2 citations · 2 across the 5 of their papers we have counts for
6 papers
Sparse Extended Mean-Variance-CVaR Portfolios with Short-selling
Ahmad Mousavi, Maziar Salahi, Zois Boukouvalas
This paper introduces a novel penalty decomposition algorithm customized for addressing the non-differentiable and nonconvex problem of extended mean-variance-CVaR portfolio optimi…
On SOCP/SDP formulation of the extended trust region subproblem
S. Fallahi, M. Salahi, S. Ansary Karbasy
In this paper, we consider the extended trust region subproblem (\eTRS) which is the minimization of an indefinite quadratic function subject to the intersection of unit ball with…
A hybrid algorithm for the two-trust-region subproblem
Saeid Ansary Karbasy, Maziar Salahi
Two-trust-region subproblem (TTRS), which is the minimization of a general quadratic function over the intersection of two full-dimensional ellipsoids, has been the subject of seve…
A conjugate gradient-based algorithm for large-scale quadratic programming problem with one quadratic constraint
Akram Taati, Maziar Salahi
In this paper, we consider the nonconvex quadratically constrained quadratic programming (QCQP) with one quadratic constraint. By employing the conjugate gradient method, an effici…
Local Nonglobal Minima for Solving Large Scale Extended Trust Region Subproblems
Maziar Salahi, Akram Taati, Henry Wolkowicz
We study large scale extended trust region subproblems (eTRS) i.e., the minimization of a general quadratic function subject to a norm constraint, known as the trust region subprob…
A Fast Eigenvalue Approach for Solving the Trust Region Subproblem with an Additional Linear Inequality
Maziar Salahi, Akram Taati
In this paper, we study the extended trust region subproblem (eTRS) in which the trust region intersects the unit ball with a single linear inequality constraint. By reformulating…