Finding Balanced Incomplete Block Designs with Metaheuristics

Rueda, David Rodríguez; Cotta, Carlos; Fernández, Antonio J.

doi:10.1007/978-3-642-01009-5_14

Cited by 6 publications

(1 citation statement)

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“…Flener et al have also exploited the similarities between a (PD) problem and the well-known (BIBD) (Balanced Incomplete Block Designs) problem (Hall, 1964;Rodriguez et al, 2009), defined as follows:…”

Section: Definitionmentioning

confidence: 99%

A Local Search Approach to Solve a Financial Portfolio Design Problem

Lebbah

2015

International Journal of Applied Metaheuristic Computing

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This paper introduces a local search optimization technique for solving efficiently a financial portfolio design problem which consists to affect assets to portfolios, allowing a compromise between maximizing gains and minimizing losses. This practical problem appears usually in financial engineering, such as in the design of CDO-squared portfolios. This problem has been modeled by Flener et al. who proposed an exact method to solve it. It can be formulated as a quadratic program on the 0-1 domain. It is well known that exact solving approaches on difficult and large instances of quadratic integer programs are known to be inefficient. That is why this work has adopted a local search method. It proposes neighborhood and evaluation functions specialized on this problem. To boost the local search process, it also proposes a greedy algorithm to start the search with an optimized initial configuration. Experimental results on non-trivial instances of the problem show the effectiveness of this work's approach.

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Section: Definitionmentioning

confidence: 99%