Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression
Optimization and Control
2022-07-18 v7
Abstract
This paper introduces the monotone extended second-order cone (MESOC), which is related to the monotone cone and the second-order cone. Some properties of the MESOC are presented and its dual cone is computed. Projecting onto the MESOC is reduced to the pool-adjacent-violators algorithm (PAVA) of isotonic regression. An application of MESOC to portfolio optimisation is provided. Some broad descriptions of possible MESOC-regression models are also outlined.
Keywords
Cite
@article{arxiv.2102.02040,
title = {Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression},
author = {Orizon P. Ferreira and Yingchao Gao and Sándor Z. Németh},
journal= {arXiv preprint arXiv:2102.02040},
year = {2022}
}
Comments
13 pages