A branch and search algorithm for a class of nonlinear knapsack problems. (English) Zbl 0526.90066
MSC:
| 90C10 | Integer programming |
| 91B28 | Finance etc. (MSC2000) |
| 65K05 | Numerical mathematical programming methods |
| 90C20 | Quadratic programming |
Keywords:
nonlinear knapsack problems; branch and search procedure; efficient algorithm; continuous (relaxed) solution; reduction; tight lower and upper bounds; capital budgeting; quadratic objective functionReferences:
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| [2] | Faaland, B., An integer programming algorithm for portfolio selection, Management Science, 20, 1376-1384 (1974) · Zbl 0304.90008 |
| [3] | Greenberg, H.; Hegerich, R., A branch and search algorithm for the knapsack problem, Management Science, 16, 327-332 (1970) · Zbl 0191.48401 |
| [4] | Markowitz, H., Portfolio Selection: Efficient Diversification of Investments (1959), Wiley: Wiley New York |
| [5] | Pegden, C. D.; Peterson, C. C., An algorithm for solving integer programming problems with seperable nonlinear objective functions, Naval Research Logist. Quarterly, 26, 595-609 (1978) · Zbl 0496.90061 |
| [6] | Reiter, S.; Rice, D. B., Discrete optimizing solution procedures for linear and nonlinear integer programming problems, Management Science, 12, 829-850 (1966) |
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