fused lasso

Split Bregman iteration for multi-period mean variance portfolio optimization

  • Stefania Corsaro
  • Valentina De Simone
  • Zelda Marino
    • Categories Applications - Science and Engineering, Convex and Nonsmooth Optimization Tags , , ,

    This paper investigates the problem of defining an optimal long-term investment strategy, where the investor can exit the investment before maturity without severe loss. Our setting is a multi-period one, where the aim is tomake a plan for allocating all of wealth among the n assets within a time horizon of m periods. In addition, … Read more

    On efficiently solving the subproblems of a level-set method for fused lasso problems

  • Xudong Li
  • Defeng Sun
  • Kim-Chuan Toh
    • Categories Convex and Nonsmooth Optimization Tags , , , ,

    In applying the level-set method developed in [Van den Berg and Friedlander, SIAM J. on Scientific Computing, 31 (2008), pp.~890–912 and SIAM J. on Optimization, 21 (2011), pp.~1201–1229] to solve the fused lasso problems, one needs to solve a sequence of regularized least squares subproblems. In order to make the level-set method practical, we develop … Read more