Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization.
Martin BrandaMax BucherMichal CervinkaAlexandra SchwartzPublished in: Comput. Optim. Appl. (2018)
Keyphrases
- constrained optimization problems
- portfolio optimization
- regularization method
- global convergence
- robust optimization
- optimization methods
- constrained optimization
- portfolio selection
- evolutionary algorithm
- optimization problems
- inverse problems
- image restoration
- differential evolution
- problems involving
- penalty function
- partial differential equations
- multi objective
- bi objective
- regularization parameter
- convergence speed
- global optimum
- mathematical programming
- neural network
- fitness function
- tabu search
- shortest path
- high dimensional
- lower bound
- objective function
- machine learning