By Niu Shu-fen, Wang Guo-xin, Sun Xiao-ling
During this paper, a brand new branch-and-bound set of rules in accordance with the Lagrangian twin rest and non-stop rest is proposed for discrete multi-factor portfolio choice version with roundlot restrict in monetary optimization. This discrete portfolio version is of integer quadratic programming difficulties. The separable constitution of the version is investigated by utilizing Lagrangian rest and twin seek. Computational effects exhibit that the set of rules is able to fixing real-world portfolio issues of information from US inventory industry and randomly generated try issues of as much as a hundred and twenty securities.
Read Online or Download A branch-and-bound algorithm for discrete multi-factor portfolio optimization model PDF
Similar algorithms and data structures books
This publication is a self-contained user-friendly learn for nonsmooth research and optimization, and their use in resolution of nonsmooth optimum regulate difficulties. the 1st a part of the ebook is worried with nonsmooth differential calculus containing worthwhile instruments for nonsmooth optimization. the second one half is dedicated to the equipment of nonsmooth optimization and their improvement.
Crucial details on tips to guard facts in digital environments! Virtualization is altering the knowledge heart structure and accordingly, information safeguard is is readily evolving besides. This specific e-book, written through an professional with over eighteen years of information storage/backup event, indicates you ways to procedure, shield, and deal with info in a virtualized surroundings.
The nationwide review of schooling development (NAEP) has earned a name as one of many nation's most sensible measures of pupil fulfillment in key topic components. seeing that its inception in 1969, NAEP has summarized educational functionality for the country as an entire and, starting in 1990, for the person states.
- Purely Functional Data Structures [PhD Thesis]
- Algorithms in Bioinformatics
- Knowledge Discovery from Legal Databases (Law and Philosophy Library)
- Concise Algorithmics: The Basic Toolbox
- Multivariate Data Analysis in Sensory and Consumer Science (Publications in Food Science and Nutrition)
Additional info for A branch-and-bound algorithm for discrete multi-factor portfolio optimization model
However, this would not capture the nuances of hierarchical classification. ” The metric above would consider this classification as absolutely wrong, 2. ” With this in mind, we adapt the precision and recall metrics from information retrieval [CM63]. We first introduce an auxiliary definition. Given a set of categories N, we “expand” it by including all the subcategories of the categories in N — in essence, taking the downward closure of the set of categories N in the classification hierarchy C.
However, this approach would require a much larger number of query probes and would considerably increase the cost of our method. Previous work in hierarchical document classification [Sah98] has outlined other approaches to address this problem, but a full discussion of such extensions is beyond the scope of this work. We simply note here that the techniques used in the case of hierarchical document classification can be adapted for use in the case of hierarchical database classification that we address in this thesis.
To keep our experiments manageable, we did not try this otherwise interesting variation. We now turn to reporting the results of the experimental comparison of the different versions of QProber, Document Sampling, and Title-based Querying over the 400 unseen databases in the Controlled set and the databases in the Web set. 2, Definition 4, the ideal classification of a database depends on two parameters: τs (for specificity) and τc (for coverage). The values of these parameters are an “editorial decision,” as discussed previously.