Show simple item record

dc.contributor.authorFrangioni, Antonio
dc.contributor.authorFurini, Fabio
dc.contributor.authorGentile, Claudio
dc.date.accessioned2019-04-12T13:47:26Z
dc.date.available2019-04-12T13:47:26Z
dc.date.issued2017
dc.identifier.issn0167-6377
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18638
dc.language.isoenen
dc.subjectMixed-Integer Non-Linear Problemsen
dc.subjectSemi-continuous variablesen
dc.subjectPerspective reformulationen
dc.subjectProjectionen
dc.subjectLagrangian relaxationen
dc.subjectPortfolio optimizationen
dc.subject.ddc515en
dc.titleImproving the Approximated Projected Perspective Reformulation by dual informationen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe propose an improvement of the Approximated Projected Perspective Reformulation (AP2R)of [1] for the case in which constraints linking the binary variables exist. The new approach requires to solve the Perspective Reformulation (PR) once, and then use the corresponding dual information to reformulate the problem prior to applying AP2R, there by combining the root bound quality of the PR with the reduced relaxation computing time of AP2R. Computational results for the cardinality-constrained Mean-Variance portfolio optimization problem show that the new approach is competitivewith state-of-the-art ones.en
dc.relation.isversionofjnlnameOperations Research Letters
dc.relation.isversionofjnlvol45en
dc.relation.isversionofjnlissue5en
dc.relation.isversionofjnldate2017-09
dc.relation.isversionofjnlpages519-524en
dc.relation.isversionofdoi10.1016/j.orl.2017.08.001en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-03-27T11:50:48Z
hal.person.labIds17464
hal.person.labIds989
hal.person.labIds232408
hal.identifierhal-02098352*


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record