Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization (Q1639718): Difference between revisions

Latest revision as of 22:33, 15 July 2024

scientific article

Language	Label	Description	Also known as
English	Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization	scientific article

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instance of

scholarly article

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title

Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization (English)

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zbMATH Open document ID

1418.90252

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DOI

10.1007/s10589-018-9985-2

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Computational Optimization and Applications

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publication date

13 June 2018

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full work available at URL

https://arxiv.org/abs/1703.10637

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Mathematics Subject Classification ID

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cardinality constraints

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regularization method

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Scholtes regularization

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strong stationarity

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sparse portfolio optimization

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robust portfolio optimization

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describes a project that uses

SNOPT

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Gurobi

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MaRDI profile type

MaRDI publication profile

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Nonlinear chance constrained problems: optimality conditions, regularization and solvers

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Coherent Measures of Risk

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Sparsity Constrained Nonlinear Optimization: Optimality Conditions and Algorithms

0 references

Algorithm for cardinality-constrained quadratic optimization

0 references

Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach

0 references

Computational study of a family of mixed-integer quadratic programming problems

0 references

An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints

0 references

An improved branch and bound algorithm for mixed integer nonlinear programs

0 references

Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

0 references

Mathematical Programs with Cardinality Constraints: Reformulation by Complementarity-Type Conditions and a Regularization Method

0 references

Constraint qualifications and optimality conditions for optimization problems with cardinality constraints

0 references

A new method for mean-variance portfolio optimization with cardinality constraints

0 references

Heuristics for cardinality constrained portfolio optimization

0 references

Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection

0 references

Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems

0 references

A two-sided relaxation scheme for Mathematical Programs with Equilibrium Constraints

0 references

A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

0 references

Portfolio Selection with Robust Estimation

0 references

A concave optimization-based approach for sparse portfolio selection

0 references

Benchmarking optimization software with performance profiles.

0 references

Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

0 references

Robust portfolios: contributions from operations research and finance

0 references

Constructing optimal sparse portfolios using regularization methods

0 references

SDP diagonalizations and perspective cuts for a class of nonseparable MIQP

0 references

Optimal Cardinality Constrained Portfolio Selection

0 references

SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization

0 references

Robust Portfolio Selection Problems

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Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

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Theoretical and numerical comparison of relaxation methods for mathematical programs with complementarity constraints

0 references

A New Regularization Scheme for Mathematical Programs with Complementarity Constraints

0 references

A New Regularization Method for Mathematical Programs with Complementarity Constraints with Strong Convergence Properties

0 references

The Price of Inexactness: Convergence Properties of Relaxation Methods for Mathematical Programs with Complementarity Constraints Revisited

0 references

Recent developments in robust portfolios with a worst-case approach

0 references

Stochastic Dominance

0 references

A modified relaxation scheme for mathematical programs with complementarity constraints

0 references

Mathematical Programs with Equilibrium Constraints

0 references

A local relaxation method for the cardinality constrained portfolio optimization problem

0 references

Nonsmooth approach to optimization problems with equilibrium constraints. Theory, applications and numerical results

0 references

Computational aspects of a branch and bound algorithm for quadratic zero- one programming

0 references

Ambiguity in portfolio selection

0 references

Robust Mean-Covariance Solutions for Stochastic Optimization

0 references

Optimization Problems with Cardinality Constraints

0 references

Convergence Properties of a Regularization Scheme for Mathematical Programs with Complementarity Constraints

0 references

Lagrangian relaxation procedure for cardinality-constrained portfolio optimization

0 references

A New Relaxation Scheme for Mathematical Programs with Equilibrium Constraints

0 references

Recent advances in mathematical programming with semi-continuous variables and cardinality constraint

0 references

Robust asset allocation

0 references

Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1639718

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@@ Property / arXiv ID @@
+.10637
@@ Property / arXiv ID: 1703.10637 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonlinear chance constrained problems: optimality conditions, regularization and solvers
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Sparsity Constrained Nonlinear Optimization: Optimality Conditions and Algorithms
+Normal rank
@@ Property / cites work @@
+Algorithm for cardinality-constrained quadratic optimization
+Normal rank
@@ Property / cites work @@
+Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
+Normal rank
@@ Property / cites work @@
+Computational study of a family of mixed-integer quadratic programming problems
+Normal rank
@@ Property / cites work @@
+An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
+Normal rank
@@ Property / cites work @@
+An improved branch and bound algorithm for mixed integer nonlinear programs
+Normal rank
@@ Property / cites work @@
+Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
+Normal rank
@@ Property / cites work @@
+Mathematical Programs with Cardinality Constraints: Reformulation by Complementarity-Type Conditions and a Regularization Method
+Normal rank
@@ Property / cites work @@
+Constraint qualifications and optimality conditions for optimization problems with cardinality constraints
+Normal rank
@@ Property / cites work @@
+A new method for mean-variance portfolio optimization with cardinality constraints
+Normal rank
@@ Property / cites work @@
+Heuristics for cardinality constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
+Normal rank
@@ Property / cites work @@
+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
+Normal rank
@@ Property / cites work @@
+A two-sided relaxation scheme for Mathematical Programs with Equilibrium Constraints
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Robust Estimation
@@ Property / cites work: Portfolio Selection with Robust Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+A concave optimization-based approach for sparse portfolio selection
+Normal rank
@@ Property / cites work @@
+Benchmarking optimization software with performance profiles.
+Normal rank
@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
+Normal rank
@@ Property / cites work @@
+Robust portfolios: contributions from operations research and finance
+Normal rank
@@ Property / cites work @@
+Constructing optimal sparse portfolios using regularization methods
+Normal rank
@@ Property / cites work @@
+SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
+Normal rank
@@ Property / cites work @@
+Optimal Cardinality Constrained Portfolio Selection
+Normal rank
@@ Property / cites work @@
+SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
+Normal rank
@@ Property / cites work @@
+Theoretical and numerical comparison of relaxation methods for mathematical programs with complementarity constraints
+Normal rank
@@ Property / cites work @@
+A New Regularization Scheme for Mathematical Programs with Complementarity Constraints
+Normal rank
@@ Property / cites work @@
+A New Regularization Method for Mathematical Programs with Complementarity Constraints with Strong Convergence Properties
+Normal rank
@@ Property / cites work @@
+The Price of Inexactness: Convergence Properties of Relaxation Methods for Mathematical Programs with Complementarity Constraints Revisited
+Normal rank
@@ Property / cites work @@
+Recent developments in robust portfolios with a worst-case approach
+Normal rank
@@ Property / cites work @@
+Stochastic Dominance
@@ Property / cites work: Stochastic Dominance / rank @@
+Normal rank
@@ Property / cites work @@
+A modified relaxation scheme for mathematical programs with complementarity constraints
+Normal rank
@@ Property / cites work @@
+Mathematical Programs with Equilibrium Constraints
+Normal rank
@@ Property / cites work @@
+A local relaxation method for the cardinality constrained portfolio optimization problem
+Normal rank
@@ Property / cites work @@
+Nonsmooth approach to optimization problems with equilibrium constraints. Theory, applications and numerical results
+Normal rank
@@ Property / cites work @@
+Computational aspects of a branch and bound algorithm for quadratic zero- one programming
+Normal rank
@@ Property / cites work @@
+Ambiguity in portfolio selection
@@ Property / cites work: Ambiguity in portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Mean-Covariance Solutions for Stochastic Optimization
+Normal rank
@@ Property / cites work @@
+Optimization Problems with Cardinality Constraints
+Normal rank
@@ Property / cites work @@
+Convergence Properties of a Regularization Scheme for Mathematical Programs with Complementarity Constraints
+Normal rank
@@ Property / cites work @@
+Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+A New Relaxation Scheme for Mathematical Programs with Equilibrium Constraints
+Normal rank
@@ Property / cites work @@
+Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
+Normal rank
@@ Property / cites work @@
+Robust asset allocation
@@ Property / cites work: Robust asset allocation / rank @@
+Normal rank
@@ Property / cites work @@
+Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
+Normal rank