Skip to main content

Advertisement

Log in

Nonlinear optimization problem of interdependent investment projects portfolio

  • Control Sciences
  • Published:
Automation and Remote Control Aims and scope Submit manuscript

Abstract

The optimal portfolio problem of effect-interdependent investment projects is considered. An algorithm yielding the optimal solution based on the method of network programming is suggested. The performance of this algorithm is illustrated using an example.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Subscribe and save

Springer+ Basic
$34.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or eBook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Similar content being viewed by others

References

  1. Lakhmetkina, N.I., Investitsionnaya strategiya predpriyatiya (Investment Strategy of an Enterprise), Moscow: KNORUS, 2014, 7th ed.

    Google Scholar 

  2. Santhanam, R. and Kyparisis, G.J., A Decision Model for Interdependent Information System Project Selection, Eur. J. Operat. Res., 1996, vol. 89, pp. 380–399.

    Article  MATH  Google Scholar 

  3. Verma, D. and Sinha, K.K., Toward a Theory of Project Interdependencies in High Tech R&D Environments, J. Operat, Manage., 2002, vol. 20, pp. 451–468.

    Article  Google Scholar 

  4. Dickinson, M.W., Thornton, A.C., and Graves, S., Technology Portfolio Management: Optimizing Interdependent Projects over Multiple Time Periods, IEEE Trans. Eng. Manage., 2001, vol. 48, no. 4, pp. 518–527.

    Article  Google Scholar 

  5. Barkalov, S.A., Voropaev, V.I., Sekletova, G.I., et al., Matematicheskie osnovy upravleniya proektami. Uchebnoe posobie (Mathematical Fundamentals of Project Management: A Textbook), Moscow: Vysshaya Shkola, 2005.

    Google Scholar 

  6. Alferov, V.I., Barkalov, S.A., Burkov, V.N., et al., Prikladnye zadachi upravleniya stroitel’nymi proektami (Applied Problems of Construction ProjectManagement), Voronezh: Tsentr.-Chernoz. Knizh. Izd., 2008.

    Google Scholar 

  7. Shomova, E.N., Modeling of Interdependent Innovative Projects Portfolio, Upravlen. Proekt. Progr., 2011, no.4.

  8. Nedovesov, M.V. and Rudenko, Z.G., Optimal Portfolio of Interdependent Projects Construction and Time Optimization, Probl. Upravlen., 2012, no. 4, pp. 26–31.

    Google Scholar 

  9. Pardalos, P.M. and Vavasis, S.A., Quadratic Programming with One Negative Eigenvalue is NP-hard, J. Global Optimiz., 1991, vol. 1, no. 1, pp. 15–22.

    Article  MathSciNet  MATH  Google Scholar 

  10. Wong, E., Active-Set Methods for Quadratic Programming, PhD Dissertation, University of California, San Diego, 2011.

    Google Scholar 

  11. Absil, P.A. and Tits, A.L., Newton–KKT Interior-point Methods for Indefinite Quadratic Programming, Computat. Optimiz. Appl., 2007, vol. 36, no. 1, pp. 5–41.

    Article  MathSciNet  MATH  Google Scholar 

  12. Vandenbussche, D. and Nemhauser, G.L., A Branch-and-Cut Algorithm for Nonconvex Quadratic Programs with Box Constraints, Math. Program., 2005, vol. 102, no. 3, pp. 559–575.

    Article  MathSciNet  MATH  Google Scholar 

  13. Shor, N.Z. and Stetsenko, S.I., Kvadratichnye ekstremal’nye zadachi i nedifferentsiruemaya optimizatsiya (Quadratic Extremal Problems and Nondifferentiable Optimization), Kiev: Naukova Dumka, 1988.

    Google Scholar 

  14. Burer, S. and Vandenbussche, D., A Finite Branch-and-Bound Algorithm for Nonconvex Quadratic Programming via Semidefinite Relaxations, Math. Program., 2008, vol. 113, no. 2, pp. 259–282.

    Article  MathSciNet  MATH  Google Scholar 

  15. Burkova, I.V., A Method of Network Programming in Problems of Nonlinear Optimization, Autom. Remote Control, 2009, vol. 70, no. 10, pp. 1606–1612.

    Article  MathSciNet  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Z. G. Rudenko.

Additional information

Original Russian Text © Z.G. Rudenko, 2015, published in Problemy Upravleniya, 2015, No. 5, pp. 67–70.

Rights and permissions

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Rudenko, Z.G. Nonlinear optimization problem of interdependent investment projects portfolio. Autom Remote Control 77, 1849–1854 (2016). https://doi.org/10.1134/S0005117916100118

Download citation

  • Received:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1134/S0005117916100118

Navigation