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...

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Bibliographic Details
Published in:Mathematical methods in the applied sciences Vol. 44; no. 2; pp. 2002 - 2012
Main Authors: Medvedeva, Marina A., Katsikis, Vasilios N., Mourtas, Spyridon D., Simos, Theodore E.
Format: Journal Article
Language:English
Published: Freiburg Wiley Subscription Services, Inc 30.01.2021
Subjects:
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 Access:Get full text
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Summary: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.
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ISSN:0170-4214
1099-1476
DOI:10.1002/mma.6904