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A subspace adaptation of the Coleman-Li trust region and interior method is proposed for solving large-scale bound-constrained minimization problems. This method can be implemented with either sparse Cholesky factorization or conjugate gradient computation. Under reasonable conditions the convergence properties of this subspace trust region method are as(More)
A reliable and efficient computational algorithm for restoring blurred and noisy images is proposed. The restoration process is based on the minimal total variation principle introduced by Rudin et al. For discrete images, the proposed algorithm minimizes a piecewise linear l (1) function (a measure of total variation) subject to a single 2-norm inequality(More)
Value at risk (VaR) and conditional value at risk (CVaR) are the most frequently used risk measures in current risk management practice. As an alternative to VaR, CVaR is attractive since it is a coherent risk measure. We analyze the problem of computing the optimal VaR and CVaR portfolios. In particular, we illustrate that VaR and CVaR minimization(More)