| 二次规划的旋转迭代算法及在风险管理中的应用 |
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| 引用本文： | 宋威.二次规划的旋转迭代算法及在风险管理中的应用[J].运筹与管理,1999,8(2):48-54. |
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| 作者姓名： | 宋威 |
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| 作者单位： | 南华工商学院 |
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| 摘 要： | 文章提出求二次规划的最优解的一种算法——旋转迭代算法。该方法仅用到最小比原则及行初等变换，无须引入人工变量，在同一张表格下可求出最优解。比文［１］中的若干算法有可能较简单，推广了文［２］中的算法。该方法易于操作。在风险管理的应用中，较容易确定投资组合的比例系数。
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| 关 键 词： | 非线性规划 二次规划 Kuhn－Tucker条件 旋转迭代算法 风险管理 |
Twiddle Iteration Algorithm of Quadratic Programming and Its Application in Risk Management |
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| SONG Wei.Twiddle Iteration Algorithm of Quadratic Programming and Its Application in Risk Management[J].Operations Research and Management Science,1999,8(2):48-54. |
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| Authors: | SONG Wei |
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| Abstract: | In this paper, a new algorithm solution for quadratic programming twiddle iteration algorithm was established. The optimization solution can be obtained under one table,only through the principle of the minimum ratio and Matrix Row primary iteration without inputing artificial variable. This method is simple,effective and generates the result of the paper,. In the application of the risk management,Asset combination investment can be easily obtained. |
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| Keywords: | nonlinear programming quadratic programming Kuhn Tucker conditions twiddle iteration algorithm risk management |
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