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

被引：1

作者：

Ferreira, O. P. ^{[1
]}

Gao, Y. ^{[2
]}

Nemeth, S. Z. ^{[2
]}

机构：

[1] Univ Fed Goias, IME, Goiania, Go, Brazil

[2] Univ Birmingham, Sch Math, Birmingham, W Midlands, England

来源：

OPTIMIZATION | 2024年 / 73卷 / 02期

关键词：

Extended second-order cone; isotonic regression; dual cone; metric projection; LINEAR COMPLEMENTARITY-PROBLEMS; PORTFOLIO OPTIMIZATION MODEL;

D O I：

10.1080/02331934.2022.2103415

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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 optimization is provided. Some broad descriptions of possible MESOC-regression models are also outlined.

引用

页码：251 / 265

页数：15

共 20 条

[1] Accelerating the Pool-Adjacent-Violators Algorithm for Isotonic Distributional Regression
Alexander Henzi
Alexandre Mösching
Lutz Dümbgen
Methodology and Computing in Applied Probability, 2022, 24 : 2633 - 2645
[2] Accelerating the Pool-Adjacent-Violators Algorithm for Isotonic Distributional Regression
Henzi, Alexander
Moesching, Alexandre
Duembgen, Lutz
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2022, 24 (04) : 2633 - 2645
[3] On the Coderivative of the Projection Operator onto the Second-order Cone
Outrata, Jiri V.
Sun, Defeng
SET-VALUED ANALYSIS, 2008, 16 (7-8): : 999 - 1014
[4] On the Coderivative of the Projection Operator onto the Second-order Cone
Jiří V. Outrata
Defeng Sun
Set-Valued and Variational Analysis, 2009, 17 : 319 - 319
[5] On the Coderivative of the Projection Operator onto the Second-order Cone
Jiří V. Outrata
Defeng Sun
Set-Valued Analysis, 2008, 16 : 999 - 1014
[6] The Monotone Extended Second-Order Cone and Mixed Complementarity Problems
Gao, Yingchao
Nemeth, Sandor Zoltan
Sznajder, Roman
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2022, 193 (1-3) : 381 - 407
[7] The Monotone Extended Second-Order Cone and Mixed Complementarity Problems
Yingchao Gao
Sándor Zoltán Németh
Roman Sznajder
Journal of Optimization Theory and Applications, 2022, 193 : 381 - 407
[8] Strong Semismoothness of Projection onto Slices of Second-Order Cone
Yingnan Wang
Naihua Xiu
Journal of Optimization Theory and Applications, 2011, 150
[9] Strong Semismoothness of Projection onto Slices of Second-Order Cone
Department of Mathematics, School of Science, Beijing Jiaotong University, Beijing 100044, China
J. Optim. Theory Appl., 3 (599-614):
[10] Strong Semismoothness of Projection onto Slices of Second-Order Cone
Wang, Yingnan
Xiu, Naihua
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2011, 150 (03) : 599 - 614

← 1 2 →