An Interior-Point Algorithm for Nonconvex Nonlinear Programming
Computational Optimization and Applications - Special issue on computational optimization—a tribute to Olvi Mangasarian, part II
Interior-Point Methods for Nonconvex Nonlinear Programming: Filter Methods and Merit Functions
Computational Optimization and Applications
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Consideration was given to the optimal formation of the security portfolio by the logarithmic criterion for two uniformly distributed risk securities and one riskless security. For the criterial function, concavity was established and the explicit form was presented, the lower and upper estimates of the criterial function and their corresponding strategies were determined. An example of using the relations obtained was discussed.