Randomized time‐varying knapsack problems via binary beetle antennae search algorithm: Emphasis on applications in portfolio insurance

The knapsack problem is a problem in combinatorial optimization, and in many such problems, exhaustive search is not tractable. In this paper, we describe and analyze the randomized time‐varying knapsack problem (RTVKP) as a time‐varying integer linear programming (TV‐ILP) problem. In this way, we p...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Mathematical methods in the applied sciences Jg. 44; H. 2; S. 2002 - 2012
Hauptverfasser: Medvedeva, Marina A., Katsikis, Vasilios N., Mourtas, Spyridon D., Simos, Theodore E.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Freiburg Wiley Subscription Services, Inc 30.01.2021
Schlagworte:
Combinatorial analysis
Insurance
Integer programming
Knapsack problem
Linear programming
meta‐heuristic optimization
Optimization
portfolio optimization
Search algorithms
time‐varying integer linear programming
ISSN:0170-4214, 1099-1476
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:The knapsack problem is a problem in combinatorial optimization, and in many such problems, exhaustive search is not tractable. In this paper, we describe and analyze the randomized time‐varying knapsack problem (RTVKP) as a time‐varying integer linear programming (TV‐ILP) problem. In this way, we present the on‐line solution to the RTVKP combinatorial optimization problem and highlight the restrictions of static methods. In addition, the RTVKP is applied in the field of finance and converted into a portfolio insurance problem. Our methodology is confirmed by simulation tests in real‐world data sets, in order to explain being an excellent alternative to traditional approaches.
Bibliographie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0170-4214
1099-1476
DOI:10.1002/mma.6904