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Nonlinear Optimization with Financial Applications
Michael Bartholomew-Biggs
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Institución detectada | Año de publicación | Navegá | Descargá | Solicitá |
---|---|---|---|---|
No detectada | 2005 | SpringerLink |
Información
Tipo de recurso:
libros
ISBN impreso
978-1-4020-8110-1
ISBN electrónico
978-0-387-24149-4
Editor responsable
Springer Nature
País de edición
Reino Unido
Fecha de publicación
2005
Información sobre derechos de publicación
© Kluwer Academic Publishers 2005
Cobertura temática
Tabla de contenidos
Portfolio Optimization
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 1-18
One-Variable Optimization
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 19-32
Optimal Portfolios with Assets
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 33-40
Unconstrained Optimization in Variables
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 41-50
The Steepest Descent Method
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 51-64
The Newton Method
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 65-76
Quasi-Newton Methods
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 77-86
Conjugate Gradient Methods
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 87-96
Optimal Portfolios with Restrictions
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 97-106
Larger-Scale Portfolios
Michael Bartholomew-Biggs
The theory of state-space realizations of input-output descriptions given by impulse responses, and the time-invariant case by transfer function descriptions, were studied in this chapter.
In Section 5.2 the problem of state-space realizations of input-output descriptions was defined and the existence of such realizations was addressed. In Subsection 5.3A time-varying and time-invariant continuous-time and discrete-time systems were considered. Subsequently, the focus was on time-invariant systems and transfer function matrix descriptions (). The minimality of realizations of () was studied in Subsection 5.3C, culminating in two results, Theorem 3.9 and Theorem 3.10, where it was first shown that a realization is minimal if and only if it is controllable and observable, and next, that if a realization is minimal, all other minimal realizations of a given () can be found via similarity transformations. In Subsection 5.3C it was shown how to determine the order of minimal realizations directly from (). Several realization algorithms were presented in Section 5.4, and the role of duality was emphasized in Section 5.4A.
Pp. 107-116