TY - GEN
T1 - Projection Onto Convex Sets Approach to Solve Homogeneous Self Dual Model of Portfolio Optimization
AU - Subchan, Subchan
AU - Yamashita, Makoto
AU - Hidayatullah, Alvian Alif
AU - Safarina, Sena
AU - Yunus, Mahmud
N1 - Publisher Copyright:
© 2023 IEEE.
PY - 2023
Y1 - 2023
N2 - A portfolio optimization problem is a convex optimization problem that involves a linear objective function with quadratic constraints. One method for solving portfolio optimization problems is to convert the QCLP (quadratically constrained linear programming) model into a homogeneous self-dual (HSD) model. The homogeneous self-dual (HSD) model is a combination of primal and dual problems from conic programming and is based on determining a point from the intersection of two convex sets, a convex cone and a subspace. The projection onto convex sets (POCS) and averaged projection can be employed to determine the solution of the HSD model. In this paper, POCS is applied to solve QCLP on portfolio optimization. The resulting solution is the convergence value of the sequence constructed in the POCS method. From the sequence constructed in the POCS methods, we can see whether the QCLP problem in portfolio optimization has a solution or not.
AB - A portfolio optimization problem is a convex optimization problem that involves a linear objective function with quadratic constraints. One method for solving portfolio optimization problems is to convert the QCLP (quadratically constrained linear programming) model into a homogeneous self-dual (HSD) model. The homogeneous self-dual (HSD) model is a combination of primal and dual problems from conic programming and is based on determining a point from the intersection of two convex sets, a convex cone and a subspace. The projection onto convex sets (POCS) and averaged projection can be employed to determine the solution of the HSD model. In this paper, POCS is applied to solve QCLP on portfolio optimization. The resulting solution is the convergence value of the sequence constructed in the POCS method. From the sequence constructed in the POCS methods, we can see whether the QCLP problem in portfolio optimization has a solution or not.
KW - Portfolio optimization
KW - homogeneous self-dual
KW - projection onto convex sets
KW - quadratically constrained linear programming
UR - http://www.scopus.com/inward/record.url?scp=85186511893&partnerID=8YFLogxK
U2 - 10.1109/ICAMIMIA60881.2023.10427974
DO - 10.1109/ICAMIMIA60881.2023.10427974
M3 - Conference contribution
AN - SCOPUS:85186511893
T3 - 2023 International Conference on Advanced Mechatronics, Intelligent Manufacture and Industrial Automation, ICAMIMIA 2023 - Proceedings
SP - 667
EP - 672
BT - 2023 International Conference on Advanced Mechatronics, Intelligent Manufacture and Industrial Automation, ICAMIMIA 2023 - Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2023 International Conference on Advanced Mechatronics, Intelligent Manufacture and Industrial Automation, ICAMIMIA 2023
Y2 - 14 November 2023 through 15 November 2023
ER -