most citedConvergence of a Scholtes-type Regularization Method for Cardinality-Constrained Optimization Problems with an Application in Sparse Robust Portfolio Optimization

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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,…