| Full text | |
| Author(s): |
Birgin, E. G.
;
Martinez, J. M.
Total Authors: 2
|
| Document type: | Journal article |
| Source: | EURO JOURNAL ON COMPUTATIONAL OPTIMIZATION; v. 4, n. 1, p. 14-pg., 2016-02-01. |
| Abstract | |
Algencan is a freely available piece of software that aims to solve smooth large-scale constrained optimization problems. When applied to specific problems, obtaining a good performance in terms of efficacy and efficiency may depend on careful choices of options and parameters. In the present paper, the application of Algencan to four portfolio optimization problems is discussed and numerical results are presented and evaluated. (AU) | |
| FAPESP's process: | 13/07375-0 - CeMEAI - Center for Mathematical Sciences Applied to Industry |
| Grantee: | Francisco Louzada Neto |
| Support Opportunities: | Research Grants - Research, Innovation and Dissemination Centers - RIDC |
| FAPESP's process: | 13/05475-7 - Computational methods in optimization |
| Grantee: | Sandra Augusta Santos |
| Support Opportunities: | Research Projects - Thematic Grants |
| FAPESP's process: | 10/10133-0 - Cutting, packing, lot-sizing and scheduling problems and their integration in industrial and logistics settings |
| Grantee: | Reinaldo Morabito Neto |
| Support Opportunities: | Research Projects - Thematic Grants |
| FAPESP's process: | 13/03447-6 - Combinatorial structures, optimization, and algorithms in theoretical Computer Science |
| Grantee: | Carlos Eduardo Ferreira |
| Support Opportunities: | Research Projects - Thematic Grants |