efficientprojectedgradientmethodsforcardinalityconstrainedoptimization | |
Xu Fengmin1; Dai Yuhong2; Zhao Zhihu1; Xu Zongben1 | |
刊名 | sciencechinamathematics |
2019 | |
卷号 | 62期号:2页码:245 |
ISSN号 | 1674-7283 |
英文摘要 | Sparse optimization has attracted increasing attention in numerous areas such as compressed sens-ing, financial optimization and image processing. In this paper, we first consider a special class of cardinality constrained optimization problems, which involves box constraints and a singly linear constraint. An effcient approach is provided for calculating the projection over the feasibility set after a careful analysis on the projec- tion subproblem. Then we present several types of projected gradient methods for a general class of cardinality constrained optimization problems. Global convergence of the methods is established under suitable assump- tions. Finally, we illustrate some applications of the proposed methods for signal recovery and index tracking. Especially for index tracking, we propose a new model subject to an adaptive upper bound on the sparse portfo-lio weights. The computational results demonstrate that the proposed projected gradient methods are effcient in terms of solution quality. |
资助项目 | [National Natural Science Foundation of China] ; [National Science Fund for Distinguished Young Scholars] ; [National 973 Program of China] |
语种 | 英语 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/41469] |
专题 | 计算数学与科学工程计算研究所 |
作者单位 | 1.西安交通大学 2.中国科学院数学与系统科学研究院 |
推荐引用方式 GB/T 7714 | Xu Fengmin,Dai Yuhong,Zhao Zhihu,et al. efficientprojectedgradientmethodsforcardinalityconstrainedoptimization[J]. sciencechinamathematics,2019,62(2):245. |
APA | Xu Fengmin,Dai Yuhong,Zhao Zhihu,&Xu Zongben.(2019).efficientprojectedgradientmethodsforcardinalityconstrainedoptimization.sciencechinamathematics,62(2),245. |
MLA | Xu Fengmin,et al."efficientprojectedgradientmethodsforcardinalityconstrainedoptimization".sciencechinamathematics 62.2(2019):245. |
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