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    Wyświetlanie 1-5 z 5
    Tytuł:
    Multiobjective duality for the Markowitz portfolio optimization problem
    Autorzy:
    Wanka, G.
    Powiązania:
    https://bibliotekanauki.pl/articles/206011.pdf
    Data publikacji:
    1999
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    dualność
    optymalizacja
    duality
    expected return
    investment
    Markowitz model
    optimality conditions
    portfolio optimization
    Opis:
    The classical Markowitz approach to portfolio selection leads to a biobjective optimization problem where the objectives are the expected return and the variance of a portfolio. In this paper a biobjective dual optimization problem to the Markowitz portfolio optimization problem is introduced and analyzed. For the Markowitz problem and its dual, weak and strong vector duality assertions are derived. The optimality conditions are also verified.
    Źródło:
    Control and Cybernetics; 1999, 28, 4; 691-702
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Sufficient optimality condition and duality of nondifferentiable minimax ratio constraint problems under (p, r)-ρ-(η, θ)-invexity
    Autorzy:
    Kailey, Navdeep
    Sethi, Sonali
    Saini, Shivani
    Powiązania:
    https://bibliotekanauki.pl/articles/2183486.pdf
    Data publikacji:
    2022
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    minimax fractional programming
    optimality conditions
    duality
    generalized invexity
    Opis:
    There are several classes of decision-making problems that explicitly or implicitly prompt fractional programming problems. Portfolio selection problems, agricultural planning, information transfer, numerical analysis of stochastic processes, and resource allocation problems are just a few examples. The huge number of applications of minimax fractional programming problems inspired us to work on this topic. This paper is concerned with a nondifferentiable minimax fractional programming problem. We study a parametric dual model, corresponding to the primal problem, and derive the sufficient optimality condition for an optimal solution to the considered problem. Further, we obtain the various duality results under (p, r)-ρ-(η, θ)-invexity assumptions. Also, we identify a function lying exclusively in the class of (−1, 1)-ρ-(η, θ)- invex functions but not in the class of (1,−1)-invex functions and convex function already existing in the literature. We have given a non-trivial model of nondifferentiable minimax problem and obtained its optimal solution using optimality results derived in this paper.
    Źródło:
    Control and Cybernetics; 2022, 51, 1; 71--88
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Sufficient optimality criteria and duality for multiobjective variational control problems with B-(p,r)-invex function
    Autorzy:
    Antczak, T.
    Jimenez, M. A.
    Powiązania:
    https://bibliotekanauki.pl/articles/255711.pdf
    Data publikacji:
    2014
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    multiobjective variational control problems
    efficient solution
    B-(p, r)-invex functions
    optimality conditions
    duality
    Opis:
    In this paper, we generalize the notion of B-(p, r)-invexity introduced by Antczak in [A class of B-(p; r)-invex functions and mathematical programming, J. Math. Anal. Appl. 286 (2003), 187–206] for scalar optimization problems to the case of a multiobjective variational programming control problem. For such nonconvex vector optimization problems, we prove sufficient optimality conditions under the assumptions that the functions constituting them are B-(p, r)-invex. Further, for the considered multiobjective variational control problem, its dual multiobjective variational control problem in the sense of Mond-Weir is given and several duality results are established under B-(p, r)-invexity.
    Źródło:
    Opuscula Mathematica; 2014, 34, 4; 665-682
    1232-9274
    2300-6919
    Pojawia się w:
    Opuscula Mathematica
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    On efficiency and duality for a class of nonconvex nondifferentiable multiobjective fractional variational control problems
    Autorzy:
    Antczak, Tadeusz
    Arana-Jimenéz, Manuel
    Treanţă, Savin
    Powiązania:
    https://bibliotekanauki.pl/articles/29519358.pdf
    Data publikacji:
    2023
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    nondifferentiable multiobjective fractional variational control problem
    efficient solution
    optimality conditions
    generalized univexity
    Mond-Weir duality
    Wolfe duality
    Opis:
    In this paper, we consider the class of nondifferentiable multiobjective fractional variational control problems involving the nondifferentiable terms in the numerators and in the denominators. Under univexity and generalized univexity hypotheses, we prove optimality conditions and various duality results for such nondifferentiable multiobjective fractional variational control problems. The results established in the paper generalize many similar results established earlier in the literature for such nondifferentiable multiobjective fractional variational control problems.
    Źródło:
    Opuscula Mathematica; 2023, 43, 3; 335-391
    1232-9274
    2300-6919
    Pojawia się w:
    Opuscula Mathematica
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Optimality conditions and duality for generalized fractional minimax programming involving locally Lipschitz (b,Ψ,Φ,ρ) -univex functions
    Autorzy:
    Antczak, T.
    Mishra, S. K.
    Upadhyay, B. B.
    Powiązania:
    https://bibliotekanauki.pl/articles/206666.pdf
    Data publikacji:
    2018
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    generalized fractional minimax programming
    locally Lipschitz (b,Ψ,Φ,ρ)-univex function
    optimality conditions
    duality
    Opis:
    In this paper, we are concerned with optimality conditions and duality results of generalized fractional minimax programming problems. Sufficient optimality conditions are established for a class of nondifferentiable generalized fractional minimax programming problems, in which the involved functions are locally Lipschitz (b,Ψ,Φ,ρ)-univex. Subsequently, these optimality conditions are utilized as a basis for constructing various parametric and nonparametric duality models for this type of fractional programming problems and proving appropriate duality theorems.
    Źródło:
    Control and Cybernetics; 2018, 47, 1; 5-32
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-5 z 5

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