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Found 4 papers, 0 papers with code
Sparse Approximations with Interior Point Methods
Large-scale optimization problems that seek sparse solutions have become ubiquitous.
Portfolio Optimization
Optimization and Control
Numerical Analysis
Numerical Analysis
65K05, 90C51, 90C25, 65F10, 65F08, 90C90
Optimising portfolio diversification and dimensionality
It is based on a novel concept called portfolio dimensionality that connects diversification to the non-Gaussianity of portfolio returns and can typically be defined in terms of the ratio of risk measures which are homogenous functions of equal degree.
Large-scale optimization with the primal-dual column generation method
As recently presented in the literature, reductions in the number of calls to the oracle and in the CPU times are typically observed when compared to the standard column generation, which relies on extreme optimal dual solutions.
Inexact Coordinate Descent: Complexity and Preconditioning
In this paper we consider the problem of minimizing a convex function using a randomized block coordinate descent method.
