Quadratic programming with computer programs

著者

    • Best, Michael J.

書誌事項

Quadratic programming with computer programs

Michael J. Best

(Advances in applied mathematics / series editor, Daniel Zwillinger)

CRC Press, Taylor & Francis Group, c2017

  • : hkb

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内容説明・目次

内容説明

Quadratic programming is a mathematical technique that allows for the optimization of a quadratic function in several variables. QP is a subset of Operations Research and is the next higher lever of sophistication than Linear Programming. It is a key mathematical tool in Portfolio Optimization and structural plasticity. This is useful in Civil Engineering as well as Statistics.

目次

Geometrical Examples Geometry of a QP: Examples Geometrical Examples Optimality Conditions Geometry of Quadratic Functions Nonconvex QP's Portfolio Opimization The Efficient Frontier The Capital Market Line QP Subject to Linear Equality Constraints QP Preliminaries QP Unconstrained: Theory QP Unconstrained: Algorithm 1 QP with Linear Equality Constraints: Theory QP with Linear Equality Constraints: Alg. 2 Quadratic Programming QP Optimality Conditions QP Duality Unique and Alternate Optimal Solutions Sensitivity Analysis QP Solution Algorithms A Basic QP Algorithm: Algorithm 3 Determination of an Initial Feasible Point An Efficient QP Algorithm: Algorithm 4 Degeneracy and Its Resolution A Dual QP Algorithm Algorithm 5 General QP and Parametric QP Algorithms A General QP Algorithm: Algorithm 6 A General Parametric QP Algorithm: Algorithm 7 Symmetric Matrix Updates Simplex Method for QP and PQP Simplex Method for QP: Algorithm 8 Simplex Method for Parametric QP: Algorithm 9 Nonconvex Quadratic Programming Optimality Conditions Finding a Strong Local Minimum: Algorithm 10

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詳細情報

  • NII書誌ID(NCID)
    BB24330306
  • ISBN
    • 9781498735759
  • 出版国コード
    us
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Boca Raton
  • ページ数/冊数
    xiv, 386 p.
  • 大きさ
    26 cm
  • 分類
  • 件名
  • 親書誌ID
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