activity
20032025
most citedSparse and stable Markowitz portfolios

502 citations · 1.6k across the 27 of their papers we have counts for

collaborators

25 papers

math.OC2025

An iterative algorithm for the square-root Lasso

Patrizia Boccacci, Christine De Mol, Ignace Loris

In the framework of sparsity-enforcing regularisation for linear inverse problems, we consider the minimisation of a square-root Lasso cost function. To solve this problem we devis…

math.OC2023★ 1 cited

Convergence analysis of a primal-dual optimization-by-continuation algorithm

Ignace Loris, Simone Rebegoldi

We present a numerical iterative optimization algorithm for the minimization of a cost function consisting of a linear combination of three convex terms, one of which is differenti…

math.OC2022

On a fixed-point continuation method for a convex optimization problem

Jean-Baptiste Fest, Tommi Heikkilä, Ignace Loris +4

We consider a variation of the classical proximal-gradient algorithm for the iterative minimization of a cost function consisting of a sum of two terms, one smooth and the other pr…

cs.IT2020★ 1 cited

Primal-dual splitting scheme with backtracking for handling with epigraphic constraint and sparse analysis regularization

Laurence Denneulin, Nelly Pustelnik, Maud Langlois +2

The convergence of many proximal algorithms involving a gradient descent relies on its Lipschitz constant. To avoid computing it, backtracking rules can be used. While such a rule…

math.OC2018★ 2 cited

On starting and stopping criteria for nested primal-dual iterations

Jixin Chen, Ignace Loris

The importance of an adequate inner loop starting point (as opposed to a sufficient inner loop stopping rule) is discussed in the context of a numerical optimization algorithm cons…

math.NA2016★ 67 cited

On the convergence of a linesearch based proximal-gradient method for nonconvex optimization

Silvia Bonettini, Ignace Loris, Federica Porta +2

We consider a variable metric linesearch based proximal gradient method for the minimization of the sum of a smooth, possibly nonconvex function plus a convex, possibly nonsmooth t…