Related papers: Using Column Generation to Solve Extensions to the…
We present a branch-cut-and-price framework to solve Cutting Stock Problems with strong relaxations using Set Covering (Packing) Formulations, which are solved by column generation. The main contributions of this paper include an extended…
This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at…
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No…
The growing interest in cryptocurrencies has drawn the attention of the financial world to this innovative medium of exchange. This study aims to explore the impact of cryptocurrencies on portfolio performance. We conduct our analysis…
Electric utility companies perform numerous technical interventions every day. Since it is generally not possible to complete all planned interventions within a single day, companies face two objectives: maximizing the total duration of…
This paper addresses the transmission network expansion planning problem considering storage units under uncertain demand and generation capacity. A two-stage adaptive robust optimization framework is adopted whereby short- and long-term…
By introducing a quadratic perturbation to the canonical dual of the maxcut problem, we transform the integer programming problem into a concave maximization problem over a convex positive domain under some circumstances, which can be…
Column generation is an iterative method used to solve a variety of optimization problems. It decomposes the problem into two parts: a master problem, and one or more pricing problems (PP). The total computing time taken by the method is…
In light of the need for design and analysis of intermodal transportation systems, we propose an algorithmic framework to determine the system optimum of an intermodal transportation system. To this end, we model an intermodal…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
Traditional Markowitz portfolio optimization constrains daily portfolio variance to a target value, optimising returns, Sharpe or variance within this constraint. However, this approach overlooks the relationship between variance at…
The paper addresses general constrained and non-linear optimization problems. For some of these notoriously hard problems, there exists a reformulation as an unconstrained, global optimization problem. We illustrate the transformation, and…
Many fields of science and engineering require finding eigenvalues and eigenvectors of large matrices. The solutions can represent oscillatory modes of a bridge, a violin, the disposition of electrons around an atom or molecule, the…
This article proposes an efficient heuristic in accelerating the column generation by parallel resolution of pricing problems for aircrafts in the tail assignment problem (TAP). The approach is able to achieve considerable improvement in…
The portfolio optimisation problem, first raised by Harry Markowitz in 1952, has been a fundamental and central topic to understanding the stock market and making decisions. There has been plenty of works contributing to development of the…
Solving large-scale robust portfolio optimization problems is challenging due to the high computational demands associated with an increasing number of assets, the amount of data considered, and market uncertainty. To address this issue, we…
We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. We assume a general semimartingale market model where the assets' growth rate processes…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
We consider the issue of solution uniqueness for portfolio optimization problem and its inverse for asset returns with a finite number of possible scenarios. The risk is assessed by deviation measures introduced by [Rockafellar et al.,…
A novel orthogonalization-free method together with two specific algorithms are proposed to solve extreme eigenvalue problems. On top of gradient-based algorithms, the proposed algorithms modify the multi-column gradient such that earlier…