Twenty years of linear programming based portfolio optimization

Markowitz formulated the portfolio optimization problem through two criteria: the expected return and the risk, as a measure of the variability of the return. The classical Markowitz model uses the variance as the risk measure and is a quadratic programming problem. Many attempts have been made to linearize the portfolio optimization problem. Several different risk measures have been proposed which are computationally attractive as (for discrete random variables) they give rise to linear programming (LP) problems. About twenty years ago, the mean absolute deviation (MAD) model drew a lot of attention resulting in much research and speeding up development of other LP models. Further, the LP models based on the conditional value at risk (CVaR) have a great impact on new developments in portfolio optimization during the first decade of the 21st century. The LP solvability may become relevant for real-life decisions when portfolios have to meet side constraints and take into account transaction costs or when large size instances have to be solved. In this paper we review the variety of LP solvable portfolio optimization models presented in the literature, the real features that have been modeled and the solution approaches to the resulting models, in most of the cases mixed integer linear programming (MILP) models. We also discuss the impact of the inclusion of the real features.     

A branch and bound based heuristic for makespan minimization of washing operations in hospital sterilization services

In this paper, we address the problem of parallel batching of jobs on identical machines to minimize makespan. The problem is motivated from the washing step of hospital sterilization services where jobs have different sizes, different release dates and equal processing times. Machines can process more than one job at the same time as long as the total size of jobs in a batch does not exceed the machine capacity. We present a branch and bound based heuristic method and compare it to a linear model and two other heuristics from the literature. Computational experiments show that our method can find high quality solutions within short computation time.     

Information-theoretic approaches to branching in search

Deciding what question to branch on at each node is a key element of search algorithms. In this paper, we describe a collection of techniques for branching decisions that are motivated from an information-theoretic perspective. The idea is to drive the search to reduce the uncertainty (entropy) in the current subproblem. We present four families of methods for branch question selection in mixed integer programming that use this idea. In the first, a variable to branch on is selected based on lookahead. This method performs comparably to strong branching on MIPLIB, and better than strong branching on hard real-world procurement optimization instances on which CPLEX’s default strong branching outperforms CPLEX’s default branching strategy. The second family combines this idea with strong branching. The third family does not use lookahead, but instead exploits the tie between indicator variables and the variables they govern. This significantly outperforms the state-of-the-art branching strategies on both combinatorial procurement problems and facility location problems. The fourth family concerns branching using carefully constructed linear inequality constraints over sets of variables.     

不确定运行时间环境下的车辆调度问题及启发式算法

考虑到物流公司或者配送中心车辆实际运行过程中时间的不确定性,提出了配送服务线路包含时间窗口、车辆容量约束的随机规划模型,以最小化车辆运行成本同时尽可能降低所服务顾客的不满意度.同时,又稍作改进给出了平均-风险模型,由于VRP问题是NP难的,给出了一种基于禁忌搜索的启发式算法,并以北京市13个点的为例,给出求解结果.     

多车型多品种货物配装优化问题的混合启发式算法

为满足客户多样化和个性化的需求,建立能充分、均衡利用装载工具的载重和容积的多品种、多车型货物配装模型,并从全局、整体最优上设计混合启发式算法求解。首先,采用实数序列编码,使问题变得更简洁;基于容重比平衡法构建初始解,提高了解的可行性;用基于排序的选择与最佳保留相结合策略,保证群体的多样性;采用改进的非一致变异,加强染色体的局部搜索能力;其次,对遗传算法求得的精英种群再进行禁忌搜索,提高了搜索效率;最后,通过实例计算证明了上述模型和算法的有效性,并为大规模解决实际问题提供思路。     

Reliability analysis of non‐repairable systems modeled by dynamic fault trees with priority AND gates

Many real‐life systems are typically involved in sequence‐dependent failure behaviors. Such systems can be modeled by dynamic fault trees (DFTs) with priority AND gates, in which the occurrence of the top events depends on not only combinations of basic events but also their failure sequences. To the author's knowledge, the existing methods for reliability assessment of DFTs with priority AND gates are mainly Markov‐state‐space‐based, inclusion–exclusion‐based, Monte Carlo simulation‐based, or sequential binary decision diagram‐based approaches. Unfortunately, all these methods have their shortcomings. They either suffer the problem of state space explosion or are restricted to exponential components time‐to‐failure distributions or need a long computation time to obtain a solution with a high accuracy. In this article, a novel method based on dynamic binary decision tree (DBDT) is first proposed. To build the DBDT model of a given DFT, we present an adapted format of the traditional Shannon's decomposition theorem. Considering that the chosen variable index has a great effect on the final scale of disjoint calculable cut sequences generated from a built DBDT, which to some extent determines the computational efficiency of the proposed method, some heuristic branching rules are presented. To validate our proposed method, a case study is analyzed. The results indicate that the proposed method is reasonable and efficient. Copyright © 2015 John Wiley & Sons, Ltd.     

分子亲脂-亲水性的量子化学描述II. 氨基酸侧链的亲水指标和亲脂指标

在启发式亲脂势HMLP(heuristicmolecularlipophilicitypotential)的基础上提出了分子、分子片段和原子的亲水指标和亲脂指标.计算出了20个天然氨基酸侧链的亲水、亲脂指标和亲水、亲脂表面积,并用线性自由能函数表达氨基酸侧链的溶剂化自由能,?Gsol,=b0 b1Li b2Hi b3Si b4Si.应用线性自由能函数和氨基酸侧链的亲水和亲脂! -i指标,计算了20个氨基酸残基的3种相转移自由能(蒸气-水、蒸气-正辛醇、正辛醇-水)和正辛醇-水分配系数logPow,取得了与实验值高度一致的良好效果.HMLP的亲水和亲脂指标是HMLP的指标化,扩展了这一方法的使用范围.氨基酸侧链的亲水、亲脂指标和线性自由能函数有望用于生物大分子受体与配体的结合自由能的估算、蛋白质的结构与功能、蛋白-蛋白相互作用和识别的研究.     

唇形科植物挥发油化学成分的GC/MS研究

在运用GC/MS技术的基础上采用HELP(直观推导式演进特征投影法)方法研究了九种唇形科植物的化学成分, 并以唇形科植物半枝莲为例详细介绍了HELP的解析过程. 应用总体积积分法测定各成分的相对百分含量. 鉴定出相对共有成分达70余种, 大多数为萜类化合物及其衍生物. 不同的唇形科植物的挥发油化学成分与特征成分有明显差异. 九种药材挥发性成分中均含有桉油精(Eucalyptol, 含量0.10%～1.01%)和芳樟醇(Linalool, 0.11%～3.05%). 利用GC/MS分析法结合化学计量学分辨方法鉴定挥发油化学成分, 比单独使用GC-MS法结果更准确、可靠.     

多元曲线分辨结合在线红外用于3-氨基-4-氨基肟基呋咱的合成反应机理

利用红外光谱在线监测丙二睛、亚硝酸钠和盐酸羟胺合成3-氨基-4-氨基肟基呋咱的反应过程,采用多元曲线分辨-交替最小二乘法（MCR-ALS）、直观推导式演进特征投影法(HELP)等化学计量学方法对反应过程所获得的实时红外光谱数据矩阵进行解析,得到了各组分纯物质的浓度变化曲线和对应的红外光谱,并将多元曲线分辨 交替最小二乘法与直观推导式演进特征投影法的分析结果进行比较,得出可相互验证的一致结论,据此推出该反应合理的反应机理。 2种方法得到的反应物与生成物的光谱与原光谱的相似度近似于1,说明该解析方法具有准确性和可靠性。 结果表明,化学计量学结合红外光谱可有效的应用于3-氨基-4-氨基肟基呋咱合成过程的机理推断。