An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
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Publication:5060779
DOI10.1287/ijoc.2022.1211OpenAlexW4290649352MaRDI QIDQ5060779
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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
portfolio optimizationcardinality constraintspenalty methodsbest subset selectionalternating direction methods
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