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An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems.
Carina Moreira Costa
Dennis Kreber
Martin Schmidt
Published in:
INFORMS J. Comput. (2022)
Keyphrases
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constrained optimization
objective function
cost function
subset selection
computational complexity
penalty function
iterative methods
probabilistic model
multi class
optimization problems
optimization method
search methods
constraint handling
unconstrained optimization