A first-order saddle-point algorithm with explicit LMO solutions for three distances solves robust data-driven factor model problems.
Dykstra’s algorithm, ADMM, and coor dinate descent: Connections, insights, and extensions
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A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems
A first-order saddle-point algorithm with explicit LMO solutions for three distances solves robust data-driven factor model problems.