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dc.contributor.advisorDimitris Bertsimas.en_US
dc.contributor.authorTziligakis, Constantine Nikolaosen_US
dc.contributor.otherMassachusetts Institute of Technology. Operations Research Center.en_US
dc.date.accessioned2005-08-22T20:42:19Z
dc.date.available2005-08-22T20:42:19Z
dc.date.copyright1999en_US
dc.date.issued1999en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/9375
dc.descriptionThesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 1999.en_US
dc.descriptionIncludes bibliographical references (leaves 107-111).en_US
dc.description.abstractWe develop various algorithms for solving mixed integer-quadratic problems. These problems exhibit exponential complexity resulting from the presence of integer variables. Traditional approaches that apply in pure integer programming are not very helpful, since the existence of continuous variables in our problems complicates their use. Vie develop relaxation and heuristic algorithms designed so as to provide tight lower and upper bounds to the optimal solution of the mixed combinatorial problem. In some cases the obtained range, in which the optimum lies, is small enough to be considered satisfactory by itself. This has been accomplished in problems with up to 150 variables. Exact algorithms have also been developed and guarantee the optimal solution upon termination. The idea of Branch and Bound enhanced with the use of lower and upper bounds obtained with the aforementioned methods is implemented for that purpose. Problems with up to 70 variables have been solved. Our ideas and algorithms are applied to the Problem of Index and Portfolio Replication with a limited number of assets. This problem arises in Finance, but, in its more general form, can find application in various areas ranging from Statistics to Optimal Control and Manufacturing.en_US
dc.description.statementofresponsibilityby Constantine Nikolaos Tziligakis.en_US
dc.format.extent111 leavesen_US
dc.format.extent9078939 bytes
dc.format.extent9078699 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypeapplication/pdf
dc.language.isoengen_US
dc.publisherMassachusetts Institute of Technologyen_US
dc.rightsM.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.en_US
dc.rights.urihttp://dspace.mit.edu/handle/1721.1/7582
dc.subjectOperations Research Center.en_US
dc.titleRelaxation and exact algorithms for solving mixed integer-quadratic optimization problemsen_US
dc.typeThesisen_US
dc.description.degreeS.M.en_US
dc.contributor.departmentMassachusetts Institute of Technology. Operations Research Center.en_US
dc.identifier.oclc44815245en_US


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