计算机工程与应用 ›› 2007, Vol. 43 ›› Issue (20): 7-10.
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孙有发
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SUN You-fa
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摘要: 针对由现有理论和方法求不到显式解的复杂最优消费组合问题,提出基于参数待定法以及遗传算法的数值逼近解算法。算法的可行性及通用性,在求解基准的复杂最优消费组合问题上得到了检验。
关键词: 最优消费组合, 数值解, 参数待定法, 遗传算法
Abstract: For those complex optimal consumption and portfolio problems whose analytical solutions are unavailable according to the existing methods,this paper proposes a framework of approximation algorithm based on the parameterization approach and genetic algorithm.Applications to two benchmark consumption/portfolio problems demonstrate the algorithm’s feasibility and universality.
Key words: optimal consumption/portfolio, numerical solution, parameterization approach, genetic algorithm
孙有发. 复杂最优消费组合问题的数值逼近解算法[J]. 计算机工程与应用, 2007, 43(20): 7-10.
SUN You-fa. Approximation algorithm for complex optimal consumption/portfolio problems [J]. Computer Engineering and Applications, 2007, 43(20): 7-10.
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http://cea.ceaj.org/CN/Y2007/V43/I20/7