An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems
Published Online:8 Aug 2022https://doi.org/10.1287/ijoc.2022.1211
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Volume 34, Issue 6
November-December 2022
Pages 2867-3350, C2
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- Received:November 20, 2020
- Accepted:May 18, 2022
- Published Online:August 08, 2022
Copyright © 2022, INFORMS
Cite as
Carina Moreira Costa, Dennis Kreber, Martin Schmidt (2022) An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems. INFORMS Journal on Computing 34(6):2968-2988.
https://doi.org/10.1287/ijoc.2022.1211
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The authors are very grateful to two anonymous reviewers whose comments contributed significantly to improving the quality of this paper.
