Eric Sager Luxenberg



Packard 243

350 Serra Mall

Stanford, CA 94305

I am a fourth 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.


Apr 1, 2024 I am excited to share a new pre-print, Exponentially Weighted Moving Models.
Jan 1, 2024 Our paper on Disciplined Saddle Programming (DSP) was accepted in TMLR! The package is available on GitHub.
Sep 15, 2023 I am excited to be joining Gridmatic after my PhD as a research scientist, working on convex optimization and its applications to the renewable power grid.
Oct 20, 2022 Made a website! :sparkles: :smile:

selected publications

  1. Exponentially Weighted Moving Models
    Eric Luxenberg, and Stephen Boyd
  2. Disciplined Saddle Programming
    Philipp Schiele, Eric Luxenberg, and Stephen P. Boyd
    Transactions on Machine Learning Research 2024
  3. Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
    Eric Luxenberg, Philipp Schiele, and Stephen Boyd
    To appear, Journal of Optimization Theory and Applications, 2024. 2024
  4. Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
    Eric Luxenberg, Philipp Schiele, and Stephen Boyd
    Computational Economics 2024
  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