Computational experience with the non-linear programming formulation of the dispersion problem is reported. Four of the solutions found are superior to the best known solutions in the literature for ...

William T. Ziemba, Solving Nonlinear Programming Problems with Stochastic Objective Functions, The Journal of Financial and Quantitative Analysis, Vol. 7, No. 3 (Jun., 1972), pp. 1809-1827 ...

To solve the problem, the authors use a partial outer convexification approach, which involves two stages: the solution of a (smoothed) nonlinear programming problem with dynamic constraints and a ...