Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression

Orizon Ferreira, Yingchao Gao, Sandor Nemeth

Research output: Contribution to journalArticlepeer-review

Abstract

This paper introduces the monotone extended second-order cone (MESOC), which is related to the monotone cone and the second-order cone. Some properties of the MESOC are presented and its dual cone is computed. Projecting onto the MESOC is reduced to the pool-adjacent-violators algorithm (PAVA) of isotonic regression. An application of MESOC to portfolio optimisation is provided. Some broad descriptions
of possible MESOC-regression models are also outlined.
Original languageEnglish
Pages (from-to)1-15
Number of pages15
JournalOptimization
Volume2022
Early online date21 Jul 2022
DOIs
Publication statusE-pub ahead of print - 21 Jul 2022

Keywords

  • metric projection
  • dual cone
  • isotonic regression
  • Extended second-order cone

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