Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization (Q1639718)
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scientific article; zbMATH DE number 6887479
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| English | Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization |
scientific article; zbMATH DE number 6887479 |
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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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13 June 2018
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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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0.8473005294799805
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0.8054666519165039
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0.8001869916915894
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0.7810297012329102
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