The $\ell_0$-constrained mean-CVaR model poses a significant challenge due to its NP-hard nature, typically tackled through combinatorial methods characterized by high computational demands. From a markedly different perspective, we propose an innovative autonomous sparse mean-CVaR portfolio model, capable of approximating the original $\ell_0$-constrained mean-CVaR model with arbitrary accuracy. The core idea is to convert the $\ell_0$ constraint into an indicator function and subsequently handle it through a tailed approximation. We then propose a proximal alternating linearized minimization algorithm, coupled with a nested fixed-point proximity algorithm (both convergent), to iteratively solve the model. Autonomy in sparsity refers to retaining a significant portion of assets within the selected asset pool during adjustments in pool size. Consequently, our framework offers a theoretically guaranteed approximation of the $\ell_0$-constrained mean-CVaR model, improving computational efficiency while providing a robust asset selection scheme.

The Sharpe ratio is an important and widely-used risk-adjusted return in financial engineering. In modern portfolio management, one may require an m-sparse (no more than m active assets) portfolio to save managerial and financial costs. However, few existing methods can optimize the Sharpe ratio with the m-sparse constraint, due to the nonconvexity and the complexity of this constraint. We propose to convert the m-sparse fractional optimization problem into an equivalent m-sparse quadratic programming problem. The semi-algebraic property of the resulting objective function allows us to exploit the Kurdyka-Lojasiewicz property to develop an efficient Proximal Gradient Algorithm (PGA) that leads to a portfolio which achieves the globally optimal m-sparse Sharpe ratio under certain conditions. The convergence rates of PGA are also provided. To the best of our knowledge, this is the first proposal that achieves a globally optimal m-sparse Sharpe ratio with a theoretically-sound guarantee.

We investigated the imaging performance of a fast convergent ordered-subsets algorithm with subiteration-dependent preconditioners (SDPs) for positron emission tomography (PET) image reconstruction. In particular, we considered the use of SDP with the block sequential regularized expectation maximization (BSREM) approach with the relative difference prior (RDP) regularizer due to its prior clinical adaptation by vendors. Because the RDP regularization promotes smoothness in the reconstructed image, the directions of the gradients in smooth areas more accurately point toward the objective function's minimizer than those in variable areas. Motivated by this observation, two SDPs have been designed to increase iteration step-sizes in the smooth areas and reduce iteration step-sizes in the variable areas relative to a conventional expectation maximization preconditioner. The momentum technique used for convergence acceleration can be viewed as a special case of SDP. We have proved the global convergence of SDP-BSREM algorithms by assuming certain characteristics of the preconditioner. By means of numerical experiments using both simulated and clinical PET data, we have shown that the SDP-BSREM algorithms substantially improve the convergence rate, as compared to conventional BSREM and a vendor's implementation as Q.Clear. Specifically, SDP-BSREM algorithms converge 35%-50% faster in reaching the same objective function value than conventional BSREM and commercial Q.Clear algorithms. Moreover, we showed in phantoms with hot, cold and background regions that the SDP-BSREM algorithms approached the values of a highly converged reference image faster than conventional BSREM and commercial Q.Clear algorithms.

This paper presents a preconditioned Krasnoselskii-Mann (KM) algorithm with an improved EM preconditioner (IEM-PKMA) for higher-order total variation (HOTV) regularized positron emission tomography (PET) image reconstruction. The PET reconstruction problem can be formulated as a three-term convex optimization model consisting of the Kullback-Leibler (KL) fidelity term, a nonsmooth penalty term, and a nonnegative constraint term which is also nonsmooth. We develop an efficient KM algorithm for solving this optimization problem based on a fixed-point characterization of its solution, with a preconditioner and a momentum technique for accelerating convergence. By combining the EM precondtioner, a thresholding, and a good inexpensive estimate of the solution, we propose an improved EM preconditioner that can not only accelerate convergence but also avoid the reconstructed image being "stuck at zero." Numerical results in this paper show that the proposed IEM-PKMA outperforms existing state-of-the-art algorithms including, the optimization transfer descent algorithm and the preconditioned L-BFGS-B algorithm for the differentiable smoothed anisotropic total variation regularized model, the preconditioned alternating projection algorithm, and the alternating direction method of multipliers for the nondifferentiable HOTV regularized model. Encouraging initial experiments using clinical data are presented.