META - HEURISTICS : Theory & Applications
نویسنده
چکیده
Numerous multistage planning problems in finance involve nonlinear and nonconvex decision controls. One of the simplest is the fixed-mix • Research supported in part by NSF grant CCR-9102660 and Air Force grant AFOSR-91-0359. We acknowledge the assistance of Michael T. Tapia in preparing this paper for publication. investment strategy. At each stage during the planning horizon, an in· vestor rebalances herlhis portfolio in order to achieve a target mix of asset proportions. The decision variables represent the target percentages for the asset ~ategories. We show that a combination of Tabu Search and Variable Scaling generates global optimal solutions for real world test cases, despite the presence of nonconvexities. Computational results demonstrate that the approach can be applied in a practi. cal fashion to investment problems with over 20 stages (20 years). 100 scenarios. and 8 asset categories. The method readily extends to more • complex investment strategies with varying forms of nonconvexities.
منابع مشابه
Effective heuristics and meta-heuristics for the quadratic assignment problem with tuned parameters and analytical comparisons
Quadratic assignment problem (QAP) is a well-known problem in the facility location and layout. It belongs to the NP-complete class. There are many heuristic and meta-heuristic methods, which are presented for QAP in the literature. In this paper, we applied 2-opt, greedy 2-opt, 3-opt, greedy 3-opt, and VNZ as heuristic methods and tabu search (TS), simulated annealing, and pa...
متن کاملKOLMOGOROV-SMIRNOV TEST TO TACKLE FAIR COMPARISON OF HEURISTIC APPROACHES IN STRUCTURAL OPTIMIZATION
This paper provides a test method to make a fair comparison between different heuristics in structure optimization. When statistical methods are applied to the structural optimization (namely heuristics or meta-heuristics with several tunable parameters and starting seeds), the "one problem - one result" is extremely far from the fair comparison. From statistical point of view, the minimal requ...
متن کاملComparing Three Proposed Meta-heuristics to Solve a New p-hub Location-allocation Problem
This paper presents a new mathematical model, in which the location of hubs is fixed and their capacity is determined based on facilities and factories allocated to it. In order to feed the client's nodes, different types of vehicles of different capacities are considered, in which the clients are allocated to hubs, and types and numbers of vehicles are allocated to the factory's facilities. To...
متن کاملNew Approaches in Meta-heuristics to Schedule Purposeful Inspections of Workshops in Manufacturing Supply Chains
Nowadays, with the growth of technology and the industrialization of societies, work-related accidents, and consequently the threat of human capital and material resources are among the problems of the countries of the world. The most important legal solution in most countries to control occupational accidents and illnesses is to conduct periodic site visits and identify hazardous sites. To the...
متن کاملA Comparison of Four Multi-Objective Meta-Heuristics for a Capacitated Location-Routing Problem
In this paper, we study an integrated logistic system where the optimal location of depots and vehicles routing are considered simultaneously. This paper presents a new mathematical model for a multi-objective capacitated location-routing problem with a new set of objectives consisting of the summation of economic costs, summation of social risks and demand satisfaction score. A new multi-objec...
متن کاملA bi-objective model for a scheduling problem of unrelated parallel batch processing machines with fuzzy parameters by two fuzzy multi-objective meta-heuristics
This paper considers a bi-objective model for a scheduling problem of unrelated parallel batch processing machines to minimize the makespan and maximum tardiness, simultaneously. Each job has a specific size and the data corresponding to its ready time, due date and processing time-dependent machine are uncertain and determined by trapezoidal fuzzy numbers. Each machine has a specific capacity,...
متن کامل