A one-layer recurrent neural network for constrained pseudoconvex optimization and its application for dynamic portfolio optimization

In this paper, a one-layer recurrent neural network is proposed for solving pseudoconvex optimization problems subject to linear equality and bound constraints. Compared with the existing neural networks for optimization (e.g., the projection neural networks), the proposed neural network is capable...

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Published inNeural networks Vol. 26; pp. 99 - 109
Main Authors Liu, Qingshan, Guo, Zhishan, Wang, Jun
Format Journal Article
LanguageEnglish
Published Kidlington Elsevier Ltd 01.02.2012
Elsevier
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Online AccessGet full text
ISSN0893-6080
1879-2782
1879-2782
DOI10.1016/j.neunet.2011.09.001

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Abstract In this paper, a one-layer recurrent neural network is proposed for solving pseudoconvex optimization problems subject to linear equality and bound constraints. Compared with the existing neural networks for optimization (e.g., the projection neural networks), the proposed neural network is capable of solving more general pseudoconvex optimization problems with equality and bound constraints. Moreover, it is capable of solving constrained fractional programming problems as a special case. The convergence of the state variables of the proposed neural network to achieve solution optimality is guaranteed as long as the designed parameters in the model are larger than the derived lower bounds. Numerical examples with simulation results illustrate the effectiveness and characteristics of the proposed neural network. In addition, an application for dynamic portfolio optimization is discussed.
AbstractList In this paper, a one-layer recurrent neural network is proposed for solving pseudoconvex optimization problems subject to linear equality and bound constraints. Compared with the existing neural networks for optimization (e.g., the projection neural networks), the proposed neural network is capable of solving more general pseudoconvex optimization problems with equality and bound constraints. Moreover, it is capable of solving constrained fractional programming problems as a special case. The convergence of the state variables of the proposed neural network to achieve solution optimality is guaranteed as long as the designed parameters in the model are larger than the derived lower bounds. Numerical examples with simulation results illustrate the effectiveness and characteristics of the proposed neural network. In addition, an application for dynamic portfolio optimization is discussed.
In this paper, a one-layer recurrent neural network is proposed for solving pseudoconvex optimization problems subject to linear equality and bound constraints. Compared with the existing neural networks for optimization (e.g., the projection neural networks), the proposed neural network is capable of solving more general pseudoconvex optimization problems with equality and bound constraints. Moreover, it is capable of solving constrained fractional programming problems as a special case. The convergence of the state variables of the proposed neural network to achieve solution optimality is guaranteed as long as the designed parameters in the model are larger than the derived lower bounds. Numerical examples with simulation results illustrate the effectiveness and characteristics of the proposed neural network. In addition, an application for dynamic portfolio optimization is discussed.In this paper, a one-layer recurrent neural network is proposed for solving pseudoconvex optimization problems subject to linear equality and bound constraints. Compared with the existing neural networks for optimization (e.g., the projection neural networks), the proposed neural network is capable of solving more general pseudoconvex optimization problems with equality and bound constraints. Moreover, it is capable of solving constrained fractional programming problems as a special case. The convergence of the state variables of the proposed neural network to achieve solution optimality is guaranteed as long as the designed parameters in the model are larger than the derived lower bounds. Numerical examples with simulation results illustrate the effectiveness and characteristics of the proposed neural network. In addition, an application for dynamic portfolio optimization is discussed.
Author Wang, Jun
Guo, Zhishan
Liu, Qingshan
Author_xml – sequence: 1
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  surname: Liu
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  email: qsliu@seu.edu.cn
  organization: School of Automation, Southeast University, Nanjing 210096, China
– sequence: 2
  givenname: Zhishan
  surname: Guo
  fullname: Guo, Zhishan
  email: zsguo@cs.unc.edu
  organization: Department of Computer Science, University of North Carolina - Chapel Hill, Chapel Hill, NC 27599, USA
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  givenname: Jun
  surname: Wang
  fullname: Wang, Jun
  email: jwang@mae.cuhk.edu.hk
  organization: Department of Mechanical and Automation Engineering, The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong
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Keywords Recurrent neural networks
Differential inclusion
Pseudoconvex optimization
Convergence
Lyapunov function
Lower bound
Recurrent neural nets
Network management
Neural network
Modeling
Constrained optimization
Efficiency
Equality constraint
Dynamic programming
Fractional programming
Rational function
Portfolio management
Optimal flow
Mathematical programming
Language English
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Snippet In this paper, a one-layer recurrent neural network is proposed for solving pseudoconvex optimization problems subject to linear equality and bound...
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StartPage 99
SubjectTerms Algorithms
Animals
Applied sciences
Artificial intelligence
Computer science; control theory; systems
Computer Simulation
Connectionism. Neural networks
Convergence
Differential inclusion
Exact sciences and technology
Flows in networks. Combinatorial problems
Humans
Lyapunov function
Mathematical programming
Neural Networks (Computer)
Nonlinear Dynamics
Operational research and scientific management
Operational research. Management science
Pattern Recognition, Automated
Portfolio theory
Pseudoconvex optimization
Recurrent neural networks
Title A one-layer recurrent neural network for constrained pseudoconvex optimization and its application for dynamic portfolio optimization
URI https://dx.doi.org/10.1016/j.neunet.2011.09.001
https://www.ncbi.nlm.nih.gov/pubmed/22019190
https://www.proquest.com/docview/917161982
https://www.proquest.com/docview/923209262
Volume 26
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