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20172022
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.OC2022

The Sparse(st) Optimization Problem: Reformulations, Optimality, Stationarity, and Numerical Results

Christian Kanzow, Alexandra Schwarz, Felix Weiß

We consider the sparse optimization problem with nonlinear constraints and an objective function, which is given by the sum of a general smooth mapping and an additional term defin…