It is a matter of common knowledge that traditional Markowitz optimization based on sample means and covariances performs poorly in practice. For this reason, diverse attempts were made to improve performance of portfolio optimization. In this paper, we investigate three popular portfolio selection models built upon classical mean-variance theory. The first model is an extension … Read more
This paper addresses a constrained two-dimensional (2D) non-guillotine cutting problem, where a fixed set of small rectangles has to be cut from a larger stock rectangle so as to maximize the value of the rectangles cut. The algorithm we propose hybridizes a novel placement procedure with a genetic algorithm based on random keys. We propose … Read more
Multi-level production planning problems in which multiple items compete for the same resources frequently occur in practice, yet remain daunting in their difficulty to solve. In this paper we propose a heuristic framework that can generate high quality feasible solutions quickly for various kinds of lot-sizing problems. In addition, unlike many other heuristics, it generates … Read more
This paper is the first of a series of two devoted to the polyhedral study of a strongly NP-hard resource-constrained scheduling problem, referred to as the process move programming problem. This problem arises in relation to the operability of certain high-availability real time distributed systems. After a brief introduction to the problem as well as … Read more
This paper is the second of a series of two devoted to the polyhedral study of a strongly NP-hard resource-constrained scheduling problem, referred to as the process move programming problem. In the present paper, we put back into the picture the capacity constraints which were ignored in the first paper. In doing so, we introduce … Read more
We consider the fundamental problem of computing an optimal portfolio based on a quadratic mean-variance model of the objective function and a given polyhedral representation of the constraints. The main departure from the classical quadratic programming formulation is the inclusion in the objective function of piecewise linear, separable functions representing the transaction costs. We handle … Read more
A $k$-bit Hamming prefix code is a binary code with the following property: for any codeword $x$ and any prefix $y$ of another codeword, both $x$ and $y$ having the same length, the Hamming distance between $x$ and $y$ is at least $k$. Given an alphabet $A = [a_1,\ldots,a_n]$ with corresponding probabilities $[p_1,\ldots,p_n]$, the $k$-bit … Read more
The purpose of this paper is to illustrate the diversity of combinatorial problems encountered in the design of wireless switching systems. This is done via a representative selection of examples of real problems along with their associated resolution methods. It should be emphasized that all the resolution methods presented in this paper are successfully operating … Read more
This paper is devoted to the study of the reroute sequence planning problem in multi-protocol label switching networks from the polyhedral viewpoint. The reroute sequence plan polytope, defined as the convex hull of the incidence vectors of the reroute sequences which do not violate the network link capacities, is introduced and some of its properties … Read more
In this paper we show that for discrete concave functions, a local maximum need not be a global maximum. We also provide examples of discrete concave functions where this coincidence holds. As a direct consequence of this, we can establish the equivalence of local and global profit maximizers for an equivalent well-behaved production function that … Read more