Nonmonotone gradient methods for vector optimization with a portfolio optimization application

DOI10.1016/j.ejor.2017.05.027zbMath1380.90246OpenAlexW2618176816MaRDI QIDQ1694908

Ying Ji, Qing-Pu Zhang, Shao-Jian Qu, Jian-lin Jiang

Publication date: 6 February 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.05.027

zbMATH Keywords

convergenceportfolio optimizationmultiple objective programmingPareto optimumnonmonotone gradient algorithms

Mathematics Subject Classification ID

Convex programming (90C25) Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (12)

A nonmonotone gradient method for constrained multiobjective optimization problems ⋮ Convergence analysis of a projected gradient method for multiobjective optimization problems ⋮ An adaptive nonmonotone line search for multiobjective optimization problems ⋮ Characterizations of weakly sharp solutions for a variational inequality with a pseudomonotone mapping ⋮ A Barzilai-Borwein descent method for multiobjective optimization problems ⋮ Extension of Zoutendijk method for solving constrained multiobjective optimization problems ⋮ Nonmonotone line searches for unconstrained multiobjective optimization problems ⋮ Convergence of a nonmonotone projected gradient method for nonconvex multiobjective optimization ⋮ Globally convergent Newton-type methods for multiobjective optimization ⋮ Convergence analysis of a nonmonotone projected gradient method for multiobjective optimization problems ⋮ A superlinearly convergent nonmonotone quasi-Newton method for unconstrained multiobjective optimization ⋮ Linear convergence of a nonmonotone projected gradient method for multiobjective optimization

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