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Dynamic Programming Approaches To Single And Multi Stage Stochastic Knapsack Problems For Portfolio Optimization
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Author :Christodoulos A. Floudas Publisher :Springer Science & Business Media ISBN 13 :0387747583 Total Pages :4646 pages Book Rating :4.3/5 (877 download)
Book Synopsis Encyclopedia of Optimization by : Christodoulos A. Floudas
Download or read book Encyclopedia of Optimization written by Christodoulos A. Floudas and published by Springer Science & Business Media. This book was released on 2008-09-04 with total page 4646 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of the Encyclopedia of Optimization is to introduce the reader to a complete set of topics that show the spectrum of research, the richness of ideas, and the breadth of applications that has come from this field. The second edition builds on the success of the former edition with more than 150 completely new entries, designed to ensure that the reference addresses recent areas where optimization theories and techniques have advanced. Particularly heavy attention resulted in health science and transportation, with entries such as "Algorithms for Genomics", "Optimization and Radiotherapy Treatment Design", and "Crew Scheduling".
Book Synopsis Optimization Methods in Finance by : Gerard Cornuejols
Download or read book Optimization Methods in Finance written by Gerard Cornuejols and published by Cambridge University Press. This book was released on 2006-12-21 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.
Book Synopsis Linear and Mixed Integer Programming for Portfolio Optimization by : Renata Mansini
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Book Synopsis Knapsack Problems by : Hans Kellerer
Download or read book Knapsack Problems written by Hans Kellerer and published by Springer Science & Business Media. This book was released on 2013-03-19 with total page 557 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thirteen years have passed since the seminal book on knapsack problems by Martello and Toth appeared. On this occasion a former colleague exclaimed back in 1990: "How can you write 250 pages on the knapsack problem?" Indeed, the definition of the knapsack problem is easily understood even by a non-expert who will not suspect the presence of challenging research topics in this area at the first glance. However, in the last decade a large number of research publications contributed new results for the knapsack problem in all areas of interest such as exact algorithms, heuristics and approximation schemes. Moreover, the extension of the knapsack problem to higher dimensions both in the number of constraints and in the num ber of knapsacks, as well as the modification of the problem structure concerning the available item set and the objective function, leads to a number of interesting variations of practical relevance which were the subject of intensive research during the last few years. Hence, two years ago the idea arose to produce a new monograph covering not only the most recent developments of the standard knapsack problem, but also giving a comprehensive treatment of the whole knapsack family including the siblings such as the subset sum problem and the bounded and unbounded knapsack problem, and also more distant relatives such as multidimensional, multiple, multiple-choice and quadratic knapsack problems in dedicated chapters.
Book Synopsis A Multi-product, Dynamic, Nonstationary Inventory Problem by : Arthur F. Veinott (Jr.)
Download or read book A Multi-product, Dynamic, Nonstationary Inventory Problem written by Arthur F. Veinott (Jr.) and published by . This book was released on 1964 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper is concerned with a multi-product dynamic nonstationary inventory problem in which the system is reviewed at the beginning of each of a sequence of periods of equal length. The model has the following features. There is a general demand process with no stationarity or independence assumptions, partial or complete backlogging of unfilled demand, a fixed nonnegative delivery lag (which may be positive only under complete backlogging), a nonstationary linear ordering cost, a nonstationary holding and shortage cost function, discounting of future costs, and nonstationary restrictions like budget and storage limitations. The objective is to choose an ordering policy that minimizes the expected discounted costs over an infinite time horizon. Conditions are given that ensure that the base stock ordering policy is optimal and that the base stock levels in each period are easy to calculate. (Author).
Download or read book The Engineering Index Annual written by and published by . This book was released on 1988 with total page 2282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its creation in 1884, Engineering Index has covered virtually every major engineering innovation from around the world. It serves as the historical record of virtually every major engineering innovation of the 20th century. Recent content is a vital resource for current awareness, new production information, technological forecasting and competitive intelligence. The world?s most comprehensive interdisciplinary engineering database, Engineering Index contains over 10.7 million records. Each year, over 500,000 new abstracts are added from over 5,000 scholarly journals, trade magazines, and conference proceedings. Coverage spans over 175 engineering disciplines from over 80 countries. Updated weekly.
Book Synopsis American Doctoral Dissertations by :
Download or read book American Doctoral Dissertations written by and published by . This book was released on 1985 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Annotated Bibliographies in Combinatorial Optimization by : Mauro Dell'Amico
Download or read book Annotated Bibliographies in Combinatorial Optimization written by Mauro Dell'Amico and published by . This book was released on 1997-08-28 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wiley-Interscience Series in Discrete Mathematics and Optimization Advisory Editors Ronald L. Graham Jan Karel Lenstra Robert E. Tarjan Discrete Mathematics and Optimization involves the study of finite structures and is one of the fastest growing areas in mathematics today. The level and depth of recent advances in the area and the wide applicability of its evolving techniques point to the rapidity with which the field is moving and presage the ever-increasing interaction between it and computer science. The Series provides a broad coverage of discrete mathematics and optimization, ranging over such fields as combinatorics, graph theory, enumeration, mathematical programming and the analysis of algorithms, and including such topics as Ramsey theory, transversal theory, block designs, finite geometries, Polya theory, graph and matroid algorithms, network flows, polyhedral combinatorics and computational complexity. The Wiley-Interscience Series in Discrete Mathematics and Optimization will be a substantial part of the record in this extraordinary development. Recent titles in the Series: Local Search in Combinatorial Optimization Edited by Emile H. L. Aarts Philips Research Laboratories, Eindhoven and Eindhoven University of Technology, Eindhoven Jan Karel Lenstra Eindhoven University of Technology, Eindhoven and CWI Amsterdam In the past three decades local search has grown from a simple heuristic idea into a mature field of research in combinatorial optimization. Local search is still the method of choice for NP-hard problems as it provides a robust approach for obtaining high-quality solutions to problems of a realistic size in a reasonable time. This area of discrete mathematics is of great practical use and is attracting ever-increasing attention. The contributions to this book cover local search and its variants from both a theoretical and practical point of view, each with a chapter written by leading authorities on that particular aspect. Chapters 1 to 7 deal with the theory of local search and describe the principal search strategies such as simulated annealing, tabu search, genetic algorithms and neural networks. The remaining chapters present a wealth of results on applications of local search to problems in management science and engineering, including the traveling salesman problem, vehicle routing, machine scheduling, VLSI design and code design. This book is an important reference volume and an invaluable source of inspiration for advanced students and researchers in discrete mathematics, computer science, operations research, industrial engineering and management science.
Author :Institute for Operations Research and the Management Sciences. National Meeting Publisher : ISBN 13 : Total Pages :480 pages Book Rating :4.E/5 ( download)
Book Synopsis INFORMS Annual Meeting by : Institute for Operations Research and the Management Sciences. National Meeting
Download or read book INFORMS Annual Meeting written by Institute for Operations Research and the Management Sciences. National Meeting and published by . This book was released on 2008 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Robust Optimization by : Aharon Ben-Tal
Download or read book Robust Optimization written by Aharon Ben-Tal and published by Princeton University Press. This book was released on 2009-08-10 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robust optimization is still a relatively new approach to optimization problems affected by uncertainty, but it has already proved so useful in real applications that it is difficult to tackle such problems today without considering this powerful methodology. Written by the principal developers of robust optimization, and describing the main achievements of a decade of research, this is the first book to provide a comprehensive and up-to-date account of the subject. Robust optimization is designed to meet some major challenges associated with uncertainty-affected optimization problems: to operate under lack of full information on the nature of uncertainty; to model the problem in a form that can be solved efficiently; and to provide guarantees about the performance of the solution. The book starts with a relatively simple treatment of uncertain linear programming, proceeding with a deep analysis of the interconnections between the construction of appropriate uncertainty sets and the classical chance constraints (probabilistic) approach. It then develops the robust optimization theory for uncertain conic quadratic and semidefinite optimization problems and dynamic (multistage) problems. The theory is supported by numerous examples and computational illustrations. An essential book for anyone working on optimization and decision making under uncertainty, Robust Optimization also makes an ideal graduate textbook on the subject.
Book Synopsis Optimization Modelling by : Ruhul Amin Sarker
Download or read book Optimization Modelling written by Ruhul Amin Sarker and published by CRC Press. This book was released on 2007-10-15 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although a useful and important tool, the potential of mathematical modelling for decision making is often neglected. Considered an art by many and weird science by some, modelling is not as widely appreciated in problem solving and decision making as perhaps it should be. And although many operations research, management science, and optimization
Book Synopsis Ant Colony Optimization by : Marco Dorigo
Download or read book Ant Colony Optimization written by Marco Dorigo and published by MIT Press. This book was released on 2004-06-04 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: An overview of the rapidly growing field of ant colony optimization that describes theoretical findings, the major algorithms, and current applications. The complex social behaviors of ants have been much studied by science, and computer scientists are now finding that these behavior patterns can provide models for solving difficult combinatorial optimization problems. The attempt to develop algorithms inspired by one aspect of ant behavior, the ability to find what computer scientists would call shortest paths, has become the field of ant colony optimization (ACO), the most successful and widely recognized algorithmic technique based on ant behavior. This book presents an overview of this rapidly growing field, from its theoretical inception to practical applications, including descriptions of many available ACO algorithms and their uses. The book first describes the translation of observed ant behavior into working optimization algorithms. The ant colony metaheuristic is then introduced and viewed in the general context of combinatorial optimization. This is followed by a detailed description and guide to all major ACO algorithms and a report on current theoretical findings. The book surveys ACO applications now in use, including routing, assignment, scheduling, subset, machine learning, and bioinformatics problems. AntNet, an ACO algorithm designed for the network routing problem, is described in detail. The authors conclude by summarizing the progress in the field and outlining future research directions. Each chapter ends with bibliographic material, bullet points setting out important ideas covered in the chapter, and exercises. Ant Colony Optimization will be of interest to academic and industry researchers, graduate students, and practitioners who wish to learn how to implement ACO algorithms.
Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 1156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book TIMS/ORSA Bulletin written by and published by . This book was released on 1977 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Combinatorial Optimization by : Ding-Zhu Du
Download or read book Handbook of Combinatorial Optimization written by Ding-Zhu Du and published by Springer Science & Business Media. This book was released on 2006-08-18 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a supplementary volume to the major three-volume Handbook of Combinatorial Optimization set. It can also be regarded as a stand-alone volume presenting chapters dealing with various aspects of the subject in a self-contained way.
Book Synopsis Approximate Dynamic Programming by : Warren B. Powell
Download or read book Approximate Dynamic Programming written by Warren B. Powell and published by John Wiley & Sons. This book was released on 2007-10-05 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete and accessible introduction to the real-world applications of approximate dynamic programming With the growing levels of sophistication in modern-day operations, it is vital for practitioners to understand how to approach, model, and solve complex industrial problems. Approximate Dynamic Programming is a result of the author's decades of experience working in large industrial settings to develop practical and high-quality solutions to problems that involve making decisions in the presence of uncertainty. This groundbreaking book uniquely integrates four distinct disciplines—Markov design processes, mathematical programming, simulation, and statistics—to demonstrate how to successfully model and solve a wide range of real-life problems using the techniques of approximate dynamic programming (ADP). The reader is introduced to the three curses of dimensionality that impact complex problems and is also shown how the post-decision state variable allows for the use of classical algorithmic strategies from operations research to treat complex stochastic optimization problems. Designed as an introduction and assuming no prior training in dynamic programming of any form, Approximate Dynamic Programming contains dozens of algorithms that are intended to serve as a starting point in the design of practical solutions for real problems. The book provides detailed coverage of implementation challenges including: modeling complex sequential decision processes under uncertainty, identifying robust policies, designing and estimating value function approximations, choosing effective stepsize rules, and resolving convergence issues. With a focus on modeling and algorithms in conjunction with the language of mainstream operations research, artificial intelligence, and control theory, Approximate Dynamic Programming: Models complex, high-dimensional problems in a natural and practical way, which draws on years of industrial projects Introduces and emphasizes the power of estimating a value function around the post-decision state, allowing solution algorithms to be broken down into three fundamental steps: classical simulation, classical optimization, and classical statistics Presents a thorough discussion of recursive estimation, including fundamental theory and a number of issues that arise in the development of practical algorithms Offers a variety of methods for approximating dynamic programs that have appeared in previous literature, but that have never been presented in the coherent format of a book Motivated by examples from modern-day operations research, Approximate Dynamic Programming is an accessible introduction to dynamic modeling and is also a valuable guide for the development of high-quality solutions to problems that exist in operations research and engineering. The clear and precise presentation of the material makes this an appropriate text for advanced undergraduate and beginning graduate courses, while also serving as a reference for researchers and practitioners. A companion Web site is available for readers, which includes additional exercises, solutions to exercises, and data sets to reinforce the book's main concepts.
Book Synopsis Multistage Stochastic Optimization by : Georg Ch. Pflug
Download or read book Multistage Stochastic Optimization written by Georg Ch. Pflug and published by Springer. This book was released on 2014-11-12 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization. It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book.
