For this article we supply complete Scala source code (under a GPLv3 license) and some design discussion. Continue reading Automatic Differentiation with Scala

Posted on Categories Computers, Opinion, Programming, TutorialsTags , , , , , , , , , , 2 Comments on Must Have Software

Must Have Software

Having worked with Unix (BSD, HPUX, IRIX, Linux and OSX), Windows (NT4, 2000, XP, Vista and 7) for quite a while I have seen a lot of different software tools. I would like to quickly exhibit my “must have” list. These are the packages that I find to be the single “must have offerings” in a number of categories. I have avoided some categories (such as editors, email programs, programing language, IDEs, photo editors, backup solutions, databases, database tools and web tools) where I have no feeling of having seen a single absolute best offering.

The spirit of the list is to pick items such that: if you disagree with an item in this list then either you are wrong or you know something I would really like to hear about.

Continue reading Must Have Software

Posted on Categories MathematicsTags ,

Algorithmic Movie (with texture)

We would like to share a new algorithmic movie we have created.

Since the mid 90’s we have been dabbling off and on with a combination of algorithmic and genetic art (see: What is “Genetic Art?” or try running the Java code directly in your browser). Every once in a while we return to the project and generate something we would like to share.

Continue reading Algorithmic Movie (with texture)

Posted on Categories History, StatisticsTags , , , , , ,

Deming, Wald and Boyd: cutting through the fog of analytics

This article is a quick appreciation of some of the statistical, analytic and philosphic techniques of Deming, Wald and Boyd. Many of these techniques have become pillars of modern industry through the sciences of statistics and operations research.
Continue reading Deming, Wald and Boyd: cutting through the fog of analytics

Posted on Categories Coding, Rants, StatisticsTags , , , 10 Comments on R annoyances

R annoyances

Readers returning to our blog will know that Win-Vector LLC is fairly “pro-R.” You can take that to mean “in favor or R” or “professionally using R” (both statements are true). Some days we really don’t feel that way. Continue reading R annoyances

Posted on Categories Coding, Computer Science, RantsTags , , ,

Postel’s Law: Not Sure Who To Be Angry With

One of my research interests is finding the principles that underly the management of information, complexity and uncertainty. When something as simple as a web-form is called “technology” it is time to step back and examine your principles. One principle I am not sure about Postel’s law. It doesn’t hold often enough to be relied on and when it fails I am not sure who to be angry with. Continue reading Postel’s Law: Not Sure Who To Be Angry With