Global solution approach for a nonconvex MINLP problem in product portfolio optimization

DOI10.1007/s10898-004-5903-5zbMath1098.90098OpenAlexW2133269594MaRDI QIDQ2494289

Josef Kallrath, Xiaoxia Lin, Christodoulos A. Floudas

Publication date: 26 June 2006

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-004-5903-5

zbMATH Keywords

Global optimizationBranch and boundPortfolio optimizationConcave objective functionMixed-integer nonlinear programming (MINLP)Piece-wise linear underestimator

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Mixed integer programming (90C11) Portfolio theory (91G10)

Related Items

A hybrid nested partitions and simulated annealing algorithm for dynamic facility layout problem: a robust optimization approach, A review of recent advances in global optimization, Global optimization advances in mixed-integer nonlinear programming, MINLP, and constrained derivative-free optimization, CDFO, A framework for globally optimizing mixed-integer signomial programs, Polylithic modeling and solution approaches using algebraic modeling systems, QPLIB: a library of quadratic programming instances, Solving planning and design problems in the process industry using mixed integer and global optimization

Uses Software

• CPLEX
• GAMS

Cites Work

• A branch-and-reduce approach to global optimization
• Unnamed Item