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An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems - MaRDI portal

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

Statements

scholarly article

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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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INFORMS Journal on Computing

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publication date

11 January 2023

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zbMATH Keywords

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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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1287/ijoc.2022.1211

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A strong conic quadratic reformulation for machine-job assignment with controllable processing times

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Strong formulations for quadratic optimization with M-matrices and indicator variables

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On handling indicator constraints in mixed integer programming

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Characterization of the equivalence of robustification and regularization in linear and matrix regression

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Sparse high-dimensional regression: exact scalable algorithms and phase transitions

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Algorithm for cardinality-constrained quadratic optimization

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Best subset selection via a modern optimization lens

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Computational study of a family of mixed-integer quadratic programming problems

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Eigenvalue Techniques for Convex Objective, Nonconvex Optimization Problems

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An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints

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On mathematical programming with indicator constraints

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Statistics for high-dimensional data. Methods, theory and applications.

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Mathematical Programs with Cardinality Constraints: Reformulation by Complementarity-Type Conditions and a Regularization Method

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A nonlinear programming algorithm for solving semidefinite programs via low-rank factorization

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Decoding by Linear Programming

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Heuristics for cardinality constrained portfolio optimization

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Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems

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Regularity properties for sparse regression

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Benchmarking optimization software with performance profiles.

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Least angle regression. (With discussion)

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Perspective cuts for a class of convex 0-1 mixed integer programs

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SDP diagonalizations and perspective cuts for a class of nonseparable MIQP

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A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes

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Approximated perspective relaxations: a project and lift approach

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Improving the approximated projected perspective reformulation by dual information

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Pathwise coordinate optimization

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Optimal Cardinality Constrained Portfolio Selection

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Penalty Alternating Direction Methods for Mixed-Integer Optimization: A New View on Feasibility Pumps

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Solving Highly Detailed Gas Transport MINLPs: Block Separability and Penalty Alternating Direction Methods

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Biconvex sets and optimization with biconvex functions: a survey and extensions

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Perspective reformulations of mixed integer nonlinear programs with indicator variables

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Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons

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Matrix Completion and Low-Rank SVD via Fast Alternating Least Squares

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Fast Best Subset Selection: Coordinate Descent and Local Combinatorial Optimization Algorithms

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Randomly generating portfolio-selection covariance matrices with specified distributional characteristics

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Computing Feasible Points of Bilevel Problems with a Penalty Alternating Direction Method

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<i>SparseNet</i>: Coordinate Descent With Nonconvex Penalties

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Complex portfolio selection via convex mixed‐integer quadratic programming: a survey

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Sparse Approximate Solutions to Linear Systems

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A decomposition heuristic for mixed-integer supply chain problems

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Semidefinite relaxations of fractional programs via novel convexification techniques

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A penalty PALM method for sparse portfolio selection problems

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The Lasso problem and uniqueness

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The Computational Complexity of the Restricted Isometry Property, the Nullspace Property, and Related Concepts in Compressed Sensing

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A Lifted Linear Programming Branch-and-Bound Algorithm for Mixed-Integer Conic Quadratic Programs

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Minimization of a Non-Separable Objective Function Subject to Disjoint Constraints

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Nearly unbiased variable selection under minimax concave penalty

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Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach

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Regularization and Variable Selection Via the Elastic Net

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Identifiers

10.1287/ijoc.2022.1211

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5060779

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