Modificētā simpleksa metode Kvadrātiskās programmēšanas uzdevuma risināšanai un tās pielietojums optimālā investora portfeļa noteikšanai
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Latvijas Universitāte
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Abstract
Šajā darbā ir apskatīts optimālā investora portfeļa uzdevums. Šis uzdevums pēc nostādnes ir kvadrātiskās programmēšanas uzdevums. Ar Vulfa – Daugaveta metodes palīdzību uzdevums tiek reducēts uz lineārās programmēšanas uzdevumu ar dažiem nelineāriem papildus nosacījumiem. Uzdevuma risināšanai tika uzrakstīta programma, kas realizē simpleksa algoritma modifikāciju, kura ievēro nelineārus nosacījumus.
This work dwells upon the task of the Optimum Investment Portfolio. According to its formulation, it is the quadratic programming problem. With the help of Wolf – Daugavet method this problem is transformed into the linear programming problem with several additional non-linear conditions. To solve the resulting problem we offer program that contains simplex – algorithm with the modification taking into account non-linear conditions.
This work dwells upon the task of the Optimum Investment Portfolio. According to its formulation, it is the quadratic programming problem. With the help of Wolf – Daugavet method this problem is transformed into the linear programming problem with several additional non-linear conditions. To solve the resulting problem we offer program that contains simplex – algorithm with the modification taking into account non-linear conditions.