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Optimisation non convexe en finance et en gestion de production : modèles et méthodes

Abstract : This thesis deals with optimization techniques for solving some optimization problems in two domains : portfolio selection and production management. They are large scale non convex optimization problems due to integer variables and/or the non convexity of the objective function. Our approach is based on DC programming and DCA, DC relaxation techniques and the algorithm Branch and Bound. This work is motivated by the robustness and the performance of the DC programming and DCA compared to other methods. The thesis includes three parts : In the first part, we present the fundamental tools and the essential techniques in DC programming, DCA as well as the method Branch and Bound. The second one concerns some non convex optimization problem in portfolio selection. Two following problems are considered : Min max continuous problem with the cardinality constraints in portfolio selection ; A class of bilevel programming problems and its application in portfolio selection. The third part contains some non convex optimization problems in production management. We study three problems : Minimization of the maintenance cost involving the flow time and the tardiness penalty ; Minimization of the cost of multi-stages production/inventory systems with bottleneck ; Determination of transfer prices and inventory policy in supply chain of two enterprises
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Duc Quynh Tran. Optimisation non convexe en finance et en gestion de production : modèles et méthodes. Autre [cs.OH]. Université Paul Verlaine - Metz, 2011. Français. ⟨NNT : 2011METZ019S⟩. ⟨tel-01749047⟩



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