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  • We consider a linear programming problem and develop an effective method for computing tolerances for input data. The tolerances are determined such that the input quantities can simultaneously and independently vary within these tolerances while the optimal value does not exceed given lower and upper bounds. In our approach we are able to take into account all the input quantities or some selected ones. The procedure runs in polynomial time. Although the tolerances are not the best possible (due to dependencies between quantities) in general, the results are satisfactory. We illustrate the procedure on a simple portfolio selection problem modelled as a linear program.
  • We consider a linear programming problem and develop an effective method for computing tolerances for input data. The tolerances are determined such that the input quantities can simultaneously and independently vary within these tolerances while the optimal value does not exceed given lower and upper bounds. In our approach we are able to take into account all the input quantities or some selected ones. The procedure runs in polynomial time. Although the tolerances are not the best possible (due to dependencies between quantities) in general, the results are satisfactory. We illustrate the procedure on a simple portfolio selection problem modelled as a linear program. (en)
  • Pro danou úlohu lineárního programování představujeme efektivní algorithmus na počítání tolerancí pro vstupní data. Tolerancemi rozumíme takové intervaly, že vstupní hodnoty úlohy se mohou nezávisle a simultánně pohybovat v rámci svých intervalů tak, že optimální hodnota lineárního programu nepřekročí danou horní a dolní mez. Novým přínosem tohoto postupu je možnost uvažovat některé vybrané, ale třeba i všechny vstupní hodnoty najednou. Časová složitost algoritmu je polynomiální. Ačkoli vypočtené tolerance nejsou optimální (mj. díky závislostem mezi parametry), výsledky jsou uspokojivé. Tuto metodu ilustrujeme na problému výběru portfolia, modelovaného pro naše účely jako lineární program. (cs)
Title
  • Tolerances in portfolio selection via interval linear programming
  • Tolerances in portfolio selection via interval linear programming (en)
  • Tolerance v problému výběru portfolia skrze intervalové lineární programování (cs)
skos:prefLabel
  • Tolerances in portfolio selection via interval linear programming
  • Tolerances in portfolio selection via interval linear programming (en)
  • Tolerance v problému výběru portfolia skrze intervalové lineární programování (cs)
skos:notation
  • RIV/00216208:11320/08:00101031!RIV09-MSM-11320___
http://linked.open...avai/riv/aktivita
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  • Z(MSM0021620838)
http://linked.open...vai/riv/dodaniDat
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  • 400179
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  • RIV/00216208:11320/08:00101031
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  • Tolerances; portfolio; selection; interval; linear; programming (en)
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  • [A58094066AC4]
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  • Liberec
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  • Liberec
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  • Proceedings of 26th International conference 'Mathematical Methods in Economics 2008'
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  • Hladík, Milan
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  • 000260962300022
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  • Technická univerzita v Liberci
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  • 978-80-7372-387-3
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  • 11320
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