Search results for "stock"
showing 10 items of 878 documents
Portfolio optimization using a credibility mean-absolute semi-deviation model
2015
We present a cardinality constrained credibility mean-absolute semi-deviation model.We prove relationships for possibility and credibility moments for LR-fuzzy variables.The return on a given portfolio is modeled by means of LR-type fuzzy variables.We solve the portfolio selection problem using an evolutionary procedure with a DSS.We select best portfolio from Pareto-front with a ranking strategy based on Fuzzy VaR. We introduce a cardinality constrained multi-objective optimization problem for generating efficient portfolios within a fuzzy mean-absolute deviation framework. We assume that the return on a given portfolio is modeled by means of LR-type fuzzy variables, whose credibility dist…
Optimal control of option portfolios and applications
1999
We present an expected utility maximisation framework for optimally controlling a portfolio of options. By combining the replication approach to option pricing with ideas of the martingale approach to (stock) portfolio optimisation we arrive at an explicit solution of the option portfolio problem. Its characteristics are illustrated by some specific examples. As an application, we calculate an optimal option and consumption strategy for an investor who is obliged to hold a stock position until the time horizon.
GRASP and Path Relinking for the Two-Dimensional Two-Stage Cutting-Stock Problem
2007
We develop a greedy randomized adaptive search procedure (GRASP) for the constrained two-dimensional two-stage cutting-stock problem. This is a special cutting problem in which the cut is performed in two phases. In the first phase, the stock rectangle is slit down its width into different vertical strips and in the second phase, each of these strips is processed to obtain the final pieces. We propose two different algorithms based on GRASP methodology. One is “piece-oriented” while the other is “strip-oriented.” Both procedures are fast and provide solutions of different structures to this cutting problem. We also propose a path-relinking algorithm, which operates on a set of elite soluti…
Reactive GRASP for the strip-packing problem
2008
This paper presents a greedy randomized adaptive search procedure (GRASP) for the strip packing problem, which is the problem of placing a set of rectangular pieces into a strip of a given width and infinite height so as to minimize the required height. We investigate several strategies for the constructive and improvement phases and several choices for critical search parameters. We perform extensive computational experiments with well-known instances which have been previously reported, first to select the best alternatives and then to compare the efficiency of our algorithm with other procedures. The results show that the GRASP algorithm outperforms recently reported metaheuristics.
A tabu search algorithm for large-scale guillotine (un)constrained two-dimensional cutting problems
2002
Abstract In this paper we develop several heuristic algorithms for the two-dimensional cutting problem (TDC) in which a single stock sheet has to be cut into a set of small pieces, while maximising the value of the pieces cut. They can be considered to be general purpose algorithms because they solve the four versions of the TDC: weighted and unweighted, constrained and unconstrained. We begin by proposing two constructive procedures based on simple bounds obtained by solving one-dimensional knapsack problems. We then use these constructive algorithms as building blocks for more complex procedures. We have developed a greedy randomised adaptive search procedure (GRASP) which is very fast an…
A branch-and-cut algorithm for the pallet loading problem
2005
We propose a branch-and-cut algorithm for the pallet loading problem. The 0-1 formulation proposed by Beasley for cutting problems is adapted to the problem, adding new constraints and new procedures for variable reduction. We then take advantage of the relationship between this problem and the maximum independent set problem to use the partial linear description of its associated polyhedron. Finally, we exploit the specific structure of our problem to define the solution graph and to develop efficient separation procedures. We present computational results for the complete sets Cover I (up to 50 boxes) and Cover II (up to 100 boxes).
Constructive procedures to solve 2-dimensional bin packing problems with irregular pieces and guillotine cuts
2015
Abstract This paper presents an approach for solving a new real problem in cutting and packing. At its core is an innovative mixed integer programme model that places irregular pieces and defines guillotine cuts. The two-dimensional irregular shape bin packing problem with guillotine constraints arises in the glass cutting industry, for example, the cutting of glass for conservatories. Almost all cutting and packing problems that include guillotine cuts deal with rectangles only, where all cuts are orthogonal to the edges of the stock sheet and a maximum of two angles of rotation are permitted. The literature tackling packing problems with irregular shapes largely focuses on strip packing i…
A tabu search algorithm for a two-dimensional non-guillotine cutting problem
2007
In this paper we study a two-dimensional non-guillotine cutting problem, the problem of cutting rectangular pieces from a large stock rectangle so as to maximize the total value of the pieces cut. The problem has many industrial applications whenever small pieces have to be cut from or packed into a large stock sheet. We propose a tabu search algorithm. Several moves based on reducing and inserting blocks of pieces have been defined. Intensification and diversification procedures, based on long-term memory, have been included. The computational results on large sets of test instances show that the algorithm is very efficient for a wide range of packing and cutting problems.
Robust control of uncertain multi-inventory systems via linear matrix inequality
2008
We consider a continuous time linear multi inventory system with unknown demands bounded within ellipsoids and controls bounded within ellipsoids or polytopes. We address the problem of "-stabilizing the inventory since this implies some reduction of the inventory costs. The main results are certain conditions under which "-stabilizability is possible through a saturated linear state feedback control. All the results are based on a Linear Matrix Inequalities (LMIs) approach and on some recent techniques for the modeling and analysis of polytopic systems with saturations.
Advanced Scatter Search for the Max-Cut Problem
2009
The max-cut problem consists of finding a partition of the nodes of a weighted graph into two subsets such that the sum of the weights on the arcs connecting the two subsets is maximized. This is an NP-hard problem that can also be formulated as an integer quadratic program. Several solution methods have been developed since the 1970s and applied to a variety of fields, particularly in engineering and layout design. We propose a heuristic method based on the scatter-search methodology for finding approximate solutions to this optimization problem. Our solution procedure incorporates some innovative features within the scatter-search framework: (1) the solution of the maximum diversity prob…