7 research outputs found
A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection
Get PDFWe address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known polynomial optimization solvers.
SIMULTANEOUS SCHEDULING AND OPERATIONAL OPTIMIZATION OF MULTIPRODUCT, CYCLIC CONTINUOUS PLANTS
No full textComputational Comparison of Convex Underestimators for Use in a Branch-and-Bound Global Optimization Framework
No full textConvex relaxation for solving posynomial programs
No full textConvex underestimation, Posynomial functions,
