On the application of an augmented Lagrangian algorithm to some portfolio problems

Algencan is a freely available piece of software that aims to solve smooth large-scale constrained optimization problems. When applied to specific problems, obtaining a good performance in terms of efficacy and efficiency may depend on careful choices of options and parameters. In the present paper,...

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Autores principales: E.G. Birgin, J.M. Martínez
Formato: article
Lenguaje:EN
Publicado: Elsevier 2016
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Acceso en línea:https://doaj.org/article/b26fc2d7bf9d45808e85a8ea3097664a
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