hw1 - IE 418 Integer Programming Problem Set #1 Due Date:...

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IE 418 – Integer Programming Problem Set #1 Due Date: February 9 Do the following problems. You may work with one other classmate. If you work alone, you will receive a 10% bonus. You are allowed to examine outside sources, but you must cite any references that you use. Please don’t discuss the problems with other members of the class (other than your partner, if you are working with one). 1 Formulation Practice 1.1 Problem Nemhauser and Wolsey Problem I.1.8.2 1.2 Problem Nemhauser and Wolsey Problem I.1.8.3 1.3 Problem Nemhauser and Wolsey Problem I.1.8.4 1.4 Problem (A more explicit version of Nemhauser and Wolsey Problem I.1.8.5) You are given the following data: B Set of Bonds G Set of Goverment Bonds G B I Set of Industry Bonds I B γ b Yield of bond b B ` b Maturity length of bond b B q b (Numerical) quality of bond b B K Budget Given a MILP formulation that will maximize the average yield of a bond portfolio, subject to the following constraints: 1. The average length of maturity is at least
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This note was uploaded on 02/29/2008 for the course IE 418 taught by Professor Ralphs during the Spring '08 term at Lehigh University .

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hw1 - IE 418 Integer Programming Problem Set #1 Due Date:...

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