Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression

Autor:	Ferreira, Orizon P., Gao, Yingchao, Németh, Sándor Z.
Rok vydání:	2021
Předmět:	Mathematics - Optimization and Control
Druh dokumentu:	Working Paper
Popis:	This paper introduces the monotone extended second-order cone (MESOC), which is related to the monotone cone and the second-order cone. Some properties of the MESOC are presented and its dual cone is computed. Projecting onto the MESOC is reduced to the pool-adjacent-violators algorithm (PAVA) of isotonic regression. An application of MESOC to portfolio optimisation is provided. Some broad descriptions of possible MESOC-regression models are also outlined. Comment: 13 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2102.02040 Zobrazit plný text záznamu View this record from Arxiv