Hybrid SGD algorithms to solve stochastic composite optimization problems with application in sparse portfolio selection problems.
Zhen-Ping YangYong ZhaoPublished in: J. Comput. Appl. Math. (2024)
Keyphrases
- optimization problems
- evolutionary algorithm
- benchmark problems
- portfolio selection
- metaheuristic
- combinatorial optimization
- test problems
- problems involving
- objective function
- optimization methods
- robust optimization
- traveling salesman problem
- mathematical programming
- cost function
- knapsack problem
- monte carlo
- learning algorithm