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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

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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

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