Otwarty dostęp

Application of a globally convergent hybrid conjugate gradient method in portfolio optimization


Zacytuj

A. B. Abubakar, P. Kumam, M. Malik, P. Chaipunya and A. H. Ibrahim, A hybrid FR-DY conjugate gradient algorithm for unconstrained optimization with application in portfolio selection. AIMS Math, 6(6) (2021), 6506-6527. Search in Google Scholar

O. J. Adeleke, M. O. Olusanya and I. A. Osinuga, A PRP-HS Type Hybrid Nonlinear Conjugate Gradient Method for Solving Unconstrained Optimization Problems, In: Silhavy, R., Silhavy, P., Prokopova, Z (eds) Intelligent Systems Applications in Software Engineering. CoMeSySo 2019 (2019). Advances in Intelligent Systems and Computing, 1046, Springer, Cham. Search in Google Scholar

A. Alhawarat, M. Mamat, M. Rivaie and Z. Salleh, An efficient hybrid conjugate gradient method with the strong Wolfe-Powell line search, Math. Probl. Eng., 2015: 103517 (2015). Search in Google Scholar

N. Andrei, An unconstrained optimization test functions collection, Adv. Model. Optim., 10(1) (2008), 147–161. Search in Google Scholar

A. M. Awwal, I. M. Sulaiman, M. Malik, M. Mamat, P. Kumam and K. Sitthithakerngkiet, A spectral RMIL+ conjugate gradient method for unconstrained optimization with applications in portfolio selection and motion control. IEEE Access, 9 (2021), 75398-75414. Search in Google Scholar

M. C. Bartholomew-Biggs, Nonlinear Optimization with Financial Applications. Kluwer Academic Publishers, Boston (2006). Search in Google Scholar

M. C. Bartholomew-Biggs and S. J. Kane, A global optimization problem in portfolio selection. Comput. Manag. Sci., 6 (2009) 329-345. Search in Google Scholar

Y. H. Dai, A family of hybrid conjugate gradient methods for unconstrained optimization, Math. Comput., 72(243) (2003), 1317-1328. Search in Google Scholar

Y. H. Dai and L. Liao, New conjugacy conditions and related nonlinear conjugate gradient methods, Appl. Math. Optim., 43 (2001), 87-101. Search in Google Scholar

Z. Dai and F. Wen, Another improved Wei-Yao-Liu nonlinear conjugate gradient method with sufficient descent property, Appl. Math. Comput., 218(14) (2012), 7421-7430. Search in Google Scholar

T. Diphofu and P. Kaelo, Another three-term conjugate gradient method close to the memoryless BFGS for large scale unconstrained optimization problems, Mediterr. J Math., 18:211 (2021). Search in Google Scholar

T. Diphofu, P. Kaelo and A. R. Tufa, A modified nonlinear conjugate gradient algorithm for unconstrained optimization and portfolio selection problems. RAIRO Oper. Res., 57(2) (2023), 817-835. Search in Google Scholar

E. D. Dolan, J. J. Moré, Benchmarking optimization software with performance profiles, Math. Program., 91 (2002), 201-214. Search in Google Scholar

M. Fang, M. Wang, M. Sun and R. Chen, A Modified Hybrid Conjugate Gradient Method for Unconstrained Optimization, J. Math., 2021(1) (2021), 1-9. Search in Google Scholar

R. Fletcher, Practical methods of optimization, Unconstrained Optimization, John Wiley & Sons, New York 1(1987). Search in Google Scholar

R. Fletcher and C. M. Reeves, Function minimization by conjugate gradients, Computer J., 7(2) (1964), 149-154. Search in Google Scholar

H. Guan and S. Wang, A Modified Conjugate Gradient Method for Solving Large-Scale Nonlinear Equations, Math. Probl. Eng., 2021:9919595 (2021), https://doi.org/10.1155/2021/9919595. Search in Google Scholar

W. W. Hager and H. Zhang, A survey of nonlinear conjugate gradient methods, Pacific J. Optim., 2 (2011), 35-58. Search in Google Scholar

M. R. Hestenes and E. Stiefel, Methods of conjugate gradients for solving linear systems, J Res. Nat. Bureau Stand., 49(6) (1952), 409-436. Search in Google Scholar

X. Jiang, J. Jian, D. Song and P. Liu, An improved Polak-Ribiére-Polyak conjugate gradient method with an efficient restart direction, Comput. Appl. Math., 40(174) (2021), 1-24. Search in Google Scholar

X. Jiang, W. Liao, J. Yin, J. Yin and J. Jian, A new family of hybrid three-term conjugate gradient methods with applications in image restoration, Numer. Algor., 91(2) (2022), 1-31. Search in Google Scholar

Y. Liu and C. Storey, Efficient generalized conjugate gradient algorithms, Part 1: Theory, J Optim. Theory Appl., 69(1) (1991), 129-137. Search in Google Scholar

H. Markowitz, Portfolio Selection, J. Finance, 7(1) (1952), 77-91. Search in Google Scholar

P. Mtagulwa and P. Kaelo, An efficient modified PRP-FR hybrid conjugate gradient method for solving unconstrained optimization problems, Appl. Numer. Math., 145 (2019), 111–120. Search in Google Scholar

A. A. Mustafa, New Spectral LS conjugate gradient method for nonlinear unconstrained optimization, Int. J Comput. Math.,100 (2023), 838–846. Search in Google Scholar

E. Polak and G. Ribiére, Note sur la convergence de directions conjugées, Rev. Francaise Informat Recherche Opèrationelle, 3e Année, 16 (1969), 35–43. Search in Google Scholar

B. T. Polyak, The conjugate gradient method in extreme problems, USSR Comput. Math. Math. Phys, 9(4) (1969), 94-112. Search in Google Scholar

I. M. Sulaiman, M. Malik, A. M. Awwal, P. Kumam, M. Mamat and S. Al-Ahmad, On three-term conjugate gradient method for optimization problems with applications on COVID-19 model and robotic motion control, Adv Cont Discr Mod., 2022:1 (2022). https://doi.org/10.1186/s13662-021-03638-9. Search in Google Scholar

Z. Wei, S. Yao and L. Liu, The convergence properties of some new conjugate gradient methods, Appl. Math. Comput., 183(2) (2006), 1341-1350. Search in Google Scholar

L. Zhang, An improved Wei-Yao-Liu nonlinear conjugate gradient method for optimization computation, Appl. Math. Comput., 215(6) (2009), 2269-2274. Search in Google Scholar

G. Zoutendijk, Nonlinear programming, computational methods, In: J. Abadie Ed., Integer and Nonlinear Programming, North-Holland, Amsterdam, 1970, pp. 37-86. Search in Google Scholar

eISSN:
1339-0015
Język:
Angielski