Convex optimization under combinatorial sparsity constraints

DOI10.1016/j.orl.2022.09.004OpenAlexW4297141534MaRDI QIDQ2102824

Emiliano Traversi, Christoph Buchheim

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)

Uses Software

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

Cites Work

• Solving Max-cut to optimality by intersecting semidefinite and polyhedral relaxations
• A polyhedral study of the cardinality constrained knapsack problem
• Sparse high-dimensional regression: exact scalable algorithms and phase transitions
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• Sparse and stable Markowitz portfolios
• SparseNet: Coordinate Descent With Nonconvex Penalties
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Sparse Optimization with Least-Squares Constraints
• CSDP, A C library for semidefinite programming
• Sparse Approximate Solutions to Linear Systems
• Quadratic Combinatorial Optimization Using Separable Underestimators

This page was built for publication: Convex optimization under combinatorial sparsity constraints