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arXiv · 2102.02040

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

Orizon P. Ferreira·Yingchao Gao·Sándor Z. Németh
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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.

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Orizon P. Ferreira, Yingchao Gao, Sándor Z. Németh. 2021-02-03. Reducing the projection onto the monotone extended second-order cone to the pool-adjacent-violators algorithm of isotonic regression. https://arxiv.org/abs/2102.02040

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