AI RESEARCH
Projection-Free Functional Constrained Optimization for Risk Aversion and Sparsity Control
arXiv CS.LG
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ArXi:2210.05108v2 Announce Type: replace-cross We study projection-free methods for functional constrained optimization with convex or smooth nonconvex objectives. Such problems arise in applications such as portfolio optimization and radiation therapy planning, where risk-aware criteria and sparsity frequently appear together.