基于MATLAB优化工具箱的最优投资方案的设计与实现

Design and Implementation of Optimum Investment Project based on MATLAB Optimization Toolbox

在金融领域中,优化设计和MATLAB优化工具箱有着不可估量的应用前景。本文首先介绍了优化设计的概念和过程,分析了MATLAB优化工具箱的求解优化问题的优点,然后通过建立数学模型,选择序列二次规划算法,利用MATLAB优化工具箱中的非线性约束优化函数,在MATLAB平台下编写程序,设计和实现了一种最优投资方案。

In the field of finance, optimization design and MATLAB optimization toolbox have inestimable prospect of application. This paper firstly presents the conception and the process of optimization design,and analyses the advantage of MATLAB optimization toolbox in solving optimization problem. Then this paper designs and implements an optimum investment project through establishing mathematical model, choosing an algorithm named Sequential Quadratic Programming, utilizing a nonlinear restraint function in MATLAB optimization toolbox and programming in MATLAB.