Nash Bargaining Partitioning in Decentralized Portfolio Management

In the context of decentralized portfolio management, understanding how to distribute a fixed budget among decentralized intermediaries is a relevant question for financial investors. We consider the Nash bargaining partitioning for a class of decentralized investment problems, where intermediaries are in charge of the portfolio construction in heterogeneous local markets and act as risk/disutility minimizers. … Read more

Exact algorithms for the 0-1 Time-bomb Knapsack Problem

We consider a stochastic version of the 0–1 Knapsack Problem in which, in addition to profit and weight, each item is associated with a probability of exploding and destroying all the contents of the knapsack. The objective is to maximize the expected profit of the selected items. The resulting problem, denoted as 0–1 Time-Bomb Knapsack … Read more

Computational Enhancement in the Application of the Branch and Bound Method for Linear Integer Programs and Related Models

In this paper, a reformulation that was proposed for a knapsack problem has been extended to single and bi-objective linear integer programs. A further reformulation by adding an upper bound constraint for a knapsack problem is also proposed and extended to the bi-objective case. These reformulations significantly reduce the number of branch and bound iterations … Read more

A Column and Constraint Algorithm for the Dynamic Knapsack Problem with Stochastic Item Sizes

We consider a version of the knapsack problem in which an item size is random and revealed only when the decision maker attempts to insert it. After every successful insertion the decision maker can choose the next item dynamically based on the remaining capacity and available items, while an unsuccessful insertion terminates the process. We … Read more

On Lifted Cover Inequalities: A New Lifting Procedure with Unusual Properties

Lifted cover inequalities are well-known cutting planes for 0-1 linear programs. We show how one of the earliest lifting procedures, due to Balas, can be significantly improved. The resulting procedure has some unusual properties. For example, (i) it can yield facet-defining inequalities even if the given cover is not minimal, (ii) it can yield facet-defining … Read more

Integer Optimization with Penalized Fractional Values: The Knapsack Case

We consider integer optimization problems where variables can potentially take fractional values, but this occurrence is penalized in the objective function. This general situation has relevant examples in scheduling (preemption), routing (split delivery), cutting and telecommunications, just to mention a few. However, the general case in which variables integrality can be relaxed at cost of … Read more

Exact Approaches for the Knapsack Problem with Setups

We consider a generalization of the knapsack problem in which items are partitioned into classes, each characterized by a fixed cost and capacity. We study three alternative Integer Linear Programming formulations. For each formulation, we design an efficient algorithm to compute the linear programming relaxation (one of which is based on Column Generation techniques). We … Read more

Improved dynamic programming and approximation results for the knapsack problem with setups

We consider the 0-1 Knapsack Problem with Setups (KPS). Items are grouped into families and if any items of a family are packed, this induces a setup cost as well as a setup resource consumption. We introduce a new dynamic programming algorithm which performs much better than a previous dynamic program and turns out to … Read more

A feasible rounding approach for granular optimization problems

We introduce a new technique to generate good feasible points of mixed-integer nonlinear optimization problems. It makes use of the so-called inner parallel set of the relaxed feasible set, which was employed in O. Stein, Error bounds for mixed integer linear optimization problems, Mathematical Programming, Vol. 156 (2016), 101-123, as well as O. Stein, Error … Read more

A Polyhedral Study on Chance Constrained Program with Random Right-Hand Side

The essential structure of the mixed–integer programming formulation for chance–constrained program (CCP) is the intersection of multiple mixing sets with a $0-1$ knapsack. To improve our computational capacity on CCP, an underlying substructure, the (single) mixing set with a $0-1$ knapsack, has received substantial attentions recently. In this study, we consider a CCP problem with … Read more