Sparse solutions of linear complementarity problems
成果类型：
Article
署名作者：
Chen, Xiaojun; Xiang, Shuhuang
署名单位：
Hong Kong Polytechnic University; Central South University
刊物名称：
MATHEMATICAL PROGRAMMING
ISSN/ISSBN：
0025-5610
DOI：
10.1007/s10107-015-0950-x
发表日期：
2016
页码：
539-556
关键词：
摘要：
This paper considers the characterization and computation of sparse solutions and least-p-norm solutions of the linear complementarity problem . We show that the number of non-zero entries of any least-p-norm solution of the is less than or equal to the rank of M for any arbitrary matrix M and any number , and there is such that all least-p-norm solutions for are sparse solutions. Moreover, we provide conditions on M such that a sparse solution can be found by solving convex minimization. Applications to the problem of portfolio selection within the Markowitz mean-variance framework are discussed.