Minimum variance allocation among constrained intervals
We propose a weighted minimum variance allocation model, denoted by WMVA, which distributes an amount of a divisible resource as fairly as possible while satisfying all demand intervals. We show that the problem WMVA has a unique optimal solution and it can be characterized by the uniform distributi...
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| Vydáno v: | Journal of global optimization Ročník 74; číslo 1; s. 21 - 44 |
|---|---|
| Hlavní autoři: | , |
| Médium: | Journal Article |
| Jazyk: | angličtina |
| Vydáno: |
New York
Springer US
01.05.2019
Springer Nature B.V |
| Témata: | |
| ISSN: | 0925-5001, 1573-2916 |
| On-line přístup: | Získat plný text |
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| Shrnutí: | We propose a weighted minimum variance allocation model, denoted by WMVA, which distributes an amount of a divisible resource as fairly as possible while satisfying all demand intervals. We show that the problem WMVA has a unique optimal solution and it can be characterized by the
uniform distribution property
(UDP in short). Based on the UDP property, we develop an efficient algorithm. Theoretically, our algorithm has a worst-case
O
(
n
2
)
complexity, but we prove that, subject to slight conditions, the worst case cannot happen on a 64-bit computer when the problem dimension is greater than 129. We provide extensive simulation results to support the argument and it explains why, in practice, our algorithm runs significantly faster than most existing algorithms, including many
O
(
n
) algorithms. |
|---|---|
| Bibliografie: | ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14 |
| ISSN: | 0925-5001 1573-2916 |
| DOI: | 10.1007/s10898-019-00748-3 |