15,647 reputation
13282
bio website linkedin.com/in/crntaylor
location London, United Kingdom
age 30
visits member for 3 years, 9 months
seen yesterday

I'm broadly interested in very applied math. I try to apply ideas from mathematics, statistics, machine learning, formal systems and computer science to solve real-world problems. Mostly in applied finance/quantitative trading, but in other areas if the mood takes me.


The following is for my own use, but feel free to borrow it -

Hi. It looks like you are new here. We are generally very willing to help, but we like users to show the work that they've done towards solving the problem on their own first. If you can edit your question to show the code you've written so far, and where you are stuck, then you will get a much better response.


Sep
11
comment Pseudo Proofs that are intuitively reasonable
@MJD Yes, good to mention the Andreas Blass paper too. I'm not sure whether I knew about it or not when I wrote this answer. If I did, then it was surely an oversight.
Sep
11
awarded  Nice Answer
Sep
10
awarded  Nice Answer
Sep
10
revised Why do we use a Least Squares fit?
deleted 116 characters in body
Aug
7
comment Coordinate descent with constraints
Thanks Michael!
Aug
7
accepted Coordinate descent with constraints
Aug
6
comment Coordinate descent with constraints
Thanks for this answer Michael. Is it easy to see that when dealing with coordinate-wise bounds, thresholding to $l_i\leq x_i\leq u_i$ at each step results in the global minimizer for the problem I posed (convex function with separable non-smooth constraints and coordinate-wise bounds)?
Aug
5
asked Coordinate descent with constraints
Aug
1
comment What are some conceptualizations that work in mathematics but are not strictly true?
@BCLC a physicist would say $f(r,\theta)=r^2$ whereas a mathematician would say $f(r,\theta)=r^2+\theta^2$.
Jul
29
awarded  Good Answer
Jul
29
awarded  Good Answer
Jul
29
revised Interview puzzle with a deck of cards, some cards upside-down
deleted 7 characters in body
Jul
28
awarded  Nice Answer
Jul
28
comment Interview puzzle with a deck of cards, some cards upside-down
@Wonder Yes, it is the same answer (+1) - I saw that another answer appeared just as I was finishing mine, but since I'd already written it I hit 'post' anyway.
Jul
28
answered Interview puzzle with a deck of cards, some cards upside-down
Jul
18
comment What numerical methods are known to solve $L_1$ regularized quadratic programming problems?
I'll certainly give it a shot. I've already tried several general-purpose solvers (open source and commercial) which have been okay, but not as fast as a couple of hand-rolled special-purpose solvers. I've not tried CVX yet though...
Jul
18
accepted What numerical methods are known to solve $L_1$ regularized quadratic programming problems?
Jul
18
comment What numerical methods are known to solve $L_1$ regularized quadratic programming problems?
Thanks Michael, this is really helpful - I'm exploring several different options you suggested. I never have to solve a particularly tricky problem (mostly quadratic programming with an $L_1$ term and sometimes linear inequality constraints) but I need to solve a lot of them, so speed is a factor for me. Thanks for your help!
Jul
16
asked What numerical methods are known to solve $L_1$ regularized quadratic programming problems?
Jul
9
revised online estimation of autoregressive process
added 1 character in body