Enzo Busseti
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Researcher in Applied Mathematics. https://stanford.edu/~ebusseti Contacts:
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Publications
N. Moehle, E. Busseti, S. Boyd, and M. Wytock. Large Scale Optimization in Supply Chains and Smart Manufacturing, chapter Dynamic energy management. Springer, 2019.
A. Agrawal, S. Barratt, S. Boyd, E. Busseti, and W. Moursi. Differentiating through a conic program. Journal of Applied and Numerical Optimization, 1(2):107–115, 2019. Special issue on recent developments in deterministic and stochastic numerical optimization, dedicated to Professor Boris Polyak.
E. Busseti, W. Moursi, and S. Boyd. Solution refinement at regular points of conic problems. Computational Optimization and Applications, 74:627– 643, 2019.
S. Boyd, E. Busseti, S. Diamond, R. Kahn, K. Koh, P. Nystrup, and J. Speth. Multi-period trading via convex optimization. Foundations and Trends in Optimization, 3(1):1–76, 2017.
E. Busseti, E. Ryu, and S. Boyd. Risk-constrained Kelly gambling. Journal of Investing, 25(3):118–134, 2016.
E. Busseti and F. Lillo. Calibration and optimal execution of financial transactions in the presence of transient market impact. Journal of Statistical Mechanics: Theory and Experiment, 9:09010–09037, 2012.
Open-Source Software
cvxportfolio, trading simulator and optimizer of financial portfolios
cvxpower, power flow simulator and optimizer of smart grids
cpr, iterative refiner of convex cone programs
Technical Reports
E. Busseti. Seasonally-adjusted auto-regression of vector time series. Stanford University, 2019.
E. Busseti, H. Javadi, and R. Takapoui. Douglas-Rachford splitting for cardinality constrained quadratic programming. Stanford University, 2015.
E. Busseti, I. Osband, and S. Wong. Deep learning for time series modeling. Stanford University, 2012.