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求解凸随机规划的Monte Carlo模拟方法(英文)

Solving a Class of Convex Stochastic Programs Via Monte Carlo Simulation

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【Author】 Zhang Maojun Xia Zunquan Wang Mingzheng Nan Jiangxia 1.Department of Economics,Dalian University of Technology,Dalian 116024,China 2.Department of Applied Mathematics,Dalian University of Technology,Dalian 116024,China 3.School of Management,Dalian University of Technology,Dalian 116024,China 4.College of Information Engineering,Dalian University,Dalian,116622,China

【机构】大连理工大学经济系；大连理工大学应用数学系；大连理工大学管理学院；大连大学信息工程学院；

【摘要】基于对目标函数和约束函数的同时抽样,给出求解凸随机规划的Monte Carlo模拟的算法及其收敛性.将得到的结果和算法应用到以半偏差为约束的投资组合优化问题,并且给出相应的数值试验.更多还原

【Abstract】 Algorithms based on Monte Carlo sampling both of objective and constraint functions are presented for solving convex stochastic programs,and their convergence theorems are given.They are employed to deal with portfolio optimization problems with a semi-variance constraint.Numerical experiments are also given.更多还原

【关键词】运筹学；随机规划； Monte Carlo模拟；凸分析；投资组合优化；半偏差；
【Key words】 Operations research； stochastic programs； Monte Carlo simulation； convex analysis； portfolio optimization； semi-variance；

【基金】 supported by the Foundation of Dalian University of Technology(No.893305,No.893204,No.842314,No.842332 and No.DUTHS2008407)

【文献出处】运筹学学报 ,Or Transactions , 编辑部邮箱 ,2009年02期

【分类号】O221.5
【被引频次】4
【下载频次】207

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