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0489264 - ÚTIA 2019 RIV US eng J - Journal Article
Branda, Martin - Bucher, M. - Červinka, Michal - Schwartz, A.
Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization.
Computational Optimization and Applications. Roč. 70, č. 2 (2018), s. 503-530. ISSN 0926-6003. E-ISSN 1573-2894
R&D Projects: GA ČR GA15-00735S
Institutional support: RVO:67985556
Keywords : Cardinality constraints * Regularization method * Scholtes regularization * Strong stationarity * Sparse portfolio optimization * Robust portfolio optimization
OECD category: Statistics and probability
Impact factor: 1.906, year: 2018
http://library.utia.cas.cz/separaty/2018/MTR/branda-0489264.pdf
Permanent Link: http://hdl.handle.net/11104/0283708