|本期目录/Table of Contents|

[1]王琳,洪陈春,罗和治.带参数敏感度的最优权衡投资组合问题的半定规划松弛[J].浙江理工大学学报,2024,51-52(自科六):861-866.
 WANG Lin,HONG Chenchun,LUO Hezhi.Semi definite programming relaxation for optimal trade off  portfolio selection with sensitivity of parameters[J].Journal of Zhejiang Sci-Tech University,2024,51-52(自科六):861-866.
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带参数敏感度的最优权衡投资组合问题的半定规划松弛()
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浙江理工大学学报[ISSN:1673-3851/CN:33-1338/TS]

卷:
第51-52卷
期数:
2024年自科第六期
页码:
861-866
栏目:
出版日期:
2024-11-10

文章信息/Info

Title:
Semi definite programming relaxation for optimal trade off  portfolio selection with sensitivity of parameters
作者:
王琳洪陈春罗和治
1.浙江理工大学理学院,杭州 310018;2.华信咨询设计研究院有限公司,杭州 310014
Author(s):
WANG Lin HONG Chenchun LUO Hezhi
1.School of Science, Zhejiang Sci-Tech University, Hangzhou 310018, China; 2.Huaxin Consulting Co., Ltd., Hangzhou 310014, China
关键词:
参数敏感度投资组合非凸二次约束二次规划半定规划松弛GUROBI
分类号:
O224
文献标志码:
A
摘要:
考虑带参数敏感度的最优权衡投资组合问题,其模型是一个非凸非可微优化问题,其中目标函数含有极大和极小函数。将该优化问题变换为一个等价的非凸二次约束二次规划问题,提出了等价变换问题的一个紧的半定规划松弛,并估计了其与原问题之间的间隙。数值结果表明,该半定规划松弛可以有效找到大多数测试问题的全局最优解,且计算时间优于求解器GUROBI,从而为寻求问题的一个好的近似解提供方法。

参考文献/References:

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10Zheng X J, Sun X L, Li D. Nonconvex quadratically constrained quadratic programming: best D.C. decompositions and their SDP representationsJ. Journal of Global Optimization, 2011, 50(4): 695-712.

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相似文献/References:

[1]王琳,洪陈春,罗和治.带参数敏感度的最优权衡投资组合问题的半定规划松弛[J].浙江理工大学学报,2024,51-52(自科六):861.
 WANG Lin,HONG Chenchun,LUO Hezhi.Semi definite programming relaxation for optimal trade off  portfolio selection with sensitivity of parameters[J].Journal of Zhejiang Sci-Tech University,2024,51-52(自科六):861.

备注/Memo

备注/Memo:
收稿日期: 2022-12-08
网络出版日期:2023-01-17
基金项目: 国家自然科学基金项目(12271485,11871433);浙江省自然科学基金项目(LZ21A010003)
作者简介: 王琳(1998-),女,山东泰安人,硕士研究生,主要从事非线性规划理论与算法方面的研究
通信作者: 罗和治,E-mail:hzluo@zstu.edu.cn
更新日期/Last Update: 2024-11-14