Eric Sager Luxenberg

ericlux@stanford.edu

prof_pic.jpg

Office:

Packard 243

350 Serra Mall

Stanford, CA 94305

I am a third year PhD student in the Electrical Engineering department at Stanford University, advised by Professor Stephen Boyd. I am broadly interested in convex optimization algorithms and applications to control, machine learning, and finance. In my free time I like to cook for my friends and family, and occasionally try to move heavy objects.

news

Feb 1, 2023 We published a preprint of our paper on Disciplined Saddle Programming (DSP). The package is available on GitHub.
Oct 20, 2022 Made a website! :sparkles: :smile:

selected publications

  1. Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY
    Eric Luxenberg, Dhruv Malik, Yuanzhi Li, and 2 more authors
    arXiv preprint arXiv:2306.05649 2023
  2. Disciplined Saddle Programming
    Philipp Schiele*, Eric Luxenberg*, and Stephen Boyd
    arXiv preprint arXiv:2301.13427 2023
  3. Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
    Eric Luxenberg, Philipp Schiele, and Stephen Boyd
    arXiv preprint arXiv:2212.02570 2022
  4. Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
    Eric Luxenberg, Philipp Schiele, and Stephen Boyd
    arXiv preprint arXiv:2209.03461 2022
  5. Strategic Asset Allocation with Illiquid Alternatives
    Eric Luxenberg, Stephen Boyd, Misha Beek, and 2 more authors
    In Proceedings of the Third ACM International Conference on AI in Finance 2022