An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
From MaRDI portal
Publication:5060779
DOI10.1287/IJOC.2022.1211OpenAlexW4290649352MaRDI QIDQ5060779FDOQ5060779
Authors:
Publication date: 11 January 2023
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/ijoc.2022.1211
Recommendations
- A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
- Algorithm for cardinality-constrained quadratic optimization
- Optimization problems with cardinality constraints
- Optimality conditions and numerical methods for a continuous reformulation of cardinality constrained optimization problems
- Cardinality minimization, constraints, and regularization: a survey
portfolio optimizationpenalty methodsbest subset selectioncardinality constraintsalternating direction methods
Cites Work
- A nonlinear programming algorithm for solving semidefinite programs via low-rank factorization
- Matrix completion and low-rank SVD via fast alternating least squares
- Nearly unbiased variable selection under minimax concave penalty
- SparseNet: coordinate descent with nonconvex penalties
- Fast best subset selection: coordinate descent and local combinatorial optimization algorithms
- Least angle regression. (With discussion)
- Pathwise coordinate optimization
- Title not available (Why is that?)
- Statistics for high-dimensional data. Methods, theory and applications.
- Best subset selection via a modern optimization lens
- Regularization and Variable Selection Via the Elastic Net
- Benchmarking optimization software with performance profiles.
- Decoding by Linear Programming
- The Lasso problem and uniqueness
- Title not available (Why is that?)
- The Computational Complexity of the Restricted Isometry Property, the Nullspace Property, and Related Concepts in Compressed Sensing
- Title not available (Why is that?)
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Perspective cuts for a class of convex 0-1 mixed integer programs
- Approximated perspective relaxations: a project and lift approach
- SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
- Sparse Approximate Solutions to Linear Systems
- Semidefinite relaxations of fractional programs via novel convexification techniques
- A strong conic quadratic reformulation for machine-job assignment with controllable processing times
- A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes
- Computational study of a family of mixed-integer quadratic programming problems
- Regularity properties for sparse regression
- Algorithm for cardinality-constrained quadratic optimization
- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- A lifted linear programming branch-and-bound algorithm for mixed-integer conic quadratic programs
- On mathematical programming with indicator constraints
- Heuristics for cardinality constrained portfolio optimization
- Mathematical programs with cardinality constraints: reformulation by complementarity-type conditions and a regularization method
- Characterization of the equivalence of robustification and regularization in linear and matrix regression
- Perspective reformulations of mixed integer nonlinear programs with indicator variables
- Optimal cardinality constrained portfolio selection
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
- Eigenvalue techniques for convex objective, nonconvex optimization problems
- Biconvex sets and optimization with biconvex functions: a survey and extensions
- Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
- On handling indicator constraints in mixed integer programming
- Minimization of a Non-Separable Objective Function Subject to Disjoint Constraints
- Penalty alternating direction methods for mixed-integer optimization: a new view on feasibility pumps
- Sparse high-dimensional regression: exact scalable algorithms and phase transitions
- Solving highly detailed gas transport MINLPs: block separability and penalty alternating direction methods
- Strong formulations for quadratic optimization with M-matrices and indicator variables
- Improving the approximated projected perspective reformulation by dual information
- A penalty PALM method for sparse portfolio selection problems
- Computing Feasible Points of Bilevel Problems with a Penalty Alternating Direction Method
- Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- A decomposition heuristic for mixed-integer supply chain problems
Cited In (4)
- A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
- A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique
Uses Software
This page was built for publication: An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5060779)
