Search Results - subject:"Integer Programming"

Linear and Mixed Integer Programming for Portfolio Optimization

Mansini, Renata - 2015

This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as...

Persistent link: https://www.econbiz.de/10012402174

Computing Minimal Forecast Horizons : An Integer Programming Approach

Dawande, Milind; Gavirneni, Srinagesh; Naranpanawe, Sanjeewa - 2008

In this paper, we use integer programming (IP) to compute minimal forecast horizons for the classical dynamic lot …-sizing problem (DLS). As a solution approach for computing forecast horizons, integer programming has been largely ignored by the … significant developments in computational integer programming make for a strong case for its use in practice. We formulate some …

Persistent link: https://www.econbiz.de/10014218349

A genetic algorithm for the two-dimensional knapsack problem with rectangular pieces

Bortfeldt, Andreas; Winter, Tobias - 2008

Persistent link: https://www.econbiz.de/10015205699

A tree search algorithm for solving the container loading problem

Fanslau, Tobias; Bortfeldt, Andreas - 2008

Persistent link: https://www.econbiz.de/10015205700

Nonparametric Tests of Collectively Rational Consumption Behavior : An Integer Programming Procedure

Cherchye, L. - 2008

We present an IP-based nonparametric (revealed preference) testing procedure for rational consumption behavior in terms of general collective models, which include consumption externalities and public consumption. An empirical application to data drawn from the Russia Longitudinal Monitoring...

Persistent link: https://www.econbiz.de/10012725822

A Note on Exact Computation of Max Weighted Score Estimators by Mixed Integer Programming

Florios, Kostas - 2008

We show that exact computation of a family of 'max weighted score' estimators, including Manski's max score estimator, can be achieved efficiently by reformulating them as mixed integer programs (MIP) with disjunctive constraints. The advantage of our MIP formulation is that estimates are exact...

Persistent link: https://www.econbiz.de/10012726371