TY - UNPB

T1 - A class of linearly constrained nonlinear optimization problems with corner point optimal solutions and applications in finance

AU - Huang, James

PY - 2012

Y1 - 2012

N2 - We identify a class of linearly constrained nonlinear optimizationproblems with corner point optimal solutions. These include somespecial polynomial fractional optimization problems with an objective function equal to the product of some power functions of positive linear functionals subtracting the sum of some power functions of positive linear functionals, divided by the sum of some power functions of positive linear functionals. The powers are required to be all positive integers, and the aggregate power of the product is required to be no larger than the lowest power in both of the two sums. The result has applications to some optimization problems under uncertainty, particularly in finance.

AB - We identify a class of linearly constrained nonlinear optimizationproblems with corner point optimal solutions. These include somespecial polynomial fractional optimization problems with an objective function equal to the product of some power functions of positive linear functionals subtracting the sum of some power functions of positive linear functionals, divided by the sum of some power functions of positive linear functionals. The powers are required to be all positive integers, and the aggregate power of the product is required to be no larger than the lowest power in both of the two sums. The result has applications to some optimization problems under uncertainty, particularly in finance.

KW - linear constraints

KW - non-linear optimization

KW - polynomial fractional optimization

KW - corner point optimal solutions

M3 - Working paper

BT - A class of linearly constrained nonlinear optimization problems with corner point optimal solutions and applications in finance

PB - Lancaster University

CY - Lancaster

ER -