Correlation stress testing for value-at-risk: an unconstrained convex optimization approach.
Houduo QiDefeng SunPublished in: Comput. Optim. Appl. (2010)
Keyphrases
- convex optimization
- interior point methods
- primal dual
- low rank
- total variation
- convex optimization problems
- convex relaxation
- augmented lagrangian
- alternating direction method of multipliers
- convex formulation
- norm minimization
- convex constraints
- basis pursuit
- computer vision
- learning algorithm
- low rank matrix
- evolutionary algorithm
- semidefinite program