In:
Mathematical Problems in Engineering, Hindawi Limited, Vol. 2012 ( 2012), p. 1-16
Abstract:
The special importance of Difference of Convex (DC) functions programming has been recognized in recent studies on nonconvex optimization problems. In this work, a class of DC programming derived from the portfolio selection problems is studied. The most popular method applied to solve the problem is the Branch-and-Bound (B & B) algorithm. However, “the curse of dimensionality” will affect the performance of the B & B algorithm. DC Algorithm (DCA) is an efficient method to get a local optimal solution. It has been applied to many practical problems, especially for large-scale problems. A B & B-DCA algorithm is proposed by embedding DCA into the B & B algorithms, the new algorithm improves the computational performance and obtains a global optimal solution. Computational results show that the proposed B & B-DCA algorithm has the superiority of the branch number and computational time than general B & B. The nice features of DCA (inexpensiveness, reliability, robustness, globality of computed solutions, etc.) provide crucial support to the combined B & B-DCA for accelerating the convergence of B & B.
Type of Medium:
Online Resource
ISSN:
1024-123X
,
1563-5147
Language:
English
Publisher:
Hindawi Limited
Publication Date:
2012
detail.hit.zdb_id:
2014442-8
SSG:
11