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学术报告五十四:Piecewise linear multicriteria programs and portfolio selection

来源:数学与统计学院     作者:     时间:2016/12/15 16:46:15  0次

数学与统计学院学术报告[2016]054

(高水平大学建设系列报告066)

讲座题目: Piecewise linear multicriteria programs and portfolio selection

教授  (香港理工大学)

主持人:胡耀华,张凯

讲座时间:20161216日,15:00-17:00

讲座地点:科技楼1楼,商学院阶梯教室

报告内容:In this talk, we study piecewise linear multicriteria programs, that is, multicriteria programs with either a continuous or discontinuous piecewise linear objective function and a polyhedron set constraint. We obtain an algebraic representation of a semi-closed polyhedron and apply it to show that the image of a semi-closed polyhedron under a continuous linear function is always one semi-closed polyhedron. We establish that the (weak) Pareto solution/point set of a piecewise linear multicriteria program is the union of finitely many semi-closed polyhedra. We propose an algorithm for finding the Pareto point set of a continuous piecewise linear bi-criteria program and generalize it to the discontinuous case. We apply our algorithm to solve the discontinuous bi-criteria portfolio selection problem with a risk measure and transaction costs and show that this algorithm can be improved by using an ideal point strategy.

报告人简历

杨晓琪香港理工大学教授,研究方向涉及数学规划、向量优化、变分分析和金融优化等。曾主持香港RGC科研基金13项,编著研究专著3本,发表学术论文200多篇。他曾获奖ISI经典引文奖、香港理工大学杰出科研校长奖、重庆市自然科学一等奖。

数学与统计学院

2016-12-15

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