A sketched Nesterov projected gradient solver with GPU acceleration solves large mean-variance portfolio optimization problems orders of magnitude faster than standard solvers while providing approximation guarantees.
Johnson and Joram Lindenstrauss
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
citation-role summary
method 1
citation-polarity summary
fields
math.OC 1years
2026 1verdicts
UNVERDICTED 1roles
method 1polarities
use method 1representative citing papers
citing papers explorer
-
Scalable Mean-Variance Portfolio Optimization via Subspace Embeddings and GPU-Friendly Nesterov-Accelerated Projected Gradient
A sketched Nesterov projected gradient solver with GPU acceleration solves large mean-variance portfolio optimization problems orders of magnitude faster than standard solvers while providing approximation guarantees.