| 求解WCVaR的光滑化方法 |
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| 引用本文： | 胡琴琴.求解WCVaR的光滑化方法[J].邵阳学院学报(自然科学版),2011,8(1):8-13. |
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| 作者姓名： | 胡琴琴 |
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| 作者单位： | 长沙理工大学数学与计算科学学院,湖南长沙,410076 |
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| 摘 要： | 聚焦基于WCVaR下,风险——利润的组合优化模型的计算问题,在随机变量服从离散界约束和损失函数为线性的条件下,根据已研究的半光滑化方法,将化简后的模型光滑化,并建立了SQP光滑化算法,并验证了该算法的全局收敛性.
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| 关 键 词： | 条件风险(CVaR) 最坏情况下的条件风险(WCVaR) 光滑化方法 |
A Smoothing Method for Solving Model Under WCVaR |
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| Hu Qin-qi.A Smoothing Method for Solving Model Under WCVaR[J].Journal of Shaoyang University:Science and Technology,2011,8(1):8-13. |
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| Authors: | Hu Qin-qi |
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| Institution: | Hu Qin-qi(College of Mathematics and Computing Science,Changsha University of Science and Technology,Changsha,Hunan 410076) |
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| Abstract: | This paper focuses on the computation of profit-risk portfolio models based on WCVaR,Under the case of the box discrete distribution of random variables and the linear loss Function,According to the semismoothness of the studied models,The models is smoothed,A smoothing SQP algorithm is presented.The global convergence of the algorithm is Established. |
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| Keywords: | conditional value-at-risk(CVaR) worst-case conditional value-at-risk(WCVaR) Smoothing method |
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