398 citations · 2k across the 69 of their papers we have counts for
5 papers · 1 filter
Sparse Index Tracking Based On Model And Algorithm
Fengmin Xu, Zongben Xu, Honggang Xue
Recently, regularization have been attracted extensive attention and successfully applied in mean-variance portfolio selection for promoting out-of-sample properties and decr…
An Efficient Optimization Approach for a Cardinality-Constrained Index Tracking Problem
Fengmin Xu, Zhaosong Lu, Zongben Xu
In the practical business environment, portfolio managers often face business-driven requirements that limit the number of constituents in their tracking portfolio. A natural index…
A Cyclic Coordinate Descent Algorithm for lq Regularization
Jinshan Zeng, Zhimin Peng, Shaobo Lin +1
In recent studies on sparse modeling, () regularization has received considerable attention due to its superiorities on sparsity-inducing and bias reduction over the $…
Linear Convergence of Adaptively Iterative Thresholding Algorithms for Compressed Sensing
Yu Wang, Jinshan Zeng, Zhimin Peng +2
This paper studies the convergence of the adaptively iterative thresholding (AIT) algorithm for compressed sensing. We first introduce a generalized restricted isometry property (g…
Sparse Regularization: Convergence Of Iterative Jumping Thresholding Algorithm
Jinshan Zeng, Shaobo Lin, Zongben Xu
In recent studies on sparse modeling, non-convex penalties have received considerable attentions due to their superiorities on sparsity-inducing over the convex counterparts. Compa…