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Heuristic solution procedures for a mixed‐integer programming discriminant model
Author(s) -
Rubin Paul A.
Publication year - 1990
Publication title -
managerial and decision economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.288
H-Index - 51
eISSN - 1099-1468
pISSN - 0143-6570
DOI - 10.1002/mde.4090110407
Subject(s) - heuristics , integer programming , integer (computer science) , mathematical optimization , heuristic , linear programming , branch and price , computer science , mathematics , programming language
Mixed‐integer programming models for the two‐group discriminant problem appear to be more promising, in terms of accuracy, than are linear programming models, but at a substantial computational cost. This paper poses a particular mixed‐integer model and suggests heuristics, based on linear programming, for obtaining suboptimal but “good” solutions to it. The heuristics are compared to the mixed‐integer model using Monte Carlo simulation with Gaussian data.