Re-Weighted $$\ell _{1}$$ Algorithms within the Lagrange Duality Framework

2019 ◽  
pp. 148-160
Author(s):  
Matías Valdés ◽  
Marcelo Fiori
Keyword(s):  
Lagrange Duality

scholarly journals Lagrange Duality in Set Optimization

2013 ◽  
Vol 161 (2) ◽  
pp. 368-397 ◽  
Author(s):  
Andreas H. Hamel ◽  
Andreas Löhne
Keyword(s):  
Set Optimization ◽  
Lagrange Duality

scholarly journals Improved linear embeddings via Lagrange duality

2018 ◽  
Vol 108 (4) ◽  
pp. 575-594
Author(s):  
Kshiteej Sheth ◽  
Dinesh Garg ◽  
Anirban Dasgupta
Keyword(s):  
Lagrange Duality

scholarly journals Portfolio Optimization with Asset-Liability Ratio Regulation Constraints

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-13
Author(s):  
De-Lei Sheng ◽  
Peilong Shen
Keyword(s):  
High Speed ◽  
Asset Price ◽  
Investment Strategy ◽  
Minimum Variance ◽  
Control Technique ◽  
Duality Method ◽  
Lagrange Duality ◽  
Short Period ◽  
High Investment ◽  
Hamilton Jacobi Bellman

This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment leverage), and to mitigate risks of low assets’ return (or a sharp fall). Applying the stochastic optimal control technique, a Hamilton–Jacobi–Bellman (HJB) equation is derived. Then, the effective investment strategy and the minimum variance are obtained explicitly by using the Lagrange duality method. Moreover, some numerical examples are provided to verify the effectiveness of our results.

Lagrange Duality for Evenly Convex Optimization Problems

2015 ◽  
Vol 168 (1) ◽  
pp. 109-128 ◽  
Author(s):  
María D. Fajardo ◽  
Margarita M. L. Rodríguez ◽  
José Vidal
Keyword(s):  
Convex Optimization ◽  
Optimization Problems ◽  
Lagrange Duality ◽  
Convex Optimization Problems

scholarly journals A Derivation of Lovász' Theta via Augmented Lagrange Duality

2003 ◽  
Vol 37 (1) ◽  
pp. 17-27
Author(s):  
Mustapha Ç. Pinar
Keyword(s):  
Lagrange Duality
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