8,489 research outputs found
A Constraint-directed Local Search Approach to Nurse Rostering Problems
In this paper, we investigate the hybridization of constraint programming and
local search techniques within a large neighbourhood search scheme for solving
highly constrained nurse rostering problems. As identified by the research, a
crucial part of the large neighbourhood search is the selection of the fragment
(neighbourhood, i.e. the set of variables), to be relaxed and re-optimized
iteratively. The success of the large neighbourhood search depends on the
adequacy of this identified neighbourhood with regard to the problematic part
of the solution assignment and the choice of the neighbourhood size. We
investigate three strategies to choose the fragment of different sizes within
the large neighbourhood search scheme. The first two strategies are tailored
concerning the problem properties. The third strategy is more general, using
the information of the cost from the soft constraint violations and their
propagation as the indicator to choose the variables added into the fragment.
The three strategies are analyzed and compared upon a benchmark nurse rostering
problem. Promising results demonstrate the possibility of future work in the
hybrid approach
Variable neighbourhood decomposition search for 0-1 mixed integer programs
In this paper we propose a new hybrid heuristic for solving 0-1 mixed integer programs based on the principle of variable neighbourhood decomposition search. It combines variable neighbourhood search with a general-purpose CPLEX MIP solver. We perform systematic hard variable fixing (or diving) following the variable neighbourhood search rules. The variables to be fixed are chosen according to their distance from the corresponding linear relaxation solution values. If there is an improvement, variable neighbourhood descent branching is performed as the local search in the whole solution space. Numerical experiments have proven that exploiting boundary effects in this way considerably improves solution quality. With our approach, we have managed to improve the best known published results for 8 out of 29 instances from a well-known class of very di±cult MIP problems. Moreover, computational results show that our method outperforms the CPLEX MIP solver, as well as three other recent most successful MIP solution methods
Portfolio selection problems in practice: a comparison between linear and quadratic optimization models
Several portfolio selection models take into account practical limitations on
the number of assets to include and on their weights in the portfolio. We
present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset
Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional
Value-at-Risk (LACVaR) models, where the assets are limited with the
introduction of quantity and cardinality constraints. We propose a completely
new approach for solving the LAM model, based on reformulation as a Standard
Quadratic Program and on some recent theoretical results. With this approach we
obtain optimal solutions both for some well-known financial data sets used by
several other authors, and for some unsolved large size portfolio problems. We
also test our method on five new data sets involving real-world capital market
indices from major stock markets. Our computational experience shows that,
rather unexpectedly, it is easier to solve the quadratic LAM model with our
algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of
the best commercial codes for mixed integer linear programming (MILP) problems.
Finally, on the new data sets we have also compared, using out-of-sample
analysis, the performance of the portfolios obtained by the Limited Asset
models with the performance provided by the unconstrained models and with that
of the official capital market indices
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