scientific article; zbMATH DE number 1488000

MaRDI QIDQ4495129zbMATH OpenFDO

Authors N. Lehdili, Cheikh Ould Ahmed Salem

Publication date 10 August 2000

zbMATH Keywords

barycentric-proximal methodconvergencedecomposition methodsMarkowitz's portfolio selection problemmaximal monotone operatorssplitting methodTikhonov-Passty method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25)

Review text

The convergence of a general splitting method for finding a particular zero of the sum of two maximal monotone operators is studied. New general decomposition methods and convergence results are presented. A new selection method called Tikhonov-Passty method is suggested, its convergence is investigated and the barycentric-proximal method is described. Its connection with the Passty scheme is studied. An application of the results to Markowitz's portfolio selection problem is given. For the entire collection see [Zbl 0935.00054].

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(3)

• A proximal-based deomposition method for compositions method for convex minimization problems
• Convex risk minimization via proximal splitting methods
• scientific article; zbMATH DE number 5070317 (Why is no real title available?)

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