Ban, Gah‐Yi; Rudin, Cynthia - 2019
regularization, and an algorithm based on Kernel-weights Optimization (KO). The ERM approaches, equivalent to high …-dimensional quantile regression, can be solved by convex optimization problems and the KO approach by a sorting algorithm. We analytically … benchmark by 23% and 24% respectively in the out-of-sample cost, and (ii) the best KO algorithm is faster than the best ERM …