Search Results for author: H. Edwin Romeijn

Found 1 papers, 0 papers with code

Functional Constrained Optimization for Risk Aversion and Sparsity Control

no code implementations11 Oct 2022 Yi Cheng, Guanghui Lan, H. Edwin Romeijn

The DNCG is the first single-loop projection-free method, with iteration complexity bounded by $\mathcal{O}\big(1/\epsilon^4\big)$ for computing a so-called $\epsilon$-Wolfe point.

Portfolio Optimization

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