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math.OC2017★ 1 cited
Second Order Optimality Conditions and Improved Convergence Results for a Scholtes-type Regularization for a Continuous Reformulation of Cardinality Constrained Optimization Problems
Max Bucher, Alexandra Schwartz
We consider nonlinear optimization problems with cardinality constraints. Based on a continuous reformulation we introduce second order necessary and sufficient optimality conditio…
math.OC2017★ 1 cited
Convergence of a Scholtes-type Regularization Method for Cardinality-Constrained Optimization Problems with an Application in Sparse Robust Portfolio Optimization
Martin Branda, Max Bucher, Michal Červinka +1
We consider general nonlinear programming problems with cardinality constraints. By relaxing the binary variables which appear in the natural mixed-integer programming formulation,…