This paper introduces a novel family of generalized exponentiated gradient (EG) updates derived from an Alpha-Beta divergence regularization function. Collectively referred to as EGAB, the proposed updates belong to the category of multiplicative gradient algorithms for positive data and demonstrate considerable flexibility by controlling iteration behavior and performance through three hyperparameters: $α$, $β$, and the learning rate $η$. To enforce a unit $l_1$ norm constraint for nonnegative weight vectors within generalized EGAB algorithms, we develop two slightly distinct approaches. One method exploits scale-invariant loss functions, while the other relies on gradient projections onto the feasible domain. As an illustration of their applicability, we evaluate the proposed updates in addressing the online portfolio selection problem (OLPS) using gradient-based methods. Here, they not only offer a unified perspective on the search directions of various OLPS algorithms (including the standard exponentiated gradient and diverse mean-reversion strategies), but also facilitate smooth interpolation and extension of these updates due to the flexibility in hyperparameter selection. Simulation results confirm that the adaptability of these generalized gradient updates can effectively enhance the performance for some portfolios, particularly in scenarios involving transaction costs.
A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection
School of Mathematics and Statistics（数学与统计学学院）；University of New South Wales（新南威尔士大学）；School of Mathematical and Physical Sciences（数学与物理科学学院）；University of Technology Sydney（技术大学悉尼分校）；Bayes Business School（贝叶斯商学院）；City St George’s, University of London（伦敦大学城圣乔治学院）；Faculty of Science and Engineering（科学与工程学院）；Macquarie University（麦考瑞大学）
Mirror Descent and Novel Exponentiated Gradient Algorithms Using Trace-Form Entropies and Deformed Logarithms
Systems Research Institute of Polish Academy of Science（波兰科学院系统研究所）；Global Innovation Research Institute of Tokyo University of Agriculture and Technology（东京农业大学技术创新研究所）；Riken AIP（理化学研究所AIP）；Department of Electronic and Information Engineering, Tokyo University of Agriculture and Technology（东京农业大学电子与信息工程系）；Sony Computer Science Laboratories（索尼计算机科学实验室）；Department of Signal Processing and Communications, Universidad de Sevilla（塞维利亚大学信号处理与通信系）
