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

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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

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