An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
Cardinality-constrained optimization problems are notoriously hard to solve both in theory and practice. However, as famous examples such as the sparse portfolio optimization and best subset selection problems show, this class is extremely important in real-world applications. In this paper, we apply a penalty alternating direction method to these problems. The key idea is to … Read more