On the application of an Augmented Lagrangian algorithm to some portfolio problems.
Ernesto G. BirginJosé Mario MartínezPublished in: EURO J. Comput. Optim. (2016)
Keyphrases
- augmented lagrangian
- optimization problems
- constrained optimization problems
- computational complexity
- cost function
- objective function
- optimization algorithm
- np hard
- optimal solution
- search space
- image processing
- test problems
- optimization method
- linear programming
- dynamic programming
- object recognition
- genetic programming
- search algorithm
- energy function
- worst case
- semidefinite programming
- lagrange multipliers
- lower bound
- linear programming problems
- multi objective