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Robust Linear Programming and Optimal Control
Linear programming Convex optimization Model-predictive control
2015/7/10
We describe an efficient method for solving an optimal control problem that arises in robust model-predictive control. The problem is to design the input sequence that minimizes the peak tracking erro...
Extensions of Gauss Quadrature via Linear Programming
Gauss quadrature Semi-infi nite programming Convex optimization
2015/7/9
Gauss quadrature is a well known method for estimating the integral of a continuous function with respect to a given measure as a weighted sum of the function evaluated at a set of node points. Gauss ...
ON PROJECTED NEWTON BARRIER METHODS FOR LINEAR PROGRAMMING AND AN EQUIVALENCE TO KARMARKAR'S PROJECTIVE METHOD
Linear programming Karmarkar's method
2015/7/3
Interest in linear programming has been intensified recently by Karmarkar's publication in 1984
of an algorithm that is claimed to be much faster than the simplex method for practical problems.
We...
Stable and efficient updates to the basis matrix factors are vital to the simplex
method. The "best" updating method depends on the machine in use and how the update is implemented. For example, the ...
Pivotal estimation in high-dimensional regression via linear programming
Pivotal estimation high-dimensional regression inear programming
2013/4/28
We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not require the knowledge o...
Stochastic linear programming with a distortion risk constraint
Robust optimization weighted-mean trimmed regions central regions coherent risk measure spectral risk measure mean-risk portfolio.
2012/9/17
Linear optimization problems are investigated whose parametersare uncertain. We apply coherent distortion risk measures to capture the pos-sible violation of a restriction. Each risk constraint induce...