Successive Convex Approximations to Cardinality-Constrained Convex Programs: A Piecewise-Linear DC Approach

Successive Convex Approximations to Cardinality-Constrained Convex Programs: A Piecewise-Linear DC Approach

In this paper we consider cardinality-constrained convex programs that minimize a convex function subject to a cardinality constraint and other linear constraints. This class of problems has found many applications, including portfolio selection, subset selection and compressed sensing. We propose a...

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Bibliographic Details
Main Authors: Zheng, X., Sun, X., Li, D., Sun, Jie
Format: Journal Article
Published: Kluwer Academic Publishers 2014
Subjects:
Cardinality constraint
Convex programs
Strengthening cuts
Successive convex approximation
DC approximation
Portfolio selection
Online Access:http://hdl.handle.net/20.500.11937/36727

Internet

http://hdl.handle.net/20.500.11937/36727

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