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Tytuł:
A bi-objective portfolio optimization with conditional value-at-risk
Autorzy:
Sawik, B.
Powiązania:
https://bibliotekanauki.pl/articles/375981.pdf
Data publikacji:
2010
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
multi-criteria decision making
portfolio optimization
conditional value-at-risk
weighting approach
linear programming
Opis:
This paper presents a bi-objective portfolio model with the expected return as a performance measure and the expected worst-case return as a risk measure. The problems are formulated as a bi-objective linear program. Numerical examples based on 1000, 3500 and 4020 historical daily input data from the Warsaw Stock Exchange are presented and selected computational results are provided. The computational experiments prove that the proposed linear programming approach provides the decision maker with a simple tool for evaluating the relationship between the expected and the worst-case portfolio return.
Źródło:
Decision Making in Manufacturing and Services; 2010, 4, 1-2; 47-69
1896-8325
2300-7087
Pojawia się w:
Decision Making in Manufacturing and Services
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A comparative study on interval arithmetic operations with intuitionistic fuzzy numbers for solving an intuitionistic fuzzy multi-objective linear programming problem
Autorzy:
Vidhya, R.
Irene Hepzibah, R.
Powiązania:
https://bibliotekanauki.pl/articles/330813.pdf
Data publikacji:
2017
Wydawca:
Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:
fuzzy number
fuzzy arithmetic
linear programming problem
liczba rozmyta
arytmetyka rozmyta
programowanie liniowe
Opis:
In a real world situation, whenever ambiguity exists in the modeling of intuitionistic fuzzy numbers (IFNs), interval valued intuitionistic fuzzy numbers (IVIFNs) are often used in order to represent a range of IFNs unstable from the most pessimistic evaluation to the most optimistic one. IVIFNs are a construction which helps us to avoid such a prohibitive complexity. This paper is focused on two types of arithmetic operations on interval valued intuitionistic fuzzy numbers (IVIFNs) to solve the interval valued intuitionistic fuzzy multi-objective linear programming problem with pentagonal intuitionistic fuzzy numbers (PIFNs) by assuming different α and β cut values in a comparative manner. The objective functions involved in the problem are ranked by the ratio ranking method and the problem is solved by the preemptive optimization method. An illustrative example with MATLAB outputs is presented in order to clarify the potential approach.
Źródło:
International Journal of Applied Mathematics and Computer Science; 2017, 27, 3; 563-573
1641-876X
2083-8492
Pojawia się w:
International Journal of Applied Mathematics and Computer Science
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A linear programming based analysis of the CP-rank of completely positive matrices
Autorzy:
Li, Y.
Kummert, A.
Frommer, A.
Powiązania:
https://bibliotekanauki.pl/articles/907323.pdf
Data publikacji:
2004
Wydawca:
Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:
macierz pozytywna
programowanie liniowe
algorytm Simplex
completely positive matrices
cp-rank
linear programming
simplex algorithm
basic feasible solution
pivot process
Opis:
A real matrix A is said to be completely positive (CP) if it can be decomposed as A= B BT, where the real matrix B has exclusively non-negative entries. Let k be the rank of A and Phik the least possible number of columns of the matrix B, the so-called completely positive rank (cp-rank) of A. The present work is devoted to a study of a general upper bound for the cp-rank of an arbitrary completely positive matrix A and its dependence on the ordinary rank k. This general upper bound of the cp-rank has been proved to be at most k(k + 1)/2. In a recent pioneering work of Barioli and Berman it was slightly reduced by one, which means that Phik \leq k(k + 1)/2-1 holds for k \geq 2. An alternative constructive proof of the same result is given in the present paper based on the properties of the simplex algorithm known from linear programming. Our proof illuminates complete positivity from a different point of view. Discussions concerning dual cones are not needed here. In addition to that, the proof is of constructive nature, i.e. starting from an arbitrary decomposition A= B1 B1T (B1\geq 0) a new decomposition A= B2 B2T (B2\geq 0) can be generated in a constructive manner, where the number of column vectors of B2 does not exceed k(k + 1)/2-1. This algorithm is based mainly on the well-known techniques stemming from linear programming, where the pivot step of the simplex algorithm plays a key role.
Źródło:
International Journal of Applied Mathematics and Computer Science; 2004, 14, 1; 25-31
1641-876X
2083-8492
Pojawia się w:
International Journal of Applied Mathematics and Computer Science
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A linear programming methodology for approximate dynamic programming
Autorzy:
Díaz, Henry
Sala, Antonio
Armesto, Leopoldo
Powiązania:
https://bibliotekanauki.pl/articles/330082.pdf
Data publikacji:
2020
Wydawca:
Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:
linear programming
approximate dynamic programming
control applications
neural network
programowanie liniowe
programowanie dynamiczne
sieć neuronowa
Opis:
The linear programming (LP) approach to solve the Bellman equation in dynamic programming is a well-known option for finite state and input spaces to obtain an exact solution. However, with function approximation or continuous state spaces, refinements are necessary. This paper presents a methodology to make approximate dynamic programming via LP work in practical control applications with continuous state and input spaces. There are some guidelines on data and regressor choices needed to obtain meaningful and well-conditioned value function estimates. The work discusses the introduction of terminal ingredients and computation of lower and upper bounds of the value function. An experimental inverted-pendulum application will be used to illustrate the proposal and carry out a suitable comparative analysis with alternative options in the literature.
Źródło:
International Journal of Applied Mathematics and Computer Science; 2020, 30, 2; 363-375
1641-876X
2083-8492
Pojawia się w:
International Journal of Applied Mathematics and Computer Science
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A linearisation approach to solving a non-linear shelf space allocation problem with multi-oriented capping in retail store and distribution centre
Autorzy:
Czerniachowska, Kateryna
Hernes, Marcin
Lutosławski, Krzysztof
Powiązania:
https://bibliotekanauki.pl/articles/2204081.pdf
Data publikacji:
2022
Wydawca:
Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Tematy:
linear programming
shelf space allocation
retail store
distribution centre
order picking
Opis:
Shelf space is one of the essential resources in logistic decisions. Order picking is the most time-consuming and labourintensive of the distribution processes in distribution centres. Current research investigates the allocation of shelf space on a rack in a distribution centre and a retail store. The retail store, as well as the distribution centre, offers a large number of shelf storage locations. In this research, multi-orientated capping as a product of the rack allocation method is investigated. Capping allows additional product items to be placed on the rack. We show the linearisation technique with the help of which the models with capping could be linearised and, therefore, an optimal solution could be obtained. The computational experiments compare the quality of results obtained by non-linear and linear models. The proposed technique does not increase the complexity of the initial non-linear problem.
Źródło:
Operations Research and Decisions; 2022, 32, 4; 33--56
2081-8858
2391-6060
Pojawia się w:
Operations Research and Decisions
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A locally polynomial method for solving a system of linear inequalities
Autorzy:
Evtushenko, Yuri
Szkatuła, Krzysztof
Tretyakov, Alexey
Powiązania:
https://bibliotekanauki.pl/articles/2183463.pdf
Data publikacji:
2021
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
linear programming
system of linear inequalities
computational complexity
locally-polynomial algorithm
convergence rate
Opis:
The paper proposes a method for solving systems of linear inequalities. This method determines in a finite number of iterations whether the given system of linear ineqalities has a solution. If it does, the solution for the given system of linear inequalities is provided. The computational complexity of the proposed method is locally polynomial.
Źródło:
Control and Cybernetics; 2021, 50, 2; 301--314
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A metaheuristic for a numerical approximation to the mass transfer problem
Autorzy:
Avendaño-Garrido, M. L.
Gabriel-Argüelles, J. R.
Quintana-Torres, L.
Mezura-Montes, E.
Powiązania:
https://bibliotekanauki.pl/articles/329972.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:
Monge–Kantorovich mass transfer problem
finite dimensional linear programming
transport problem
metaheuristic algorithm
scatter search
programowanie skończenie wymiarowe
zadanie transportowe
algorytm metaheurystyczny
Opis:
This work presents an improvement of the approximation scheme for the Monge–Kantorovich (MK) mass transfer problem on compact spaces, which is studied by Gabriel et al. (2010), whose scheme discretizes the MK problem, reduced to solve a sequence of finite transport problems. The improvement presented in this work uses a metaheuristic algorithm inspired by scatter search in order to reduce the dimensionality of each transport problem. The new scheme solves a sequence of linear programming problems similar to the transport ones but with a lower dimension. The proposed metaheuristic is supported by a convergence theorem. Finally, examples with an exact solution are used to illustrate the performance of our proposal.
Źródło:
International Journal of Applied Mathematics and Computer Science; 2016, 26, 4; 757-766
1641-876X
2083-8492
Pojawia się w:
International Journal of Applied Mathematics and Computer Science
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A New Approach to the Rank Reversal Phenomenon in MCDM with the SIMUS Method
Autorzy:
Munier, Nolberto
Powiązania:
https://bibliotekanauki.pl/articles/578600.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Algorithms
Linear programming
Ranking
Solving problems
Algorytmy
Programowanie liniowe
Rozwiązywanie problemów
Opis:
When a ranking is obtained for a set of projects, the introduction of a new project, worse than the others, may sometimes perturb the ranking. This is called rank reversal, and happens in most Multi Criteria Decision Making models. The purpose of this paper is to demonstrate that a new method, based on Linear Programming, is immune to rank reversal, which is proved by analyzing the algorithm used to solve the problem. The paper also examines a situation that produces rank reversal when two or more projects have close or identical values.
Źródło:
Multiple Criteria Decision Making; 2016, 11; 137-152
2084-1531
Pojawia się w:
Multiple Criteria Decision Making
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A New Fuzzy Measure for the Analytic Hierarchy Process with the Choquet Integral
Autorzy:
Larbani, Moussa
Chen, Yuh-Wen
Powiązania:
https://bibliotekanauki.pl/articles/578512.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Analytic Hierarchy Process (AHP)
Linear programming
Analityczny proces hierarchiczny
Programowanie liniowe
Opis:
A new fuzzy measure is presented in this paper. Using the assumption that the decision maker is able to provide the pairwise additivity degree between attributes, our method uses Zimmerman’s approach to solve the fuzzy multiobjective problem: a simple problem for computing fuzzy density is derived. Having done that, we use this new fuzzy measure to implement an analytic hierarchy process (AHP) with dependent attributes using the Choquet integral. Our identification procedure for fuzzy density is much easier because it reduces the resolution complexity using a linear programming problem rather than the complicated power form used traditionally.
Źródło:
Multiple Criteria Decision Making; 2016, 11; 125-136
2084-1531
Pojawia się w:
Multiple Criteria Decision Making
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A new Integer Linear Programming and Quadratically Constrained Quadratic Programming Formulation for Vertex Bisection Minimization Problem
Autorzy:
Jain, P.
Saran, G.
Srivastava, K.
Powiązania:
https://bibliotekanauki.pl/articles/384223.pdf
Data publikacji:
2016
Wydawca:
Sieć Badawcza Łukasiewicz - Przemysłowy Instytut Automatyki i Pomiarów
Tematy:
Vertex Bisection Minimization
Integer Linear Programming
quadratic programming
Opis:
Vertex Bisection Minimization problem (VBMP) consists of partitioning a vertex set V of graph G = (V, E) into two sets B and B′ where ∣B∣ = [\v|/2] such that vertex width (VW) is minimized where vertex width is defined as the number of vertices in B which are adjacent to at least one vertex in B′. It is an NP-complete problem in general. VBMP has applications in fault tolerance and is related to the complexity of sending messages to processors in interconnection networks via vertex disjoint paths. In this paper, we have proposed a new integer linear programming (ILP) and quadratically constrained quadratic programming (QCQP) formulation for VBMP. Both of them require number of variables and constraints lesser than existing ILPs and QCQP. We have also implemented ILP and obtained optimal results for various classes of graphs. The result of the experiments with the benchmark graphs shows that the proposed model outperforms the state of the art. Moreover, proposed model obtains optimal result for all the benchmark graphs.
Źródło:
Journal of Automation Mobile Robotics and Intelligent Systems; 2016, 10, 1; 69-73
1897-8649
2080-2145
Pojawia się w:
Journal of Automation Mobile Robotics and Intelligent Systems
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A recursive procedure for selecting optimal portfolio according to the MAD model
Autorzy:
Michałowski, W.
Ogryczak, W.
Powiązania:
https://bibliotekanauki.pl/articles/205763.pdf
Data publikacji:
1999
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
optymalizacja
programowanie liniowe
downside risk aversion
investment
linear programming
portfolio optimization
quadratic programming
risk management
Opis:
The mathematical model of portfolio optimization is usually represented as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. Im a classical Markowitz model the risk is measured by a variance, thus resulting in a quadratic programming model. As an alternative, the MAD model was proposed where risk is measured by (mean) absolute deviation instead of a variance. The MAD model is computationally attractive, since it is transformed into an easy to solve linear programming program. In this paper we poesent a recursive procedure which allows to identify optimal portfolio of the MAD model depending on investor's downside risk aversion.
Źródło:
Control and Cybernetics; 1999, 28, 4; 725-738
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A relaxation heuristic for scheduling flowshops with intermediate buffers
Autorzy:
Magiera, M.
Powiązania:
https://bibliotekanauki.pl/articles/200698.pdf
Data publikacji:
2013
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
scheduling
heuristic
linear programming
production planning
decision making
flowshop
Opis:
The paper presents a two-level relaxation heuristic for production planning for multistage flowshop systems with intermediate buffers. The method concerns unidirectional multistage systems where tasks with respect to many various types of products are performed simultaneously. The fixed and the alternative production routes are regarded in the method. The top-level is a stage loading, i.e., allocation of tasks among the stages. The base-level is a task scheduling - allocation of tasks among the stations. The linear mathematical models of mixed integer programming are used in the method. The time criterion is used in the minimization functions - the minimal schedule is fixed. The condition that variables are to be integers has been ignored in the heuristic. The relaxed heuristic developed in such a manner enables obtaining good results in a very short time. This paper discusses the multilevel approach as the developed production scheduling method serves the purpose of solving relatively large problems. Results of computational experiments with the proposed heuristic method are presented.
Źródło:
Bulletin of the Polish Academy of Sciences. Technical Sciences; 2013, 61, 4; 929-942
0239-7528
Pojawia się w:
Bulletin of the Polish Academy of Sciences. Technical Sciences
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A remark on sensitivity in linear programming and Gale-Samuelson nonsubstitution theorem
Autorzy:
De Giuli, M. E.
Giorgi, G.
Powiązania:
https://bibliotekanauki.pl/articles/969906.pdf
Data publikacji:
2010
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
linear programming
sensitivity analysis
nonsubstitution theorem
Opis:
The main purpose of this paper is to show that David Gale's result (1960, Lemma 9.3 on sensitivity in linear programming) is not generally valid. In this lemma, additional assumptions, that are instead required, are not made. We give some correct versions of the above mentioned lemma, and with these an elementary proof of the Gale-Samuelson nonsubstitution theorem.
Źródło:
Control and Cybernetics; 2010, 39, 3; 827-838
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Accounting the scale and synergies in the DEA-Analysis
Obliczanie skali i synergii w analizie DEA
Autorzy:
Novikov, V. A.
Sapun, O.
Shipulina, L.
Powiązania:
https://bibliotekanauki.pl/articles/361935.pdf
Data publikacji:
2016
Wydawca:
Wyższa Szkoła Logistyki
Tematy:
data envelopment analysis
DEA
business cluster
linear programming
inputs
outputs
synergies
efficiency
super-efficiency
klaster biznesowy
programowanie liniowe
wejście
wyjście
synergia
efektywność
superefektywność
Opis:
Background: The proposal is to non-linear performance into account in terms of synergy when conducting DEA (Data Envelopment Analysis). The solution to the problem is produced for interacting schools, which can be regarded as business clusters. The inputs and outputs are selected by importance on the basis of the author's opinion. However, the technique does not change when taking into account other factors that are expressed numerically. Methods: The proposal is to reduce the number of the inputs and outputs to one input and one output using weighting factors. Thus a solution can be found by linear programming. The D EA algorithm is easily coded in Mathcad. Results: As a result, we obtain a vector of the effectiveness of each element in the business cluster, including stand-effective and super-efficient elements. Conclusions: A model of DEA is proposed which takes into account the scale and synergies of the business cluster. This allows a performance rating against the collective interaction to be obtained.
Wstęp: Poddano analizie metodę nieliniową dla synergii przy zastosowaniu metody DEA (Data Envelopment Analysis). Rozwiązanie zostało zrealizowane dla współpracujących szkół, które mogą być traktowane, jako klastery biznesowe. Dane wejściowe i wyjściowe zostały wyselekcjonowane według ważności (w opinii autora). Aczkolwiek należy zaznaczyć, że metoda postępowania nie zmienia się przy analizie innych czynników, mogących być przedstawione w formie liczbowej. Metody: Zaproponowano redukcję liczby danych wejściowych i wyjściowych przy zastosowaniu współczynnika wagi. Następnie poszukano rozwiązania przy użyciu programowaniu liniowego. Algorytm DEA może być z łatwością zaimplementowany przy użyciu MATCAD. Wyniki: Otrzymano wektor efektywności każdego elementu klastera biznesowego, łącznie z elementami o stałej i bardo dużej efektywności. Wnioski: zaproponowano model DAE, uwzględniający skalę oraz synergię klastera biznesowego. Umożliwia to uszeregowanie zachowań wobec zbiorowych interakcji.
Źródło:
LogForum; 2016, 12, 2; 123-128
1734-459X
Pojawia się w:
LogForum
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Adaptive control through on-line optimization. The MPCI paradigm and variants
Autorzy:
Nikolaou, M.
Eker, S. A.
Powiązania:
https://bibliotekanauki.pl/articles/908314.pdf
Data publikacji:
1999
Wydawca:
Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:
sterowanie adaptacyjne
sterowanie predykcyjne
wzbudzanie trwałe
adaptive control
model predictive control
closed-loop identification
persistent excitation
linear matrix inequalities
semidefinite programming
Opis:
A new variant of Model Predictive Control and Identification (MPCI) is proposed. The on-line objective is not to minimize the sum of square errors, but to maximize on-line the sum of the lower bounds on the minimum eigenvalues of the information matrices over finite horizons. In that way, inputs to the controlled process are allowed to excite the process highly enough to generate as much modelling information as possible, while the process goes off-spec as little as possible. Constraints can be loosened or tightened according to the need for identification. The effectiveness of the proposed new methodology is illustrated through a number of simulations.
Źródło:
International Journal of Applied Mathematics and Computer Science; 1999, 9, 1; 25-52
1641-876X
2083-8492
Pojawia się w:
International Journal of Applied Mathematics and Computer Science
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 157

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