l0-norm based Short-term Sparse Portfolio Optimization Algorithm Based on Alternating Direction Method of Multipliers.
Hao WangWanying ZhangYuxin HeWenming CaoPublished in: Signal Process. (2023)
Keyphrases
- optimization algorithm
- short term
- long term
- alternating direction method of multipliers
- multi objective
- basis pursuit
- convex optimization
- short term and long term
- optimization method
- denoising
- total variation
- differential evolution
- stock market
- high dimensional
- norm minimization
- load forecasting
- objective function
- portfolio management
- compressed sensing
- sparse representation
- artificial bee colony
- long term memory
- bp neural network
- image processing
- random projections
- forecasting model
- short and long term
- evolutionary algorithm
- sparse coding
- swarm intelligence