Nonlinear optimization problem of interdependent investment projects portfolio

DOI10.1134/S0005117916100118zbMath1414.91352OpenAlexW2533541097MaRDI QIDQ507118

Z. G. Rudenko

Publication date: 3 February 2017

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117916100118

zbMATH Keywords

network programmingnonlinear optimizationinterdependent investment projects portfolio

Mathematics Subject Classification ID

Programming involving graphs or networks (90C35) Applications of optimal control and differential games (49N90) Portfolio theory (91G10)

Uses Software

• NewtonKKTqp

Cites Work

• Newton-KKT interior-point methods for indefinite quadratic programming
• A method of network programming in problems of nonlinear optimization
• Quadratic programming with one negative eigenvalue is NP-hard
• A decision model for interdependent information system project selection
• A branch-and-cut algorithm for nonconvex quadratic programs with box constraints
• A finite branch-and-bound algorithm for nonconvex quadratic programming via semidefinite relaxations

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