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math.OC2026
The Rank-Collapse Principle for Quadratic Optimization
Mojtaba Soltanalian, Ahmad Mousavi
Quadratic optimization becomes hard as soon as either the matrix in the quadratic form has an unfavorable curvature or the feasible set is discrete, combinatorial, or otherwise non…
math.OC2026
An efficient penalty decomposition algorithm for minimization over sparse symmetric sets
Ahmad Mousavi, Morteza Kimiaei, Saman Babaie-Kafaki +1
This paper proposes an improved quasi-Newton penalty decomposition algorithm for the minimization of continuously differentiable functions, possibly nonconvex, over sparse symmetri…
math.OC2024
Cardinality Constrained Mean-Variance Portfolios: A Penalty Decomposition Algorithm
Ahmad Mousavi, George Michailidis
The cardinality-constrained mean-variance portfolio problem has garnered significant attention within contemporary finance due to its potential for achieving low risk while effecti…