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Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach

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  • Xiaojin Zheng
  • Xiaoling Sun
  • Duan Li
  • Jie Sun

Abstract

In this paper we consider cardinality-constrained convex programs that minimize a convex function subject to a cardinality constraint and other linear constraints. This class of problems has found many applications, including portfolio selection, subset selection and compressed sensing. We propose a successive convex approximation method for this class of problems in which the cardinality function is first approximated by a piecewise linear DC function (difference of two convex functions) and a sequence of convex subproblems is then constructed by successively linearizing the concave terms of the DC function. Under some mild assumptions, we establish that any accumulation point of the sequence generated by the method is a KKT point of the DC approximation problem. We show that the basic algorithm can be refined by adding strengthening cuts in the subproblems. Finally, we report some preliminary computational results on cardinality-constrained portfolio selection problems. Copyright Springer Science+Business Media New York 2014

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  • Xiaojin Zheng & Xiaoling Sun & Duan Li & Jie Sun, 2014. "Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach," Computational Optimization and Applications, Springer, vol. 59(1), pages 379-397, October.
    • Handle: RePEc:spr:coopap:v:59:y:2014:i:1:p:379-397
    DOI: 10.1007/s10589-013-9582-3
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    References listed on IDEAS

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    Cited by:

    1. Martin Branda & Max Bucher & Michal Červinka & Alexandra Schwartz, 2018. "Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization," Computational Optimization and Applications, Springer, vol. 70(2), pages 503-530, June.
    2. Zhou, Zhongbao & Jin, Qianying & Xiao, Helu & Wu, Qian & Liu, Wenbin, 2018. "Estimation of cardinality constrained portfolio efficiency via segmented DEA," Omega, Elsevier, vol. 76(C), pages 28-37.
    3. Samuel Fern'andez-Lorenzo & Diego Porras & Juan Jos'e Garc'ia-Ripoll, 2020. "Hybrid quantum-classical optimization for financial index tracking," Papers 2008.12050, arXiv.org, revised Oct 2021.
    4. Christian Kanzow & Andreas B. Raharja & Alexandra Schwartz, 2021. "Sequential optimality conditions for cardinality-constrained optimization problems with applications," Computational Optimization and Applications, Springer, vol. 80(1), pages 185-211, September.
    5. Fakhar, Majid & Mahyarinia, Mohammad Reza & Zafarani, Jafar, 2018. "On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 265(1), pages 39-48.

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