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\iteman{io-port 06106622}
\itemau{Katterbauer, Klemens; Oguz, Ceyda; Salman, Sibel}
\itemti{Hybrid adaptive large neighborhood search for the optimal statistic median problem.}
\itemso{Comput. Oper. Res. 39, No. 11, 2679-2687 (2012).}
\itemab
Summary: The problem of maximizing the median of a convex combination of vectors having important applications in finance is considered. The objective function is a highly nonlinear, nondifferentiable function with many local minima and the problem was shown to be APX hard. We present two hybrid Large Neighborhood Search algorithms that are based on mixed-integer programs and include a time limit for their running times. We have tested the algorithms on three testbeds and showed their superiority compared to other state-of-the-art heuristics for the considered problem. Furthermore, we achieved a significant reduction in running time for large instances compared to solving it exactly while retaining high quality of the solutions returned.
\itemrv{~}
\itemcc{}
\itemut{statistic median problem; large neighborhood search; global optimization; hybridization; mixed-integer programming}
\itemli{doi:10.1016/j.cor.2012.02.019}
\end