An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems (Q5060779): Difference between revisions

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scientific article; zbMATH DE number 7640776

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English	An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems	scientific article; zbMATH DE number 7640776

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instance of

scholarly article

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title

An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems (English)

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published in

INFORMS Journal on Computing

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publication date

11 January 2023

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zbMATH Keywords

cardinality constraints

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alternating direction methods

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penalty methods

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best subset selection

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portfolio optimization

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describes a project that uses

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full work available at URL

https://doi.org/10.1287/ijoc.2022.1211

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A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes

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Identifiers

Mathematics Subject Classification ID

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10.1287/IJOC.2022.1211

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Sitelinks

Mathematics(1 entry)

mardi Publication:5060779

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