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An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems

Carina Moreira Costa, Dennis Kreber, Martin Schmidt 0003. An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems. INFORMS Journal on Computing, 34(6):2968-2988, 2022. [doi]

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