Related papers: A Metaheuristic Approach for IT Projects Portfolio…
Integer variables allow the treatment of some portfolio optimization problems in a more realistic way and introduce the possibility of adding some natural features to the model. We propose an algebraic approach to maximize the expected…
This research is focused on solving problems in the area of software project management using metaheuristic search algorithms and as such is research in the field of search based software engineering. The main aim of this research is to…
Maintenance optimization has been extensively studied in the past decades. However, most of the existing maintenance models focus on single-component systems and are not applicable for complex systems consisting of multiple components, due…
In this work, we deal with the problem of computing a comprehensive front of efficient solutions in multi-objective portfolio optimization problems in presence of sparsity constraints. We start the discussion pointing out some weaknesses of…
Recent years have seen an increasing integration of distributed renewable energy resources into existing electric power grids. Due to the uncertain nature of renewable energy resources, network operators are faced with new challenges in…
Heuristic algorithms have shown a good ability to solve a variety of optimization problems. Stockpile blending problem as an important component of the mine scheduling problem is an optimization problem with continuous search space…
In multiprocessor systems, one of the main factors of systems' performance is task scheduling. The well the task be distributed among the processors the well be the performance. Again finding the optimal solution of scheduling the tasks…
We consider the optimization of active extension portfolios. For this purpose, the optimization problem is rewritten as a stochastic programming model and solved using a clever multi-start local search heuristic, which turns out to provide…
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio weights into real-life trades in the presence of realistic…
Recently, several researchers proposed portfolio optimization as a potential use case for quantum optimization. However, the literature is lacking an extensive benchmark quantifying the potential of quantum computers for portfolio…
Hybrid metaheuristics are powerful techniques for solving difficult optimization problems that exploit the strengths of different approaches in a single implementation. For algorithm designers, however, creating hybrid metaheuristic…
We discuss the Bayesian emulation approach to computational solution of multi-step portfolio studies in financial time series. "Bayesian emulation for decisions" involves mapping the technical structure of a decision analysis problem to…
Multi-mode resource and precedence-constrained project scheduling is a well-known challenging real-world optimisation problem. An important variant of the problem requires scheduling of activities for multiple projects considering…
Resource constrained job scheduling is a hard combinatorial optimisation problem that originates in the mining industry. Off-the-shelf solvers cannot solve this problem satisfactorily in reasonable timeframes, while other solution methods…
In this paper, we propose a machine learning algorithm for time-inconsistent portfolio optimization. The proposed algorithm builds upon neural network based trading schemes, in which the asset allocation at each time point is determined by…
We consider a multiperiod stochastic capacitated facility location problem under uncertain demand and budget in each period. Using a scenario tree representation of the uncertainties, we formulate a multistage stochastic integer program to…
The most common approaches for solving multistage stochastic programming problems in the research literature have been to either use value functions ("dynamic programming") or scenario trees ("stochastic programming") to approximate the…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…
This paper presents a simulation approach to enhance the performance of heuristics for multi-project scheduling. Unlike other heuristics available in the literature that use only one priority criterion for resource allocation, this paper…
In this paper, a heuristic method based on TabuSearch and TokenRing Search is being used in order to solve the Portfolio Optimization Problem. The seminal mean-variance model of Markowitz is being considered with the addition of cardinality…