求解WCVaR的光滑化方法

A Smoothing Method for Solving Model Under WCVaR

聚焦基于WCVaR下,风险——利润的组合优化模型的计算问题,在随机变量服从离散界约束和损失函数为线性的条件下,根据已研究的半光滑化方法,将化简后的模型光滑化,并建立了SQP光滑化算法,并验证了该算法的全局收敛性.

This paper focuses on the computation of profit-risk portfolio models based on WCVaR,Under the case of the box discrete distribution of random variables and the linear loss Function,According to the semismoothness of the studied models,The models is smoothed,A smoothing SQP algorithm is presented.The global convergence of the algorithm is Established.