报告人：Prof. Xiaojun Chen, The Hong Kong Polytechnic University
报告时间：2015年4月19日15:00-16:00
报告地点：维格堂319
Abstract: This paper considers the characterization and computation of sparse solutions and least-p-norm  (0<p<1) solutions of the linear complementarity problems LCP(q,M). We show that the number of non-zero entries of any least-p-norm solution of the LCP(q,M) is less than or equal to the rank of M for any arbitrary matrix M and any number p in (0,1), and there is t in  (0,1)  such that all least-p-norm solutions for p in (0, t) 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.