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Sparse and stable Markowitz portfolios

- J. Brodie, I. Daubechies, C. De Mol, D. Giannone, I. Loris
- Economics, Mathematics
- Proceedings of the National Academy of Sciences
- 31 July 2007

We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the… Expand

430 68- PDF

Accelerated Projected Gradient Method for Linear Inverse Problems with Sparsity Constraints

- I. Daubechies, M. Fornasier, I. Loris
- Mathematics
- 28 June 2007

Regularization of ill-posed linear inverse problems via ℓ1 penalization has been proposed for cases where the solution is known to be (almost) sparse. One way to obtain the minimizer of such an ℓ1… Expand

272 21- PDF

Variable Metric Inexact Line-Search-Based Methods for Nonsmooth Optimization

- S. Bonettini, I. Loris, F. Porta, M. Prato
- Computer Science, Mathematics
- SIAM J. Optim.
- 1 June 2015

TLDR

56 8- PDF

On a generalization of the iterative soft-thresholding algorithm for the case of non-separable penalty

- I. Loris, C. Verhoeven
- Mathematics
- 6 April 2011

An explicit algorithm for the minimization of an l1-penalized least-squares functional, with non-separable l1 term, is proposed. Each step in the iterative algorithm requires four matrix vector… Expand

89 5- PDF

L1Packv2: A Mathematica package for minimizing an l1-penalized functional

- I. Loris
- Computer Science, Mathematics
- Comput. Phys. Commun.
- 19 October 2007

TLDR

19 3- PDF

Symmetry reductions of the BKP hierarchy

A general symmetry of the bilinear BKP hierarchy is studied in terms of tau functions. We use this symmetry to define reductions of the BKP hierarchy, among which new integrable systems can be found.… Expand

39 3

On the performance of algorithms for the minimization of l1-penalized functionals

- I. Loris
- Mathematics
- 22 October 2007

The problem of assessing the performance of algorithms used for the minimization of an ?1-penalized least-squares functional, for a range of penalty parameters, is investigated. A criterion that uses… Expand

89 2- PDF

Tomographic inversion using L1-norm regularization of wavelet coefficients

- I. Loris, G. Nolet, I. Daubechies, F. Dahlen
- Physics, Mathematics
- 8 August 2006

We propose the use of $ell_1$ regularization in a wavelet basis for the solution of linearized seismic tomography problems $Am=data$, allowing for the possibility of sharp discontinuities… Expand

151 2- PDF

On a direct bilinearization method : Kaup's higher-order water wave equation as a modified nonlocal Boussinesq equation

- F. Lambert, I. Loris, J. Springael, R. Willer
- Mathematics
- 7 August 1994

A systematic procedure for the bilinearization of classes of soliton equations is developed with the help of a generalization of Bell's exponential polynomials (1934). Application of this procedure… Expand

67 2

Iterative algorithms for total variation-like reconstructions in seismic tomography

- I. Loris, C. Verhoeven
- Computer Science, Physics
- 20 March 2012

TLDR

20 2- PDF

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