Showing math.OCShow all
3 papers · 1 filter
math.OC2025
A Two-step Krasnosel'skii-Mann Algorithm with Adaptive Momentum and Its Applications to Image Denoising and Matrix Completion
Yongxin He, Jingyuan Li, Yizun Lin +1
In this paper, we propose a Two-step Krasnosel'skii-Mann (KM) Algorithm (TKMA) with adaptive momentum for solving convex optimization problems arising in image processing. Such opt…
math.OC2024
A Globally Optimal Portfolio for m-Sparse Sharpe Ratio Maximization
Yizun Lin, Zhao-Rong Lai, Cheng Li
The Sharpe ratio is an important and widely-used risk-adjusted return in financial engineering. In modern portfolio management, one may require an m-sparse (no more than m active a…
math.OC2024
Autonomous Sparse Mean-CVaR Portfolio Optimization
Yizun Lin, Yangyu Zhang, Zhao-Rong Lai +1
The -constrained mean-CVaR model poses a significant challenge due to its NP-hard nature, typically tackled through combinatorial methods characterized by high computationa…