Convex optimization under combinatorial sparsity constraints

DOI10.1016/J.ORL.2022.09.004OpenAlexW4297141534MaRDI QIDQ2102824FDOQ2102824

Authors Christoph Buchheim, Emiliano Traversi 

Publication date 12 December 2022

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2022.09.004

zbMATH Keywords

sparse regressionsparse optimizationcardinality constrained knapsack

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites Work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A polyhedral study of the cardinality constrained knapsack problem
• CSDP, A C library for semidefinite programming
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Quadratic Combinatorial Optimization Using Separable Underestimators
• Solving Max-cut to optimality by intersecting semidefinite and polyhedral relaxations
• Sparse Approximate Solutions to Linear Systems
• Sparse Optimization with Least-Squares Constraints
• Sparse and stable Markowitz portfolios
• Sparse high-dimensional regression: exact scalable algorithms and phase transitions
• SparseNet: coordinate descent with nonconvex penalties

Cited In (5)

• Restricted normal cones and sparsity optimization with affine constraints
• Title not available (Why is no real title available?)
• Heuristics for Finding Sparse Solutions of Linear Inequalities
• Sparse convex optimization toolkit: a mixed-integer framework
• Tree-sparse convex programs

Uses Software

• CSDP
• CPLEX
• Ipopt
• SPGL1
• Biq Mac
• sparsenet

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