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The optimization problem is formulated as a nonlinear and non-convex mathematical program and solved by a specialized steepest descent direction algorithm.
In order to find the optimal solution of the model efficiently, we reformulate the proposed model as a single-level mathematical program and further linearize it in designing the heuristic algorithm.
We note that the problem (HEVP) includes some problems, for example, mathematical program and hierarchical minimization problems as special cases.
Here, ({c}_{mathcal {M}_{t}}) (binary integer) and ({p}_{mathcal {M}_{t}}) (continuous) are variables in this mathematical program, and we have to deal with their product ({c}_{mathcal {M}_{t}}{p}_{mathcal {M}_{t}}).
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"Mathematical Programming and Project Interrelationships in Capital Budgeting," presented at the International Symposium on Mathematical Programming, Princeton, August 1967.
His research focuses on mathematical programming, and he is a fellow at the IBM Watson Research Center.
He is currently on the Editorial Boards of Mathematical Programming and the Journal for Machine Learning Research.
"Mathematical Programming and Capital Budgeting Under Risk, Econometric Research Program Research Paper No.. 14, Princeton University (September 1966), presented at The Institute of Management Sciences Thirteenth International Meeting, Philadelphia, September 1966.
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