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
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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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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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0.8222296237945557
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0.7953230142593384
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0.7851835489273071
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0.7782353758811951
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0.7694765329360962
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