A Relaxed Optimization Approach for Cardinality-Constrained Portfolios.
Jize ZhangTim LeungAleksandr Y. AravkinPublished in: ECC (2019)
Keyphrases
- concave convex procedure
- global optimization
- optimization algorithm
- optimization method
- portfolio optimization
- discrete optimization
- lagrange multipliers
- optimization methods
- saddle point
- optimization process
- constrained optimization
- neural network
- information retrieval
- penalty function
- real time
- combinatorial optimization
- image segmentation
- information systems
- computer vision