A multiplicative weights update algorithm for MINLP
Author
Abstract
Suggested Citation
DOI: 10.1007/s13675-016-0069-8
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Omprakash K. Gupta & A. Ravindran, 1985. "Branch and Bound Experiments in Convex Nonlinear Integer Programming," Management Science, INFORMS, vol. 31(12), pages 1533-1546, December.
- Serge A. Plotkin & David B. Shmoys & Éva Tardos, 1995. "Fast Approximation Algorithms for Fractional Packing and Covering Problems," Mathematics of Operations Research, INFORMS, vol. 20(2), pages 257-301, May.
- Alberto Borghetti & Claudia D’Ambrosio & Andrea Lodi & Silvano Martello, 2015. "Optimal Scheduling of a Multiunit Hydro Power Station in a Short-Term Planning Horizon," International Series in Operations Research & Management Science, in: Katta G. Murty (ed.), Case Studies in Operations Research, edition 127, chapter 8, pages 167-181, Springer.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Hansen, Pierre & Mladenovic, Nenad, 2001. "Variable neighborhood search: Principles and applications," European Journal of Operational Research, Elsevier, vol. 130(3), pages 449-467, May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Leo Liberti, 2020. "Distance geometry and data science," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 271-339, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zhang, Zijun & Zeng, Yaohui & Kusiak, Andrew, 2012. "Minimizing pump energy in a wastewater processing plant," Energy, Elsevier, vol. 47(1), pages 505-514.
- Akosah, Nana Kwame & Alagidede, Imhotep Paul & Schaling, Eric, 2020. "Testing for asymmetry in monetary policy rule for small-open developing economies: Multiscale Bayesian quantile evidence from Ghana," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
- Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
- Maenhout, Broos & Vanhoucke, Mario, 2010.
"A hybrid scatter search heuristic for personalized crew rostering in the airline industry,"
European Journal of Operational Research, Elsevier, vol. 206(1), pages 155-167, October.
- B. Maenhout & M. Vanhoucke, 2007. "A Hybrid Scatter Search Heuristic for Personalized Crew Rostering in the Airline Industry," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/454, Ghent University, Faculty of Economics and Business Administration.
- Pichler, Anton & Poledna, Sebastian & Thurner, Stefan, 2021.
"Systemic risk-efficient asset allocations: Minimization of systemic risk as a network optimization problem,"
Journal of Financial Stability, Elsevier, vol. 52(C).
- Pichler, Anton & Poledna, Sebastian & Thurner, Stefan, 2018. "Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem," INET Oxford Working Papers 2018-11, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Anton Pichler & Sebastian Poledna & Stefan Thurner, 2018. "Systemic-risk-efficient asset allocation: Minimization of systemic risk as a network optimization problem," Papers 1801.10515, arXiv.org, revised Mar 2018.
- Peter A. Abken & Milind M. Shrikhande, 1997. "The role of currency derivatives in internationally diversified portfolios," Economic Review, Federal Reserve Bank of Atlanta, vol. 82(Q 3), pages 34-59.
- Dhanya Jothimani & Ravi Shankar & Surendra S. Yadav, 2018. "A Big data analytical framework for portfolio optimization," Papers 1811.07188, arXiv.org, revised Nov 2018.
- Leonard J. Mirman & Egas M. Salgueiro & Marc Santugini, 2013. "Integrating Real and Financial Decisions of the Firm," Cahiers de recherche 1333, CIRPEE.
- Dominique Guégan & Wayne Tarrant, 2012.
"On the necessity of five risk measures,"
Annals of Finance, Springer, vol. 8(4), pages 533-552, November.
- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Documents de travail du Centre d'Economie de la Sorbonne 10005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00721339, HAL.
- Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460901, HAL.
- Andriosopoulos, Kostas & Nomikos, Nikos, 2014. "Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets," European Journal of Operational Research, Elsevier, vol. 234(2), pages 571-582.
- Raffestin, Louis, 2014. "Diversification and systemic risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 85-106.
- Sridhar, Shrihari & Naik, Prasad A. & Kelkar, Ajay, 2017. "Metrics unreliability and marketing overspending," International Journal of Research in Marketing, Elsevier, vol. 34(4), pages 761-779.
- Vithayasrichareon, Peerapat & MacGill, Iain F., 2013. "Assessing the value of wind generation in future carbon constrained electricity industries," Energy Policy, Elsevier, vol. 53(C), pages 400-412.
- Gruber, Lutz F. & West, Mike, 2017. "Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models," Econometrics and Statistics, Elsevier, vol. 3(C), pages 3-22.
- repec:dau:papers:123456789/2256 is not listed on IDEAS
- Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.
- Ke Zhou & Jiangjun Gao & Duan Li & Xiangyu Cui, 2017. "Dynamic mean–VaR portfolio selection in continuous time," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1631-1643, October.
- Sanchez-Romero, Miguel, 2006. "“Demand for Private Annuities and Social Security: Consequences to Individual Wealth”," Working Papers in Economic Theory 2006/07, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
- Muhinyuza, Stanislas & Bodnar, Taras & Lindholm, Mathias, 2020. "A test on the location of the tangency portfolio on the set of feasible portfolios," Applied Mathematics and Computation, Elsevier, vol. 386(C).
- Hany Shawky & Ronald Forbes & Alan Frankle, 1983. "Liquidity Services and Capital Market Equilibrium: The Case for Money Market Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 141-152, June.
- Colin Atkinson & Emmeline Storey, 2010. "Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 323-357.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurjco:v:5:y:2017:i:1:d:10.1007_s13675-016-0069-8. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.