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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    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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