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Qu et al., 2017 - Google Patents

Nonmonotone gradient methods for vector optimization with a portfolio optimization application

Qu et al., 2017

Document ID
16956834895334140031
Author
Qu S
Ji Y
Jiang J
Zhang Q
Publication year
Publication venue
European Journal of Operational Research

External Links

Snippet

This paper proposes two nonmonotone gradient algorithms for a class of vector optimization problems with a C− convex objective function. We establish both the global and local convergence results for the new algorithms. We then apply the new algorithms to a portfolio …
Continue reading at www.sciencedirect.com (other versions)

Classifications

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    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management, e.g. organising, planning, scheduling or allocating time, human or machine resources; Enterprise planning; Organisational models
    • G06Q10/063—Operations research or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06F—ELECTRICAL DIGITAL DATA PROCESSING
    • G06F17/00—Digital computing or data processing equipment or methods, specially adapted for specific functions
    • G06F17/10—Complex mathematical operations
    • G06F17/11—Complex mathematical operations for solving equations, e.g. nonlinear equations, general mathematical optimization problems
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    • G06F17/30286—Information retrieval; Database structures therefor; File system structures therefor in structured data stores
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    • G06F17/5009—Computer-aided design using simulation
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    • G06N—COMPUTER SYSTEMS BASED ON SPECIFIC COMPUTATIONAL MODELS
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    • G06N99/005—Learning machines, i.e. computer in which a programme is changed according to experience gained by the machine itself during a complete run
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    • G06F9/06—Arrangements for programme control, e.g. control unit using stored programme, i.e. using internal store of processing equipment to receive and retain programme
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06N—COMPUTER SYSTEMS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N3/00—Computer systems based on biological models
    • G06N3/02—Computer systems based on biological models using neural network models
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06N—COMPUTER SYSTEMS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N5/00—Computer systems utilising knowledge based models
    • G06N5/04—Inference methods or devices
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06N—COMPUTER SYSTEMS BASED ON SPECIFIC COMPUTATIONAL MODELS
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    • G06N7/005—Probabilistic networks
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING; COUNTING
    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/04—Forecasting or optimisation, e.g. linear programming, "travelling salesman problem" or "cutting stock problem"
    • G—PHYSICS
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    • G06Q10/00—Administration; Management
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes

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