PORTFOLIO SELECTION THEORY WITH STRICTLY POSITIVE SUPPLY OF RISKLESS ASSET

1. IntroductionH. Ma.kowitz[1] developped the mean-variance model of asset choice where there are morethan two risky assets traded in a frictionless economys unlimited short selling is allowed and therates of return on these assets have finite variances. N. Gonz.lez--GaverraL2] and R. Merton[3]gave a detailed discussion. Maily results of N. Gonzalez--Gaverra[2] were later independentlyderived by R. Roll[4]. G. Chamberlain[5] characterizes the complete family of distributions thatare neces…     

求解多项目组合选择问题的奔德斯分解算法

随着我国经济的快速发展,项目组合选择问题所面临的待选项目集日益膨胀.而项目组合选择模型通常表示为整数规划或混合整数规划的形式,过多的待选项目会对项目组合选择模型的高效求解带来巨大的挑战.针对这一问题,本文研究了多项目组合选择模型的奔德斯分解算法.将原问题分解成仅考虑从待选项目集中选出最优组合的主问题与对已选项目进行排序的子问题,通过主子问题间的迭代逐步逼近最优解.通过算法性能分析,发现直接使用奔德斯分解算法存在着收敛速度慢,子问题不可行的缺点.为了加速算法的收敛速度,对主问题进行了修正,提出了一种利用潜在的最优项目及有效不等式改进主问题的新思路.最后,通过算例分析,对比了直接使用分支定界法与使用奔德斯分解算法两类求解方法的求解效率,验证了本文所提出方法的有效性与合理性.     

价格控制问题及其推广形式的罚函数法

价格控制问题是一类重要的二层规划问题。本文提出了求解这一问题及其推广形式的罚函数法,且在唯一解的假高条件下证明了方法的有限终止性数值结果表明算法是可行的、有效的。     

GLOBAL SUPERCONVERGENCE FOR A MIXED FINITE ELEMENT METHOD FOR THE WAVE EQUATION

1.IntroductionWeconsiderthesecondorderhyperbolicequationwithinitialconditionswhereaCRZisaboundeddomainwithboundariesparalleltotheaxes.Forconvenience,weassumehomogeneousDirichletboundaryconditions'Weassumethatthefunctionsailandfareuniformlyboundedandmeasurable,andthespatialoperatorisuniformlyellipticinthesensethatthereexistpositiveconstantsorandPsuchthatInamixedfiniteelementformulationbothdisplacementsandstressesareapproximatedsimultaneously.ThispropertyisimportantincomputingDarcyvelocitieso…     

多目标线性规划的一种矩阵对策方法

提出了一种求解多目标线性规划问题的人机对话方法，其基本原理与ＳＴＥＭ方法大致相同，但采用了两人零和混合对策思想确定Ｔｃｈｅｂｙｃｈｅｖ距离中的相对权重，使权重的确定方法较传统的机械式相对固定权重确定方法更为合理     

A LOGARITHMIC BARRIER NEWTON METHOD FOR SEMIDEFINITE PROGRAMMING

1.IntroductionInrecentyears,muchattentionhasbeenfocusedonthesemidefiniteprogramming(SDP)problem.OnereasonisthatSDPhasveryimportantapplicationsinmanyareas,suchascombinationaloptimization,systemandcontroltheory,eigenvalueoptimizationetc.[1'2'3]Anotherreason…     

A CUTTING PLANE METHOD FOR LINEAR BILEVEL PROGRAMS

1.IntroductionThebilevelprogr~ngproblem(BLPP),anoptimizationproblemwithaspecialconstraintfunctionwhichisimplicitlydeterminedbyanotheroptimizationproblem,hasreceivedmuchatteDtionofresearchersduringthelastdecade.Falkll]pioneeredtheworkbystudyingthegeneralmad-minproblem,aspecialcaseoflinearBLPP,andproposedamethodbasedonbranch-and-boundandlinearprogrammingtechniques.BialasandKar.an[2]investigatedthegeometricpropertiesofthefeasibleregionofthelinearBLPPandshowedthatsolutionsoftheproblemmayoccu…     

Linear goal programming approach to obtaining the weights of intuitionistic fuzzy ordered weighted averaging operator

The multiple attribute decision making problems are studied, in which the information about attribute weights is partly known and the attribute values take the form of intuitionistic fuzzy numbers. The operational laws of intuitionistic fuzzy numbers are introduced, and the score function and accuracy function are presented to compare the intuitionistic fuzzy numbers. The intuitionistic fuzzy ordered weighted averaging (IFOWA) operator which is an extension of the well-known ordered weighted averaging (OWA) operator is investigated to aggregate the intuitionistic fuzzy information. In order to determine the weights of intuitionistic fuzzy ordered weighted averaging operator, a linear goal programming procedure is proposed for learning the weights from data. Finally, an example is illustrated to verify the effectiveness and practicability of the developed method.     

POPOV METHOD FOR ROBUST ANALYSIS AND ROBUST SYNTHESIS OF MIMO LINEAR SYSTEMS WITH MRAMETRIC UNCERTAINTIES

ＰＯＰＯＶＭＥＴＨＯＤＦＯＲＲＯＢＵＳＴＡＮＡＬＹＳＩＳＡＮＤＲＯＢＵＳＴＳＹＮＴＨＥＳＩＳＯＦＭＩＭＯＬＩＮＥＡＲＳＹＳＴＥＭＳＷＩＴＨＭＲＡＭＥＴＲＩＣＵＮＣＥＲＴＡＩＮＴＩＥＳ￥ＨＵＡＮＧＹｉ（ＩｎｓｔｉｔｕｔｅｏｆＳｙｓｔｅｍｓＳｃｉｅｎｃｅ...