split bregman

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

    An Alternating Direction Method for Total Variation Denoising

  • Donald Goldfarb
  • Zhiwei (Tony) Qin
    • Categories Convex and Nonsmooth Optimization Tags , , , ,

    We consider the image denoising problem using total variation (TV) regularization. This problem can be computationally challenging to solve due to the non-differentiability and non-linearity of the regularization term. We propose an alternating direction augmented Lagrangian (ADAL) method, based on a new variable splitting approach that results in subproblems that can be solved efficiently and … Read more