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SAA method based on modified Newton method for stochastic variational inequality with second-order cone constraints and application in portfolio optimization.
Shuang Chen
Li-Ping Pang
Xuefei Ma
Dan Li
Published in:
Math. Methods Oper. Res. (2016)
Keyphrases
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newton method
variational inequalities
sensitivity analysis
feasible set
convergence analysis
objective function
cost function
convergence rate
optimality conditions
upper bound
collaborative filtering
linear programming
lower level
linear equations
regularized least squares