sparsity constraints

Sparse Mean-Reverting Portfolios via Penalized Likelihood Optimization

  • Aleksandr Y. Aravkin
  • Tim Leung
  • Jize Zhang
    • Categories Constrained Nonlinear Optimization, Finance and Economics Tags , ,

    An optimization approach is proposed to construct sparse portfolios with mean-reverting price behaviors. Our objectives are threefold: (i) design a multi-asset long-short portfolio that best fits an Ornstein-Uhlenbeck process in terms of maximum likelihood, (ii) select portfolios with desirable characteristics of high mean reversion and low variance though penalization, and (iii) select a parsimonious portfolio … Read more

    Sparsity constrained split feasibility for dose-volume constraints in inverse planning of intensity-modulated photon or proton therapy

  • Mark Brooke
  • Margherita Casiraghi
  • Yair Censor
  • Scott Penfold
  • Reinhard W. Schulte
  • Rafal Zalas
    • Categories Biomedical Applications, Convex Optimization Tags , , , , , ,

    A split feasibility formulation for the inverse problem of intensity-modulated radiation therapy (IMRT) treatment planning with dose-volume constraints (DVCs) included in the planning algorithm is presented. It involves a new type of sparsity constraint that enables the inclusion of a percentage-violation constraint in the model problem and its handling by continuous (as opposed to integer) … Read more