A decision support approach for two-stage multi-objective index tracking using improved lagrangian decomposition

Dexiang Wu and Desheng Dash Wu

Omega, 2020, vol. 91, issue C

Abstract: We present a decision support approach for a network structured stochastic multi-objective index tracking problem in this paper. Due to the non-convexity of this problem, the developed network is modeled as a Stochastic Mixed Integer Linear Program (SMILP). We also propose an optimization-based approach to scenario generation to protect against the risk of parameter estimation for the SMILP. Progressive Hedging (PH), an improved Lagrangian scheme, is designed to decompose the general model into scenario-based sub-problems. Furthermore, we innovatively combine tabu search and the sub-gradient method into PH to enhance the tracking capabilities of the model. We show the robustness of the algorithm through effectively solving a large number of numerical instances.

Keywords: Uncertainty; Index tracking; Stochastic mixed integer linear program (SMILP); Progressive hedging (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0305048316310179
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:91:y:2020:i:c:s0305048316310179

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.omega.2018.12.006

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).