to objective functions with some continuous and some integer variables. Mixed-integer non-linear and non-convex optimization problems are extremely hard, containing several classes of NP-hard problems as special
This example shows how to solve a CVaR portfolio optimization problem with constraints in the number of selected assets or conditional (semicontinuous) bounds. To solve this problem, you can use aPortfolioCVaRobject along with different mixed integer nonlinear programming (MINLP) solvers. CVaR Portfol...
Solving Mixed Integer Optimization Problems ga can solve problems when certain variables are integer-valued. Give intcon, a vector of the x components that are integers: [x,fval,exitflag] = ga(fitnessfcn,nvars,A,b,[],[],... lb,ub,nonlcon,intcon,options) intcon is a vector of positive ...
Load the data for the problem. This data has 225 expected returns in the vectorrand the covariance of the returns in the 225-by-225 matrixQ. The data is the same as in the Using Quadratic Programming on Portfolio Optimization Problems example. loadport5r = mean_return; Q = Correlation .*...
For solving dynamic optimization problems globally, our focus is on the use of branch-and-bound algorithms; on the other hand, MIDO problems are handled by adapting the outer-approximation algorithm originally developed for mixed-integer nonlinear problems (MINLPs) to optimization problems embedding ...
9.1 Integer modelingA general mixed integer conic optimization problem has the form(9.1)minimizecTxsubject toAx=b,x∈K,xi∈Z,∀i∈I,where K is a cone and I⊆{1,…,n} denotes the set of variables that are constrained to be integers....
This example shows how to solve a mixed integer engineering design problem using the Genetic Algorithm (ga) solver in Global Optimization Toolbox.The problem illustrated in this example involves the design of a stepped cantilever beam. In particular, the beam must be able to carry a ...
Integer programingAlgorithmsIn this paper, we introduce a new class of algorithms for solving the mixed-integer bilevel min–max optimization problem. This problem involves two players, a leader and a follower, who play a Stackelberg game. In particular, the leader seeks to minimize over a set...
Researchers first examined the problem of separable concave programming more than thirty years ago, making it one of the earliest branches of nonlinear programming to be explored. This paper proposes a new algorithm that finds the exact global minimum ......
integer recourse problem. Currently, this type of two-stage robust optimization model does not have any exact solution algorithm available. We first present a set of sufficient con- ditions under which the existence of an optimal solution is guaranteed. Then, we present ...