Nonlinear optimization problem of interdependent investment projects portfolio

DOI10.1134/S0005117916100118MaRDI QIDQ507118zbMATH OpenOpenAlexFDO

Authors Z. G. Rudenko

Publication date 3 February 2017

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117916100118

zbMATH Keywords

nonlinear optimizationinterdependent investment projects portfolionetwork programming

Mathematics Subject Classification ID

Programming involving graphs or networks (90C35) Portfolio theory (91G10) Applications of optimal control and differential games (49N90)

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Cites work

• A branch-and-cut algorithm for nonconvex quadratic programs with box constraints
• A decision model for interdependent information system project selection
• A finite branch-and-bound algorithm for nonconvex quadratic programming via semidefinite relaxations
• A method of network programming in problems of nonlinear optimization
• Newton-KKT interior-point methods for indefinite quadratic programming
• Quadratic programming with one negative eigenvalue is NP-hard

Cited in

(8)

• Efficient linearization technology for project portfolio selection problem with interdependency
• scientific article; zbMATH DE number 1996457 (Why is no real title available?)
• scientific article; zbMATH DE number 5371133 (Why is no real title available?)
• scientific article; zbMATH DE number 3854745 (Why is no real title available?)
• The cross-impact analysis of innovative projects in a portfolio
• scientific article; zbMATH DE number 2000151 (Why is no real title available?)
• A Boolean programming problem of choosing an optimal portfolio of projects and optimal schedules for them by reinvesting within the portfolio the profit from project implementation
• Formation of the portfolio of projects for informatization programs

Describes a project that uses

Uses Software

• NewtonKKTqp

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