期刊论文、会议论文

Tong, Xiaojiao

英文

Applied Mathematics and Computation

0096-3003

2010

216

6

1723-1740

Workshop on Iterative Methods and Preconditioning Techniques

MAR 22-28, 2009

Suzhou, PEOPLES R CHINA

[Tong, Xiaojiao] Changsha Univ Sci & Technol, Inst Math, Changsha 410076, Hunan, Peoples R China.^[Qi, Liqun] Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China.^[Wu, Felix] Univ Hong Kong, Dept Elect & Elect Engn, Hong Kong, Hong Kong, Peoples R China.^[Zhou, Hui] Huazhong Univ Sci & Technol, Wuhan 430074, Peoples R China.

Tongji Univ, Dept Appl Math

STE 800, 230 PARK AVE, NEW YORK, NY 10169 USA

ELSEVIER SCIENCE INC

10.1016/j.amc.2009.12.031

This work was supported by the NSF of China (10871031, 10826099, 10926189), the RGC Grant HKU 718608E and HKU 717907E, the Hong Kong Research Grant Council and PolyU 1023/07P.

本校为第一且通讯机构

This paper focuses on the computation issue of portfolio optimization with scenario-based CVaR. According to the semismoothness of the studied models, a smoothing technology is considered, and a smoothing SQP algorithm then is presented. The global convergence of the algorithm is established. Numerical examples arising from the allocation of generation assets in power markets are done. The computation efficiency between the proposed method and the linear programming (LP) method is compared. Numerical results show that the performance of the new...