Quadratic Programming with Computer Programs

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Sprache: Englisch

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Beschreibung

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.

Inhaltsverzeichnis

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

Details

Medium:	Taschenbuch
ISBN-13:	9781032476940
ISBN-10:	103247694X
Sprache:	Englisch
Autor:	Best, Michael J.
Hersteller:	Taylor & Francis Chapman and Hall/CRC
Verantwortliche Person für die EU:	preigu, Ansas Meyer, Lengericher Landstr. 19, D-49078 Osnabrück, mail@preigu.de
Abbildungen:	25 SW-Abb.
Maße:	21 x 178 x 254 mm
Von/Mit:	Michael J. Best
Gewicht:	0,675 kg