8 citations · 9 across the 3 of their papers we have counts for
4 papers
Convergence Revisit on Generalized Symmetric ADMM
Jianchao Bai, Xiaokai Chang, Jicheng Li +1
In this note, we show a sublinear nonergodic convergence rate for the algorithm developed in [Bai, et al. Generalized symmetric ADMM for separable convex optimization. Comput. Opti…
Generalized Symmetric ADMM for Separable Convex Optimization
Jianchao Bai, Jicheng Li, Fengmin Xu +1
The Alternating Direction Method of Multipliers (ADMM) has been proved to be effective for solving separable convex optimization subject to linear constraints. In this paper, we pr…
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…