3 papers
math.OC2024
On Wasserstein Distributionally Robust Mean Semi-Absolute Deviation Portfolio Model: Robust Selection and Efficient Computation
Weimi Zhou, Yong-Jin Liu
This paper focuses on the Wasserstein distributionally robust mean-lower semi-absolute deviation (DR-MLSAD) model, where the ambiguity set is a Wasserstein ball centered on the emp…
math.OC2023
Dual Newton Proximal Point Algorithm for Solution Paths of the L1-Regularized Logistic Regression
Yong-Jin Liu, Weimi Zhou
The l1-regularized logistic regression is a widely used statistical model in data classification. This paper proposes a dual Newton method based proximal point algorithm (PPDNA) to…
math.OC2023
Fast projection onto the intersection of simplex and singly linear constraint and its generalized Jacobian
Weimi Zhou, Yong-Jin Liu
Solving the distributional worst-case in the distributionally robust optimization problem is equivalent to finding the projection onto the intersection of simplex and singly linear…