求解凸随机规划的Monte carlo模拟方法
구해철수궤규화적Monte carlo모의방법
Solving a Class of Convex Stochastic Programs Via Monte Carlo Simulation
  • 万方数据
    运筹学学报 운주학학보
    OR TRANSACTIONS
    2009年 2期 25-32 ,共8页

    张茂军%夏尊铨%王明征%南江霞

    장무군%하존전%왕명정%남강하

    运筹学%随机规划%Monte Carlo模拟%凸分析%投资组合优化%半偏差 運籌學%隨機規劃%Monte Carlo模擬%凸分析%投資組閤優化%半偏差
    운주학%수궤규화%Monte Carlo모의%철분석%투자조합우화%반편차
    Operations research%stochastic programs%Monte Carlo simulation%convex analysis%portfolio optimization%semi-varianceSubject Classification (GB/T 13745-92) 110.74
    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 CaLrlo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.
    기우대목표함수화약속함수적동시추양,급출구해철수궤규화적Monte CaLrlo모의적산법급기수렴성.장득도적결과화산법응용도이반편차위약속적투자조합우화문제,병차급출상응적수치시험.
    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.
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