考虑现实约束的模糊多准则投资组合优化模型

针对模糊环境中资产收益和换手率均为模糊变量的投资组合问题, 考虑了资产组合的基数约束、投资比例的边界约束、资产的流动性以及分散化程度约束, 建立了一个以资产组合收益、偏度最大, 同时资产组合风险、不确定性以及模糊性最小为目标的多准则投资组合优化模型. 然后, 利用加权极大-极小模糊目标规划方法将所提出的模型转化为单目标规划问题, 进而设计了一个遗传算法来对其进行求解. 最后, 通过一个实例来阐明所提出模型的实用性以及算法的有效性. 研究结果表明: 本模型能够有效地刻画不同投资者的投资意图, 所设计的算法是有效的.     

单纯形法的旋转迭代算法在二次规划中的应用

二次规划是非线形规划中非常重要的一类，对它的求解人们通常是利用K—T条件将其转化为线性规划来进行。但由于在转化成线性规划的过程中要引入人工变量，从而使求解过程变得复杂且不易操作。本文应用单纯形法的旋转迭代算法求解二次规划，从而避免了以上困难，得到满意结果。     

A Comprehensive Dea Approach for the Resource Allocation Problem based on Scale Economies Classification

This paper is concerned with the resource allocation problem based on data envelopment analysis （DEA） which is generally found in practice such as in public services and in production process. In management context, the resource allocation has to achieve the effective-efficient-equality aim and tries to balance the different desires of two management layers： central manager and each sector. In mathematical programming context, to solve the resource allocation asks for introducing many optimization techniques such as multiple-objective programming and goal programming. We construct an algorithm framework by using comprehensive DEA tools including CCR, BCC models, inverse DEA model, the most compromising common weights analysis model, and extra resource allocation algorithm. Returns to scale characteristic is put major place for analyzing DMUs＇ scale economies and used to select DMU candidates before resource allocation. By combining extra resource allocation algorithm with scale economies target, we propose a resource allocation solution, which can achieve the effective-efficient-equality target and also provide information for future resource allocation. Many numerical examples are discussed in this paper, which also verify our work.     

考虑产品组合的零售门店选址模型

选址是影响实体门店长期发展的重要因素，选品个数是决定实体门店销量的关键因素，基于此，研究考虑选品个数的实体门店选址问题。首先，建立了以所有门店总利润最大化为上层目标和以顾客满意度最大为下层目标的双层规划模型。随后，设计了遗传算法求解该双层规划问题，从而得到问题的近似最优解。最后，以中国某家居公司为例验证了模型的可行性。计算结果表明，企业采用考虑产品组合的选址方案可以获得较高的利润，且本文的遗传算法拥有良好的计算效率和收敛速度。     

求解多目标二层规划的多目标进化算法

提出了一个求解多目标二层规划问题的多目标进化算法.用传统优化算法求解下层规划中用权向量线性加权后得到的单目标问题,而对上层的多目标规划问题则采用基于NSGA-II的选择机制的多目标进化算法求解.数值试验表明所提出的算法是有效的.     

Chance Constrained Integer Programming and Stochastic Simulation Based Genetic Algorithm

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Global convergent algorithm for the bilevel linear fractional-linear programming based on modified convex simplex method

A global convergent algorithm is proposed to solve bilevel linear fractional-linear programming,which is a special class of bilevel programming.In our algorithm,replacing the lower level problem by its dual gap equaling to zero,the bilevel linear fractional-linear programming is transformed into a traditional single level programming problem,which can be transformed into a series of linear fractional programming problem.Thus,the modified convex simplex method is used to solve the infinite linear fractional programming to obtain the global convergent solution of the original bilevel linear fractional-linear programming.Finally,an example demonstrates the feasibility of the proposed algorithm.     

D运输问题

提出一类要求货物尽量在某一给定时间以前如数运抵目的地的运输问题。这是一类含离散目标约束的目标规划问题，我们把它称为D运输问题。建立D运输问题的数学模型，引入可实施解、最优解、解对预警时间的偏差等概念，给出D运输问题的求解方法和一个计算例子。     

等式约束的凸非线性规划问题降维算法

对等式约束的凸非线性规划问题的非线性方程组算法进行了研究.从一般等式约束问题的最优性条件出发,构造一个非线性方程组,解此方程组便可求得非线性规划问题的最优解.     

连续体结构的模糊多目标拓扑优化设计方法研究

提出了连续体结构静力学和动力学多目标拓扑优化设计的模糊-目标规划方法。该方法利用目标规划方法将多目标优化问题转化为等效的单目标问题,并用模糊集理论中的非线性隶属函数来体现目标规划方法中目标函数期望值所具有的模糊性和不确定性。以结构静力学的刚度和动力学的特征值作为优化的两个目标函数,提出并建立了连续体结构拓扑优化设计的多目标优化模型。用移动渐进线方法(MMA)求解单目标优化问题,用序列线性规划方法(SLP)求解模糊-目标混合规划问题。通过典型的求解算例验证了所研究方法的有效性。     

一个证券组合投资分析的对策论方法

将给出证券组合投资分析的一个对策论方法 .将最小的可能收益作为风险的度量 ,将投资者的投资心理及证券市场的随机性考虑到模型之中 ,建立了证券组合投资的双层规划模型 ;对模型进行了理论分析、提出了求解算法 ;通过一个例子来说明如何用本文方法来进行证券组合投资分析.     

灰色非线性规划问题及其遗传算法求解方法

灰色系统中的非线性规划问题是一类重要问题 .本文针对一般灰色非线性规划问题 ,给出了一种基于随机模拟的遗传算法求解方法 .实例证明 ,将遗传算法应用于灰色非线性规划问题的求解能取得较好的效果.     

SOLVING RESOURCE—CONSTRAINED PROJECT SCHEDULING PROBLEMS WITH BI—CRITERIA HEURISTIC SEARCH TECHNIQUES

In this paper we formulate a bi-criteria search strategy of a heuristic learning algorithm forsolving multiple resource-constrained project scheduling problems. The heuristic solves problems intwo phases. In the pre-processing phase, the algorithm estimates distance between a state and the goalstate and measures complexity of problem instances. In the search phase, the algorithm uses estimatesof the pre-processing phase to further estimate distances to the goal state. The search continues in astepwise generation of a series of intermediate states through search path evaluation process withbacktracking. Developments of intermediate states are exclusively based on a bi-criteria new stateselection technique where we consider resource utilization and duration estimate to the goal state. Wealso propose a variable weighting technique based on initial problem complexity measures.Introducing this technique allows the algorithm to efficiently solve complex project schedulingproblems. A numerical example illustra     

A branch-and-cut approach to portfolio selection with marginal risk control in a linear conic programming framework

Marginal risk represents the risk contribution of an individual asset to the risk of the entire portfolio In this paper, we investigate the portfolio selection problem with direct marginal risk control in a linear conic programming framework. ＇The optimization model involved is a nonconvex quadratically constrained quadratic programming （QCQP） problem. We first transform the QCQP problem into a linear conic programming problem, and then approximate the problem by semidefinite programming （SDP） relaxation problems over some subrectangles. In order to improve the lower bounds obtained from the SDP relaxation problems, linear and quadratic polar cuts are introduced for designing a branch-and-cut algorithm, that may yield an e -optimal global solution （with respect to feasibility and optimality） in a finite number of iterations. By exploring the special structure of the SDP relaxation problems, an adaptive branch-and-cut rule is employed to speed up the computation. The proposed algorithm is tested and compared with a known method in the literature for portfolio selection problems with hundreds of assets and tens of marginal risk control constraints.     

一类多资源作业车间混合优化调度方法

针对多资源作业车间调度问题,结合启发式算法和遗传算法的特点,提出了混合优化调度方法,建立了多资源约束的车间优化调度模型.根据启发式算法中调度优先规则对调度目标的影响程度,设计了新的编码规则.采用正弦函数作为改进遗传算法中的自适应因子,使交叉概率和变异概率随群体的适应度自动改变,提高了运算的效率.通过实例仿真并与其他算法比较结果表明,该混合调度算法可以进行作业车间在机床、刀具等多种生产资源约束下的优化调度,并在评价指标上较其他算法更优.     

求解半向量双层规划问题的精确罚函数法

研究半向量双层规划问题的求解方法. 利用Benson’s方法及线性规划问题的对偶理论,将半向量双层规划问题转化为一个单层优化问题,同时提出了转化问题的偏静态条件定义. 基于此定义,构造了半向量双层规划的精确罚问题,得到了此类双层规划问题的最优性条件,并给出相应的求解方法. 最后通过一个数值例子表明了求解方法的可行性.     

无重叠区的两抓钩周期性排序问题的一个搜索求解法

在当今的自动化制造系统中,计算机控制的抓钩的排序直接影响系统的生产率.本文研究了产品在生产线两端装载和卸载的电镀线的周期性抓钩排序问题,目标是极小化生产周期.本文把生产线分成无重叠的两部分,并给每部分分配一个抓钩,构成一个无重叠两抓钩周期性排序问题.为了求解该问题,提出了一种基于线性规划模型和禁忌表的搜索算法.这个算法使用测试的周期长度作为控制参数以产生不同的运送顺序,对每个给定的运送顺序和抓钩分配,用线性规划模型求得子问题的最优解.在搜索中,为了避免相同序列的子问题模型的求解,采用了禁忌表.量化的示例表明所使用的方法是高效的.     

Hierarchical satisfying optimal algorithm with different importance and priorities

1.INTRODUCTION Itisagreatprogressofindustryfromcontrolbased onregulationtocontrolbasedonoptimization.Asa computercontrolalgorithmdatedfromlate1970’s, predictivecontrol[1]usesthestepresponseortheim pulseresponseofaplantasmodel,userecedinghori zontooptimizeandcontrolon lineindustrialprocess andgetgoodresultsincomplexindustrialprocess.As apracticaldevelopmentofpredictivecontrol,satisfac torycontrol[2]basesonthemodelofplantstorealize constrainedmulti objectivemulti degree of freedom optimi…     

武器装备体系组合规划的高维多目标优化决策

针对武器装备体系组合规划问题中存在多类相互冲突的高维多目标问题(目标数 ≥ 5),提出了一种三阶段的集成优化决策方法. 首先运用目的规划技术将高维多目标问题转换为一般多目标优化模型(目标数 ≤ 3); 然后提出一种多目标差分进化算法,用于搜索属于决策者关心区间的非劣解集; 最后提出基于预测优化的理想点算法,可生成精确满足决策者偏好的最佳折衷解. 通过某侦察装备体系组合规划示例,证明了各算法模块的优势和该方法的整体有效性,可为武器装备发展和顶层规划提供决策支持.     

Successive quadratic programming multiuser detector

Based on the semidefinite programming relaxation of the CDMA maximum likelihood multiuser detection problem, a detection strategy by the successive quadratic programming algorithm is presented. Coupled with the randomized cut generation scheme, the suboptimal solution of the multiuser detection problem in obtained. Compared to the interior point methods previously reported based on semidefmite programming, simulations demonstrate that the successive quadratic programming algorithm often yields the similar BER performances of the multiuser detection problem. But the average CPU time of this approach is significantly reduced.