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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| Main Authors: | , |
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| Format: | article |
| Language: | EN |
| Published: |
Elsevier
2016
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| Subjects: | |
| Online Access: | https://doaj.org/article/b26fc2d7bf9d45808e85a8ea3097664a |
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