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

Language	Label	Description	Also known as
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

Statements

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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cites work

A strong conic quadratic reformulation for machine-job assignment with controllable processing times

0 references

Strong formulations for quadratic optimization with M-matrices and indicator variables

0 references

On handling indicator constraints in mixed integer programming

0 references

Characterization of the equivalence of robustification and regularization in linear and matrix regression

0 references

Sparse high-dimensional regression: exact scalable algorithms and phase transitions

0 references

Algorithm for cardinality-constrained quadratic optimization

0 references

Best subset selection via a modern optimization lens

0 references

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

0 references

Eigenvalue Techniques for Convex Objective, Nonconvex Optimization Problems

0 references

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

0 references

On mathematical programming with indicator constraints

0 references

Statistics for high-dimensional data. Methods, theory and applications.

0 references

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

0 references

A nonlinear programming algorithm for solving semidefinite programs via low-rank factorization

0 references

Decoding by Linear Programming

0 references

Heuristics for cardinality constrained portfolio optimization

0 references

Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems

0 references

Regularity properties for sparse regression

0 references

Benchmarking optimization software with performance profiles.

0 references

Least angle regression. (With discussion)

0 references

Perspective cuts for a class of convex 0-1 mixed integer programs

0 references

SDP diagonalizations and perspective cuts for a class of nonseparable MIQP

0 references

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

0 references

Approximated perspective relaxations: a project and lift approach

0 references

Improving the approximated projected perspective reformulation by dual information

0 references

Pathwise coordinate optimization

0 references

Optimal Cardinality Constrained Portfolio Selection

0 references

Penalty Alternating Direction Methods for Mixed-Integer Optimization: A New View on Feasibility Pumps

0 references

Solving Highly Detailed Gas Transport MINLPs: Block Separability and Penalty Alternating Direction Methods

0 references

Biconvex sets and optimization with biconvex functions: a survey and extensions

0 references

Perspective reformulations of mixed integer nonlinear programs with indicator variables

0 references

Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons

0 references

Matrix Completion and Low-Rank SVD via Fast Alternating Least Squares

0 references

Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms

0 references

Randomly generating portfolio-selection covariance matrices with specified distributional characteristics

0 references

Computing Feasible Points of Bilevel Problems with a Penalty Alternating Direction Method

0 references

<i>SparseNet</i>: Coordinate Descent With Nonconvex Penalties

0 references

Complex portfolio selection via convex mixed‐integer quadratic programming: a survey

0 references

Q3997019

0 references

Sparse Approximate Solutions to Linear Systems

0 references

Q5390304

0 references

A decomposition heuristic for mixed-integer supply chain problems

0 references

Semidefinite relaxations of fractional programs via novel convexification techniques

0 references

A penalty PALM method for sparse portfolio selection problems

0 references

Q4864293

0 references

The Lasso problem and uniqueness

0 references

The Computational Complexity of the Restricted Isometry Property, the Nullspace Property, and Related Concepts in Compressed Sensing

0 references

A Lifted Linear Programming Branch-and-Bound Algorithm for Mixed-Integer Conic Quadratic Programs

0 references

Minimization of a Non-Separable Objective Function Subject to Disjoint Constraints

0 references

Nearly unbiased variable selection under minimax concave penalty

0 references

Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach

0 references

Regularization and Variable Selection Via the Elastic Net

0 references

Identifiers

DOI

10.1287/ijoc.2022.1211

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5060779

@@ Property / cites work @@
+A strong conic quadratic reformulation for machine-job assignment with controllable processing times
+Normal rank
@@ Property / cites work @@
+Strong formulations for quadratic optimization with M-matrices and indicator variables
+Normal rank
@@ Property / cites work @@
+On handling indicator constraints in mixed integer programming
+Normal rank
@@ Property / cites work @@
+Characterization of the equivalence of robustification and regularization in linear and matrix regression
+Normal rank
@@ Property / cites work @@
+Sparse high-dimensional regression: exact scalable algorithms and phase transitions
+Normal rank
@@ Property / cites work @@
+Algorithm for cardinality-constrained quadratic optimization
+Normal rank
@@ Property / cites work @@
+Best subset selection via a modern optimization lens
+Normal rank
@@ Property / cites work @@
+Computational study of a family of mixed-integer quadratic programming problems
+Normal rank
@@ Property / cites work @@
+Eigenvalue Techniques for Convex Objective, Nonconvex Optimization Problems
+Normal rank
@@ Property / cites work @@
+An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
+Normal rank
@@ Property / cites work @@
+On mathematical programming with indicator constraints
+Normal rank
@@ Property / cites work @@
+Statistics for high-dimensional data. Methods, theory and applications.
+Normal rank
@@ Property / cites work @@
+Mathematical Programs with Cardinality Constraints: Reformulation by Complementarity-Type Conditions and a Regularization Method
+Normal rank
@@ Property / cites work @@
+A nonlinear programming algorithm for solving semidefinite programs via low-rank factorization
+Normal rank
@@ Property / cites work @@
+Decoding by Linear Programming
@@ Property / cites work: Decoding by Linear Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Heuristics for cardinality constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
+Normal rank
@@ Property / cites work @@
+Regularity properties for sparse regression
@@ Property / cites work: Regularity properties for sparse regression / rank @@
+Normal rank
@@ Property / cites work @@
+Benchmarking optimization software with performance profiles.
+Normal rank
@@ Property / cites work @@
+Least angle regression. (With discussion)
@@ Property / cites work: Least angle regression. (With discussion) / rank @@
+Normal rank
@@ Property / cites work @@
+Perspective cuts for a class of convex 0-1 mixed integer programs
+Normal rank
@@ Property / cites work @@
+SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
+Normal rank
@@ Property / cites work @@
+A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes
+Normal rank
@@ Property / cites work @@
+Approximated perspective relaxations: a project and lift approach
+Normal rank
@@ Property / cites work @@
+Improving the approximated projected perspective reformulation by dual information
+Normal rank
@@ Property / cites work @@
+Pathwise coordinate optimization
@@ Property / cites work: Pathwise coordinate optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Cardinality Constrained Portfolio Selection
+Normal rank
@@ Property / cites work @@
+Penalty Alternating Direction Methods for Mixed-Integer Optimization: A New View on Feasibility Pumps
+Normal rank
@@ Property / cites work @@
+Solving Highly Detailed Gas Transport MINLPs: Block Separability and Penalty Alternating Direction Methods
+Normal rank
@@ Property / cites work @@
+Biconvex sets and optimization with biconvex functions: a survey and extensions
+Normal rank
@@ Property / cites work @@
+Perspective reformulations of mixed integer nonlinear programs with indicator variables
+Normal rank
@@ Property / cites work @@
+Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
+Normal rank
@@ Property / cites work @@
+Matrix Completion and Low-Rank SVD via Fast Alternating Least Squares
+Normal rank
@@ Property / cites work @@
+Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms
+Normal rank
@@ Property / cites work @@
+Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
+Normal rank
@@ Property / cites work @@
+Computing Feasible Points of Bilevel Problems with a Penalty Alternating Direction Method
+Normal rank
@@ Property / cites work @@
+<i>SparseNet</i>: Coordinate Descent With Nonconvex Penalties
+Normal rank
@@ Property / cites work @@
+Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
+Normal rank
@@ Property / cites work @@
+Q3997019
@@ Property / cites work: Q3997019 / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse Approximate Solutions to Linear Systems
@@ Property / cites work: Sparse Approximate Solutions to Linear Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Q5390304
@@ Property / cites work: Q5390304 / rank @@
+Normal rank
@@ Property / cites work @@
+A decomposition heuristic for mixed-integer supply chain problems
+Normal rank
@@ Property / cites work @@
+Semidefinite relaxations of fractional programs via novel convexification techniques
+Normal rank
@@ Property / cites work @@
+A penalty PALM method for sparse portfolio selection problems
+Normal rank
@@ Property / cites work @@
+Q4864293
@@ Property / cites work: Q4864293 / rank @@
+Normal rank
@@ Property / cites work @@
+The Lasso problem and uniqueness
@@ Property / cites work: The Lasso problem and uniqueness / rank @@
+Normal rank
@@ Property / cites work @@
+The Computational Complexity of the Restricted Isometry Property, the Nullspace Property, and Related Concepts in Compressed Sensing
+Normal rank
@@ Property / cites work @@
+A Lifted Linear Programming Branch-and-Bound Algorithm for Mixed-Integer Conic Quadratic Programs
+Normal rank
@@ Property / cites work @@
+Minimization of a Non-Separable Objective Function Subject to Disjoint Constraints
+Normal rank
@@ Property / cites work @@
+Nearly unbiased variable selection under minimax concave penalty
+Normal rank
@@ Property / cites work @@
+Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach
+Normal rank
@@ Property / cites work @@
+Regularization and Variable Selection Via the Elastic Net
+Normal rank