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math.OC2025
Penalty decomposition derivative free method for the minimization of partially separable functions over a convex feasible set
Francesco Cecere, Matteo Lapucci, Davide Pucci +1
In this paper, we consider the problem of minimizing a smooth function, given as finite sum of black-box functions, over a convex set. In order to advantageously exploit the struct…
math.OC2025★ 1 cited
On the Computation of the Efficient Frontier in Advanced Sparse Portfolio Optimization
Arturo Annunziata, Matteo Lapucci, Pieluigi Mansueto +1
In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constrai…