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Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Optimal investment minimizing the probability of lifet imeruin stochastic volatility
2010/4/27
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial mar...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisibl emarket transaction cost continuity of valuefunction quasi-variational inequality
2010/4/27
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...
Optimal investment with bounded VaR for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk
2010/4/27
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is fo...
Optimal consumption and investment with bounded downside risk for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk Expected Shortfall
2010/4/27
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization prob...
Sequential optimizing investing strategy with neural networks
Sequential optimizing neural networks
2010/4/27
In this paper we propose an investing strategy based on neural network models combined with ideas from game-theoretic probability of Shafer and Vovk. Our proposed strategy uses parameter values of a n...
Dual Representation of Quasiconvex Conditional Maps
quasiconvex functions dualrep resentation quasiconvex optimiza-tion dynamic risk measures conditionalc ertainty equivalent
2010/4/27
We provide a dual representation of quasiconvex maps between two lattices of random variables in terms of conditional expectations. This generalizes the dual representation of quasiconvex real valued ...
Dual Representation of Quasiconvex Conditional Maps
quasiconvex functions dualrep resentation quasiconvex optimiza-tion dynamic risk measures conditionalc ertainty equivalent
2010/4/27
We provide a dual representation of quasiconvex maps between two lattices of random variables in terms of conditional expectations. This generalizes the dual representation of quasiconvex real valued ...
带限制条件的最短时间渡江问题
渡江问题 速度 角度 非线性规划
2009/11/19
讨论起终点一定的最短时间渡江问题，分析离散和连续情况下速度选择方案，且对连续流速情况得出一个非线性规划模型，推出其最优性条件.
工件尺寸不同的并行机批调度问题
近似算法 调度理论 批加工 最大完工时间
2009/11/19
考虑并行批加工机上不同尺寸工件的调度问题；目标是极小化最大完工时间.给出了一个(2+ε)-近似算法，ε＞0可以任意小.
快速多极边界元法是近几年发展起来的边界元新型数值算法，利用多极边界元法解题的关键和难点是求解大规模稀疏矩阵方程组．引入最优化数值技术很好地解决了这一问题，并通过数值实验验证，该方法可节约求解时间，从而为求解大规模问题奠定了理论基础．
求解组合拍卖问题的一种贪婪算法
组合拍卖 下模集函数 贪
2009/11/2
为有效解决组合拍卖问题，从下模集函数最大值问题的基本结论出发，将部分穷举法与贪婪算法相结合，给出了一种求解组合拍卖问题的新算法——改进的贪婪算法，并从理论上证明了所给算法具有更好的性能保证．
求解下模集函数最大值问题的局部搜索算法
组合优化 下模集函数 近似算法 性能保证
2009/11/2
给出了求解具有简单约束的下模集函数最大值问题的一种局部搜索算法，并讨论了所给算法的性能保证．该算法的基本思想是：算法每次迭代总是在当前近似解集的邻域内，求出使目标函数取得最大的集合，将其作为新的近似解集．分析表明，所给算法是一种多项式时间近似算法．
条件非线性最优扰动的最大值原理
变分法 条件非线性最优扰动 最大值原理
2009/11/2
在非线性系统(发展方程及常微分方程)中初始数据的扰动对系统以后某固定时刻,T的状态的影响是一个重要的研究课题.本文研究非线性系统在初始数据在一定的范围(称为初始扰动域)内作有限幅度的扰动时,在时刻,T对状态扰动的幅度达到最大的问题.通过考虑反向时间的问题及假设解对初始数据的连续依赖性,证明了若在时刻,T状态扰动的幅度达到最大, 则初始数据位于初始扰动域的边界上, 这个结果的重要意义在于可以减少数值...