An Infeasible Incremental Bundle Method for Nonsmooth Optimization Problem Based on CVaR Portfolio

Autor: Jia-Tong Li, Jie Shen, Na Xu
Jazyk: angličtina
Rok vydání: 2021
Předmět:
Zdroj: Complexity, Vol 2021 (2021)
Druh dokumentu: article
ISSN: 1076-2787
1099-0526
DOI: 10.1155/2021/6640781
Popis: 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 information of the objective function and one component function of constraint functions to form the approximate model for improvement function. By introducing the aggregate technique, we keep the information of previous iterate points that may be deleted from bundle to overcome the difficulty of numerical computation and storage. Our algorithm does not enforce the feasibility of iterate points and the monotonicity of objective function, and the global convergence of the algorithm is established under mild conditions. Compared with the available results, our method loosens the requirements of computing the whole constraint function, which makes the algorithm easier to implement.
Databáze: Directory of Open Access Journals
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