搜索结果: 1-5 共查到“最优化 functions”相关记录5条 . 查询时间(0.277 秒)
Univariate global optimization with multiextremal non-differentiable constraints without penalty functions
Global optimization multiextremal constraints Lipschitz functions continuous index functions
2011/9/21
Abstract: This paper proposes a new algorithm for solving constrained global optimization problems where both the objective function and constraints are one-dimensional non-differentiable multiextrema...
Coordinate-invariant incremental Lyapunov functions
Coordinate-invariant incremental Lyapunov functions Optimization and Control
2011/9/6
Abstract: The notion of incremental stability was proposed by several researchers as a strong property of dynamical and control systems. In this type of stability, the focus is on the convergence of t...
Optimal estimates for the gradient of harmonic functions in the unit disk
Harmonic functions Bloch functions Hardy spaces.
2011/2/21
Concrete sharp constants in a pointwise estimate of the gradient of a harmonic function in the unit disk are obtained under the assumption that function belong to Hardy space hp, p > 1. This gen-erali...
Optimal investment with bounded VaR for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk
2010/4/27
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is fo...
Optimal consumption and investment with bounded downside risk for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk Expected Shortfall
2010/4/27
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization prob...