2 papers
math.OC2022
Improved Maximum Likelihood Estimation of ARMA Models
Leonardo Di Gangi, Matteo Lapucci, Fabio Schoen +1
In this paper we propose a new optimization model for maximum likelihood estimation of causal and invertible ARMA models. Through a set of numerical experiments we show how our pro…
math.OC2021
A Unifying Framework for Sparsity Constrained Optimization
M. Lapucci, T. Levato, F. Rinaldi +1
In this paper, we consider the optimization problem of minimizing a continuously differentiable function subject to both convex constraints and sparsity constraints. By exploiting…