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math.OC2019
Offline state estimation for hybrid systems via nonsmooth variable projection
Jize Zhang, Andrew M. Pace, Samuel A. Burden +1
A hybrid dynamical system switches between dynamic regimes at time- or state-triggered events. We propose an offline algorithm that simultaneously estimates discrete and continuous…
math.OC2018
A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
Jize Zhang, Tim Leung, Aleksandr Aravkin
A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund mana…