An Infeasible Incremental Bundle Method for Nonsmooth Optimization Problem Based on CVaR Portfolio
For CVaR (conditional value-at-risk) portfolio nonsmooth optimization problem, we propose an infeasible incremental bundle method on the basis of the improvement function and the main idea of incremental method for solving convex finite min-max problems. The presented algorithm only employs the info...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi-Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/6640781 |