An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems (Q5060779)
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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 |
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An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems (English)
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11 January 2023
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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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