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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact 期刊论文
INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH, 2022, 页码: 25
Authors:  Xu, Fengmin;  Li, Xuepeng;  Dai, Yu-Hong;  Wang, Meihua
Favorite  |  View/Download：3/0  |  Submit date：2023/02/07
augmented Lagrangian algorithm  equity and liability  optimal portfolio liquidation  price impact  
AN EFFICIENT QUADRATIC PROGRAMMING RELAXATION BASED ALGORITHM FOR LARGE-SCALE MIMO DETECTION 期刊论文
SIAM JOURNAL ON OPTIMIZATION, 2021, 卷号: 31, 期号: 2, 页码: 1519-1545
Authors:  Zhao, Ping-Fan;  Li, Qing-Na;  Chen, Wei-Kun;  Liu, Ya-Feng
Favorite  |  View/Download：88/0  |  Submit date：2021/10/26
MIMO detection  projected Newton method  quadratic penalty method  semidefinite relaxation  sparse quadratic programming relaxation  
Analysis on inexact block diagonal preconditioners for elliptic PDE-constrained optimization problems 期刊论文
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2017, 卷号: 74, 期号: 10, 页码: 2423-2437
Authors:  Huang, Na;  Ma, Chang-Feng
View  |  Adobe PDF(577Kb)  |  Favorite  |  View/Download：331/98  |  Submit date：2018/07/25
PDE-constrained optimization  Saddle point matrices  Preconditioner  Cholesky decomposition  Spectral bound  
A projected semismooth Newton method for problems of calibrating least squares covariance matrix 期刊论文
OPERATIONS RESEARCH LETTERS, 2011, 卷号: 39, 期号: 2, 页码: 103-108
Authors:  Li, Qingna;  Li, Donghui
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Semismooth Newton method  Active set  Constraint nondegeneracy  Quadratic semidefinite programming  
Subspace methods for large scale nonlinear equations and nonlinear least squares 期刊论文
OPTIMIZATION AND ENGINEERING, 2009, 卷号: 10, 期号: 2, 页码: 207-218
Authors:  Yuan, Ya-Xiang
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Nonlinear equations  Nonlinear least squares  Subspace  Trust region  Line search  
A subspace limited memory quasi-Newton algorithm for large-scale nonlinear bound constrained optimization 期刊论文
MATHEMATICS OF COMPUTATION, 1997, 卷号: 66, 期号: 220, 页码: 1509-1520
Authors:  Ni, Q;  Yuan, Y
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subspace quasi-Newton method  limited memory  projected search  large-scale problem  bound constrained optimization  
RANK-ONE TECHNIQUES IN LOG-BARRIER FUNCTION METHODS FOR LINEAR-PROGRAMMING 期刊论文
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 1994, 卷号: 82, 期号: 2, 页码: 405-413
Authors:  WU, SQ;  WU, F
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LINEAR PROGRAMMING  INTERIOR-POINT METHODS  KARMARKAR METHOD  LOG-BARRIER FUNCTION  RANK-ONE TECHNIQUES  COMPUTATIONAL COMPLEXITY