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Persistent link: https://www.econbiz.de/10010235136
Rank-ordering of individuals or objects on multiple criteria has many important practical applications. A reasonably representative composite rank ordering of multi-attribute objects/individuals or multi-dimensional points is often obtained by the Principal Component Analysis, although much...
Persistent link: https://www.econbiz.de/10014046920
In this paper we propose an algorithm for the solution of optimalcontrol problems with nonlinear models based on a generalised Gauss-Newton algorithm but making use of analytic model derivatives. Themethod is implemented in WinSolve, a general nonlinear model solution program
Persistent link: https://www.econbiz.de/10014079740
Keane's bump function is considered as a standard benchmark for nonlinear constrained optimization. It is highly multi-modal and its optimum is located at the non-linear constrained boundary. The true minimum of this function is, perhaps, unknown. We intend in this paper to optimize Keane's...
Persistent link: https://www.econbiz.de/10014026161
The mean-variance portfolio optimization theory of Markowitz assumes that stock returns are distributed according to normal probability density functions (pdfs). In reality, stock returns are more accurately described by leptokurtic pdfs which have kurtosis greater than zero. Stocks with...
Persistent link: https://www.econbiz.de/10013160035
Computing the solution to a stochastic optimal control problem is difficult. A method of approximating a solution to a given stochatic optimal problem was developed in [1]. This paper describes a suite of Matlab functions implementing this method of approximating a solution to a given continuous...
Persistent link: https://www.econbiz.de/10014064373
Relaxation algorithms provide a powerful method of finding noncooperative equilibria in general synchronous games. Through use of the Nikaido-Isoda function, the Nash solution to a broad category of constrained, multiplayer, non-zerosum games can easily be found. We provide solutions to some...
Persistent link: https://www.econbiz.de/10014066996
Strategies for constructing a Markov decision chain approximating a continuous-time finite-horizon optimal control problem are investigated. Some simple, analytically soluble, examples are treated and low computational complexity is reported. Extensions to the method and implementation are...
Persistent link: https://www.econbiz.de/10014068827
The nearest correlation matrix problem is to find a valid (positive semidefinite) correlation matrix, R(m,m), that is nearest to a given invalid (non-positive semidefinite) or pseudo-correlation matrix, Q(m,m); m larger than 2. In the literature on this problem, 'nearest' is invariably defined...
Persistent link: https://www.econbiz.de/10014070326
We show that exact computation of a family of 'max weighted score' estimators, including Manski's max score estimator, can be achieved efficiently by reformulating them as mixed integer programs (MIP) with disjunctive constraints. The advantage of our MIP formulation is that estimates are exact...
Persistent link: https://www.econbiz.de/10012726371