Amirkabir University of Technology

About: Amirkabir University of Technology is a education organization based out in Tehran, Iran. It is known for research contribution in the topics: Nonlinear system & Fuzzy logic. The organization has 15254 authors who have published 31165 publications receiving 487551 citations. The organization is also known as: Tehran Polytechnic & Tehran Polytechnic University.

Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm

Abstract: Heuristic algorithms strengthen researchers to solve more complex and combinatorial problems in a reasonable time. Markowitz's Mean-Variance portfolio selection model is one of those aforesaid problems. Actually, Markowitz's model is a nonlinear (quadratic) programming problem which has been solved by a variety of heuristic and non-heuristic techniques. In this paper a portfolio selection model which is based on Markowitz's portfolio selection problem including three of the most important limitations is considered. The results can lead Markowitz's model to a more practical one. Minimum transaction lots, cardinality constraints (both of which have been presented before in other researches) and market (sector) capitalization (which is proposed in this research for the first time as a constraint for Markowitz model), are considered in extended model. No study has ever proposed and solved this expanded model. To solve this mixed-integer nonlinear programming (NP-Hard), a corresponding genetic algorithm (GA) is utilized. Computational study is performed in two main parts; first, verifying and validating proposed GA and second, studying the applicability of presented model using large scale problems.

A humanitarian logistics model for disaster relief operation considering network failure and standard relief time: A case study on San Francisco district

Abstract: We propose a multi-depot location-routing model considering network failure, multiple uses of vehicles, and standard relief time. The model determines the locations of local depots and routing for last mile distribution after an earthquake. The model is extended to a two-stage stochastic program with random travel time to ascertain the locations of distribution centers. Small instances have been solved to optimality in GAMS. A variable neighborhood search algorithm is devised to solve the deterministic model. Computational results of our case study show that the unsatisfied demands can be significantly reduced at the cost of higher number of local depots and vehicles.