M O D E L L E K

S Z T O C H A S Z T IK U S P R O G R A M O Z S I B IZ T O S T S M A T E M A T IK A I S Z M T S O K B A N
rta: Komromi va
2001. janur

A L K A L M A Z S A P N Z G Y I,

Ksz l t a z F KF P 0 2 3 1 p r o g r a m

t m o g a t s v a l

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T A R T A L O M B E V E Z E T S

O ld a ls z m

2 . 1 V a l s z i n s g -m a x i m a l i z l s .

2 . A S Z T O C H A S Z T IK U S P R O G R A M O Z S N H N Y A L A P M O D E L L JE .

1. 4 . E g y k z l e k e d s t e r v e z s i f e l a d a t

1. 3. P o r t f o l i o p t i m a l i z l s i f e l a d a t

1. 2 . E g y g t -t e r v e z s i f e l a d a t

1. 1 A z j s g r u s p r o b l m a

1. D N T S I M O D E L L E K .

2 .2 . V a l s z in s g g e l k o r l to z o tt p r o g r a m o z s i m o d e ll 2 . 3. V l e t l e n n e l k o r l t o z o t t p r o g r a m o z s i m o d e l l 2 .4 . B n te t s e s m o d e lle k

11 12

11 13 14 15

2 . 5. F e l t t e l e s v r h a t r t k k e l k o r l t o z o t t p r o g r a m o z s i m o d e l l 2 . 6. B n t e t f g g v n y s v a l s z i n s g i k o r l t o k e g y id e j a lk a lm a z s a 2 . 7. V a l s z i n s g i v l t o z t t a r t a l m a z c l f g g v n y k e z e l s e 2 .9 . V a l s z in s g e lo s z l s p r o b l m k 2 . 11. P l d a

2 .8 . S z to c h a s z tik u s p r o g r a m o z s t b b c lf g g v n y m e g l te m e lle tt 2 . 10 . A k t l p c s s s z t o c h a s z t i k u s p r o g r a m o z s i f e l a d a t 3. A V A L S Z I N S G G E L K O R L T O Z O T T L I N E R I S P R O G R A M O Z S I F E L A D A T T U L A JD O N S G A IR L

15

16 18

17 19

3. 1. K o n v e x i t s

2 1

3. 2 . A v a l s z i n s g g e l k o r l t o z o t t l i n e r i s p r o g r a m o z s i f e l a d a t d u lis fe la d a t n a k m e g fo g a lm a z s a s v iz s g la ta 3. 3. A v a l s z i n s g g e l k o r l t o z o t t l i n e r i s p r o g r a m o z s i fe la d a t m e g o ld s r l 4 . E N T R P I A -S Z E R F G G V N Y E K E G Y H A L M A Z T L V A L T V O L S G M R S R E : A -D I V E R G E N C I A

2 1 2 3 2 7 2 8

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5. E G Y S Z O L G L T A T S S A L M E G H A T R O Z O T T M U N K A H E L Y I N Y U G D JP N Z T R E S E T E 31 35 38 39 4 0

7. 1. H a l a n d s g i t b l k k i i g a z t s a 8 . O P T I A K V M L Z IG O C K IZ S G IS N T E R M Y S Z IN Z A T I D L A T A K S T (K J K A L A P

7. I N F O R M C I E L M L E T I M R T K E K A L K A L M A Z S A K R -E L O S Z L S B E C S L S R E

6. P O R T F O L I -O P T I M A L I Z L S I M O D E L L A V A G Y O N B IZ T O S T S B A N

7. 2 . K r n a g y s g e l o s z l s n a k s z m t s a i n f o r m c i e l m l e t i m d sz e rre l

9 . 1. A h r o m s z e r e p l s m o d e l l r s z t v e v i IR O D A L O M 9 .2 . A m o d e ll

9 . A V IS E L K E D S I K O C K Z A T S A B IZ T O S T S I P IA C S Z E R K E Z E T E

S Z E T T E L M O D E L L E Z S E T V N Y S Z M ) S A Z T T I S S Z E F G G S J N

4 2 4 6 4 6

50

4 7

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B E V E Z E T S .

K e r e s n k o l y a n x n -d i m e n z i s d n t s i v e k t o r t , a m e l y s k ie l g ti a z a l b b i fe lt te le k e t: xT , m in im a liz lja a c(x,)

A m ik o r s z to c h a s z tik u s p ro g ra m o z s i d n t s i m o d e llt fo g a lm a z u n k m e g , re n d s z e rin t d e te rm in is z tik u s m o d e lle l k e z d j k . A z t n , te k in te tb e v v e , h o g y a m o d e llb e n s z e re p l p a ra m te re k n m e ly ik e a v le tle n t l f g g , s a n n a k a tu d a t b a n , h o g y a d n t s m e g h o z a n d m g a z e l tt, h o g y b e k v e tk e z n e a z a z e s e m n y , a m e ly n e k s o r n a s z b a n fo rg p a ra m te re k v a l d i rt k t m e g fig y e lh e tn n k , tfo g a lm a z z u k a fe la d a to t. tfo g a lm a z s k o r a rra t re k s z n k , h o g y a m o d e ll m a g b a n fo g la lja a p a ra m te re k r l re n d e lk e z s re ll is m e re te in k e t, a m i j e s e tb e n a p a ra m te re k v a l s z in s g e lo s z l s a .A k iin d u l s u l s z o lg l d e te rm in is z tik u s m o d e ll, le g lta l n o s a b b fo rm j b a n , a k v e tk e z : f g g v n y t

z le ti k o c k v e s z te s g e k , je le n s g e k fo je le n t s g a n e m lin e ris p k z tti a lk a lm

z a to k b iz o n y e g y v lla lk o z rm j b a n m e r s z to c h a s z tik u s ro g ra m o z si m a z h a t s g ra .

ta la n s g , v le tle n e se m s k l n b z le h e ts g e s ln e k fe l. A s z to c h a s z tik u p ro g ra m o z s i m o d e lle k o d e lle z s i g o n d o la tk rt k

n y e k , p o z itv k i m e n e t e l e i , s t b ., s m o d e lle k k r b c s o p o rtja , a m e ly ite rje s z ti a v le tle

v a l s z in s s z to c h a s z tik e n k ie m e lk e a lin e ris s n k r lm n y d

u s e k a

g1(x,) 0, g2 (x,) 0, ... , gm (x,) 0, a h o l T R n r g z te tt, re n d s z e rin t v g e s s z m e g y e n l tle n s g g e l m e g h a t ro z o tt h a lm a z , g1 , g2 , ... , gm v a l s f g g v n y e k , j e l l i a z o n p a r a m t e r e k v e k t o r t , a m e l y e k e t a s z to c h a s z tik u s m o d e lle k b e n v le tle n je lle g n e k fo g u n k te k in te n i.

E f e l a d a t f o n t o s s p e c i l i s e s e t e a k v e t k e z f e l a d a t , a m e l y b e n a gi f g g v n y e k l i n e r i s a k s a z xT f e lt te lt is lin e r is f e lt te le k k p v is e lik : Ax , c(x,) Bx = b, m e lle tt a z m in

A z lta l n o s m o d e llb l s e n n e k " h t t r " -m o d e l l e k b l - k l n b z f g g e n a d n t s i e lv t l, s a tt l, h fe lt te le k b e n je le n n e k m e g , a z e g le h e t s g v a n t b b c lf g g v n y id s z a k ra v o n a tk o z n a k , d e d in a m ik

a h o l A s Ba d o tt m trix o k , s v lto z k .

x 0,

Am trix e le m e i is le h e tn e k v a l s z in s g i c i lis e s e t b l is - e d e te rm in is z tik u s u s p ro g ra m o z s i fe la d a to k a t k a p u n k , s g i v lto z k a c lf g g v n y b e n v a g y a i r n y t l , e g y e n l e t e k j e l e n l t t l , s t b ., re . E m o d e lle k s ta tik u s a k , a z a z e g y , h a nid s z a k r a k e ll k e t v o n a tk o z ta tn i.

fe n t le rt s p e s z to c h a s z tik o g y a v a l s z in y e n l tle n s g e k s z e re p e lte t s u s s is te h e t k

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k v e tk e z k b e n a m s o d ik a lin e ris m o d e llb l s z rm a z ta th a t p ro g ra m o z s i fe la d a to k k a l fo g la lk o z u n k . A s z to c h a s z tik u s

A le rt m o d e lle k a lk a lm a z h a t s g n a k a l t m a s z t s u l e l s z r n h n y d n t s i m o d e lle l k e z d j k , a z 1 . fe je z e tb e n . F e lh a s z n lju k itt a z in fo rm c ie lm le tb e n is m e re te s e n tr p ia i l l e t v e i n f o r m c i -d i v e r g e n c i a f o g a l m t i s a b b l a c l b l , h o g y j l d e f i n i l t m a t e m a t i k a i m e g fo g a lm a z s t a d ju n k e g y o ly a n fe la d a tn a k , a m e ly b e n e g y v a l s z in s g i v lto z e lo s z l s t s z k s g e s m e g h a t ro z n i. N a g y r s z t k v e tt k P r k o p a A n d r s (S to c h a s tic P ro g ra m m in g , 1 9 9 5 ) g o n d o la tm e n e t t a d n t s i m o d e lle k b e m u ta t s b a n p p g y , a h o g y a n , a 2 .fe je z e tb e n , a k l n b z m e g je le n s s z to c h a s z tik u s p ro g ra m o z s i fe la d a to k b e m u ta t s b a n .A lk a lm a n k n t je le z z k a fe la d a to k e ln e v e z s n e k a n g o l v lto z a t t s z v e g k z b e n a z r t, h o g y a z ir o d a lo m b a n t j k o z d n i k iv n o lv a s k n n y e b b e n e lig a z o d jo n .A 3 .fe je z e tb e n a v a l s z in s g g e l k o rl to z o tt lin e ris p ro g ra m o z s i fe la d a t tu la jd o n s g a it s m e g o ld s t v iz s g lju k r s z le te s e b b e n , A k s b b ie k b e n k z lt, b iz to s t s b a n a lk a lm a z o tt k o c k z a tk e z e l s i m o d e lle k s z in t n v a l s z in s g g e l k o rl to z o tt lin e ris p ro g ra m o z s i f e l a d a t k n t j e l e n n e k m e g . A 4 . f e j e z e t b e n v i s s z a t r n k a z e n t r p i a -m a x i m a l i z l s t r g y a l s r a , a x i o m a t i k u s s s z e f o g l a l s t a d j u k a C s i s z r I m r e l t a l b e v e z e t e t t d iv e rg e n c ia fo g a lo m n a k [1 3 ] s v z o lju k a lk a lm a z s i le h e t s g e it a b iz to s t s b a n s a k o c k z a tk e z e l s b e n . A z e z t k v e t fe je z e te k b e n o ly a n b iz to s t s b a n a lk a lm a z h a t fe la d a to k a t m u ta tu n k b e , a m e ly e k m a te m a tik a i m e g fo g a lm a z s a s z to c h a s z tik u s p ro g ra m o z s i fe la d a th o z v e z e t. A z 5 . fe je z e tb e n e g y u .n .s z o lg lta t s s a l m e g h a t ro z o tt e lv m u n k a h e ly i n y u g d jp n z t r m k d s t v iz s g lju k . A 6 . fe je z e tb e n e g y p o rtfo li o p tim a liz l s i fe la d a tta l fo g la lk o z u n k . A 7 . fe je z e tb e n v iz s g lju k in fo rm c i e lm le ti m rt k e k a lk a lm a z s t k re lo s z l s b e c s l s re . A 8 . fe je z e tb e n o p tim lis b iz to s t s i te rm k s s z e t te lt m o d e lle z n k a z ig n y s z in t (k tv n y s z m ) s a k o c k z a ti d j k z tti s s z e f g g s v iz s g la ta a la p j n . A 9 . fe je z e tb e n a v is e lk e d s i k o c k z a t s a b iz to s t s i p i a c -s t r u k t r a ssz e f g g s n e k v iz s g la t ra m u ta tu n k b e e g y s z to c h a s z tik u s p ro g ra m o z s i m o d e llt. A k z lt llt s o k e g y r s z t b iz o n y tju k , a n e m is m e rte te tt b iz o n y t s o k le l h e ly t m in d ig je le z z k .A je g y z e t v g n b iro d a lo m je g y z k e t ta l l a z o lv a s .

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1 . D N T S I M O D E L L E K. 1 . 1 A z j s g r u s ( n e w sb o y ) p r o b l m a . ( E g y b n te t f g g v n y a lk a lm a z s v a l). v h m A d n t s i e n n y is g e lto z , a m js g ru s a a jn a lb a n m k s z le tg a z d lk o d s i o t js g ro n h e z m m in ta p ld a

A n y e re s g : h a < x: h a > x:

p ro b l m a : A z js g ru s a s ta n d j n e g y f le js g t m e g v e s z h a jn a lb a n , d a ra b j t c ro n .A k e re s le t a z e ly n e k is m e rt a z e lo s z l s a .A z js g ru s a z js g o t d v rh a t n y e re s g t s z e re tn m a x im a liz ln i.K rd s , e h e g v e n n ie ? d - cx = -c(x-) + (d-c)

ru s t, a m e ly b l x ir n t v a l s z in s g i r u s t j a , d > c. A z e n n y i js g o t k e ll

A v rh a t n y e re s g :

dx - cx = -(d-c)( -x) + (d-c) .

a h o l pi = P r (=i ). E z m a x i m l i s , h a a t l r e n d e l s b l i l l . a z e l s z a l a s z t o t t l e h e t s g b l s z rm a z v rh a t v e s z te s g : m i n i m l i s . g(x) a b n t e t s v r h a t r t k e , a m i a z r t j r a z j s g r u s n a k , m e r t n e m b e c s lte m e g a k e re s le te t. f (y ) dy , s f e l t v e , h o g y a v r h a t r t k e l t e z i k , a z t k a p j u k , h o g y : g(x) = i<x c(x-i ) pi + i>x (d-c)(i -x) pi j l

(d-c) E [] - i<x c(x-i ) pi - i>x (d-c)(i -x) pi ,

F(z )=

H a e lo s z l s a a fo ly to n o s f s r s g f g g v n n y e l k z e lth e t , a k k o r xis fo ly to n o s d n t s i v l t o z . E k k o r F(z )-v e l j e l l v e a v a l s z i n s g i v l t o z e l o s z l s f g g v n y t :

z

g(x) = c c

(x-z ) f (z ) dz + (d-c) (x-z ) f (z ) dz + c

A z u to ls e g y e n l s g e t a z a l b b i m d o n n y e rt k . P a rc i lis in te g r l s s a l a z t k a p ju k , h o g y A z t k e ll b e l tn u n k , h o g y

c(x - E []) + d(E [] - x) + d

c(x - E []) + d(E [] - x) - d

(z -x) f (z ) dz =

(x-z ) f (z ) dz + d
x x

(z -x) f (z ) dz =

(z -x) f (z ) dz = F(z ) dz ,

(z -x) f (z ) dz = -

F(z ) dz .

lim z zF ( z ) F ( z )dz
x

( z x ) f ( z )dz = [( z x ) F ( z )] F ( z )dz =
x x

(z -x)f (z )dz =[ (z -x)F(z )]

F(z ) dz =l i m
z-F(z

z-F(z

)-l i m

z-

z F(z )-

F(z )dz .

Mivel minden F elo s z l s f g g v ny r e l i m h o g y l i m z- z F(z ) = 0. Ez k vet k ez ik .

) = 0, b el t j uk az ll t s t , h a b el t j uk ,

R g z t s nk eg y t et s z leg es x 0 r t k et s leg y en x z 0. Ek k o r

yf ( y ) dy

= - xF(x) + z F(z ) = x ( F(z ) F(x) ),

F ( y ) dy

- xF(x) + z F(z ) - (z -x)F(z ) mivel az F elo s z l s f g g v ny mo no t o n n v s g y H a mindk t o ldalo n ves s z k az x - h at r t menet et , ak k o r az t k ap j uk , h o g y Az eg y enl t lens g b alo ldal n l v int eg r l l t ez ik , mer t - nek van a f elt ev s s z er int v g es v r h at r t k e; s z F(z ) 0, mivel az elo s z l s f g g v ny nemneg at v. 0 lim
z-

F ( y ) dy (z -x)F(z ).

yf ( y ) dy z F(z ).

g y

A g f g g v ny k o nvex , mer t

z F(z ) 0,

g(x) = d (F(x) - 1 ) + c

ami p p en az ll t s .

g y g(x) minim lis , h a g(x) = 0, vag y is h a x = F-1 ( (d-c)/ d ). 1.2. Egy gt-te r v e z s i f e l a d a t H o l l a n d i b a n (A mo dellb en a v r h at minimaliz lj uk (ld. D ant z ig do lg o z at t , ir o dalo mj eg y z k [17] ) ) . ves z t es g et

g (x) = d f (x) > 0.

n vek v s

A d nt s i p r o b l ma: H o llandi b an b elviz es m ly f ldet v d g t at k ell mag as t ani. A j elenleg i g t mag as s g H0, az j at H-val j el lj k , a d nt s i v lt o z x = H-H0. A t eng er s z int val s z in s g elo s z l s t g o ndo s s t at is z t ik ai elemz s ex p o nenc i lis nak t al lt a, g y annak a val s z in s g e, h o g y a t eng er s z int a H mag as s g o t meg h aladj a: ah o l >0 ado t t p ar am t er . P r (H) = e xp(-H ) = p0 e xp(-(H-H0 )), p0 = e xp(-H0 ) ,

A k lt s g : h a a t eng er s z int j e k is eb b , mint H, ak k o r c s ak a t lt s p t s k lt s g e mer l f l, h a nag y o b b , mint H, ak k o r elp us z t ul a s z b anf o r g t er let is . Ez ut b b it D ant z ig eg y V r t k r k j r ad k k al az o no s t j a: a t er let r t k e: V

j =1

(1 / (1 + )j,

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ah o l a k o ns t ans nak t ek int et t k amat l b . A g t p t s k lt s g e: I(x) = g y a v r h at k lt s g : kx + I 0 , ha x > 0, ha x = 0, 0,

It t I0 , k ado t t p o z it v k o ns t ans o k .

I(H-H0) + P r (H) V

j =1

(1 / (1 + )j

Mivel ez a f g g v ny k o nvex , minim lis r t k t az h ely en ves z i f el.

= I(x) + p0 e xp(-x)V/ .
ln ( p0 V ) k

I(H-H0) + p0 e xp(-(H-H0 ))V/

x=

n b ef ek t et s i f o r m b l v las z t h at unk , az ez ek b en elh ely ez et t x1, , xn s s z eg ek a d nt s i v lt o z k . Is mer t ek az eg y es i b ef ek t et s ek j vend r nak i v r h at r t k e, i s z r s a s a k o r r el c i s eg y t t h at k : R = {rij } . g y a p o r t f o li t elj es j vend r t k e: = x1 1 + x 2 2 + ... + x n n val s z in s g i v lt o z , p ar am t er ei 2 = Var [] = = E [] = i =1 xii
n

A d nt s i p r o b l ma: k r t k vag y o nunk b l o ly an p o r t f li t s z er et n nk k p ez ni, amely r e max im lis annak a val s z in s g e, h o g y a p o r t f li nk j vend t elj es r t k e eg y ado t t d r t k n l nem k is eb b .

1.3. P o r t f o l i o p t i m a l i z l s i f e l a d a t v a l s z i n s g m a x i m a l i z l s s a l . (N em a val s z in s g et , h anem az ar r a adh at als k o r l t o t max imaliz lj uk , ld. [5 2 ] )

P r ( d ) = P r (- -d) 1 - 2/ (-d) 2 2/ (-d) 2

n i =1 i

j =1

n i =1

xi xj r

ij

i j .

P r (- -d)

A f eladat ez r t :

(C s eb is ev eg y enl t lens g )

m in xi 0, i =1 , , n.

= k,

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1.4. E g y k z l e k e d s t e r v e z s i f e l a d a t (Inf o r m c i ny er es g minimaliz l s i mo dell, val s z in s g max imaliz l s , a max imum lik elih o o d m ds z er nek alk almaz s a, ld. [2 2 ] , [2 7] )

Az inp ut -o ut p ut mo dell: Is mer t az I1, , Im k ib o c s j t z n k b l a J1, , Jn z n k b a a j elenleg i ij f o r g alo m, i = 1 , ,m ; j = 1 , ,n. K r d s , mily en f o r g alo s z m t ani az eg y es z n k k z t t , h a a z n k k ib o c s j t ill. b ef o g ad k p es s m do n meg v lt o z ik . J el lj e ai az Ii z na j v b eni k ib o c s j t k p es s g t b ef o g ad k p es s g t , tij a j v b eni f o r g almat Ii -b l Jj -b e. Ek k o r a tij r t k ek a j tij = ai, i tij = bj,

b ef o g ad mr a leh et g e is mer t s bj a Jj

mar g in lis f elt t elek nek eleg et t es z nek , ah o l ij tij = i ai = j bj = T . A k vet k ez f elt t elez s s el l nk : (a) t i j > 0 , h a ij > 0 s tij = 0, h a ij = 0; (b ) az j f o r g alo melo s z l s a leh et leg k eves eb b m r t k b en t r el a r g it l. A k r d s az , h o g y an f o g almaz z uk meg mat emat ik ailag p o nt o s an ez ut b b i f elt t elez s t ?

i = 1 , ,m ; j = 1 , ,n

Az ij / A i l l . tij / T (ij ij = A) f elf o g h at g y , mint annak az es em ny nek a val s z in s g e, h o g y eg y ut as Ii -b l Jj -b e meg y . A j v b eni tij / T val s z in s g ek nek az elt t s t a j elenleg i ij/ A val s z in s g ek h ez k p es t a ij (tij / T ) l n
ij / A t ij / T

v r h at inf o r m c i ny er es g g el m r j k . A f eladat t eh t inf o r m c i ny er es g et a f ent i mar g in lis f elt t elek mellet t . Mint h o g y ij (tij / T ) l n
ij / A t ij / T = 1 T

minimaliz lni

az

ij

t ij ln

t ij

ij t ij ij

- l nT + l nA =
ln T + ln A,

1 T

t ln ij ij

s a k o ns t ans t ag o k s s z o r z elh ag y s val nem v lt o z ik az o p t im lis meg o ld s (c s ak az o p t im lis c lf g g v ny r t k ) , ez r t f eladat unk ek vivalens a k vet k ez vel:

f elt t elek mellet t . a j tij = ai,

t ln ij ij

t ij ij

minimaliz land i tij = bj, i=1 , ,m ; j=1 , ,n

r j uk f el az e f eladat h o z t ar t o z K uh n-T uc k er eg y ens ly i f eladat o t : l n tij + 1 - l n ij + u i + v j = 0 j tij = ai, i tij = bj, i=1 , ,m ; j=1 , , n.

Az els

c s o p o r t b a t ar t o z f elt t elek a i = ex p (-1-ui ) s j = ex p (-vi) t ij = i ij j

h ely et t es t s s el

9
alak ak , i > 0, j > 0. Ily m do n a K -T eg y ens ly i f eladat a k z lek ed s t er vez s b en j l is mer t u.n. R AS mo dell, i t az Ii z na t as z t s i, j t a Jj z na vo nz s i eg y t t h at j nak nevez ik . A g r avit c i s mo dell. H a az ij = e xp(-cij ) h ely et t es t s s el l nk , ah o l cij is mer t lt al no s t o t t ut az s i k lt s g ek et j el l, p edig a lak o s s g k lt s g r z k eny s g t , ak k o r h as o nl meg f o nt o l s o k alap j n a f o r g alo melo s z l s t a k vet k ez alak b an k er es s k : t ij = i e xp(- cij) j , i > 0, j > 0, j tij = ai, i tij = bj, i=1 , ,m ; j=1 , , n.

Az p ar am t er k alib r l s a: T eg y k mo s t f el, h o g y az p ar am t er nem is mer t , b ec s l s r e eg y ut as f o r g almi f elm r s adat ait h as z n lj uk f el. A f elm r s s o r n N k r dez b iz t o s eg y m s t l f g g et len l s v let lens z er en k iv las z t o t t eg y -eg y ut as t s meg k r dez t e, h o nnan h o v t ar t . A f elm r s er edm ny e eg y N elem mint a s eg y Nij s o r o z at , ah o l Nij az N ut as k z l az Ii -b l Jj -b e ut az k s z ma. A max imum lik elih o o d m ds z er t alk almaz z uk : a p ar am t er val di r t k t az z al az r t k k el b ec s lj k , amely h a p ar am t er nk val di r t k e vo lna, ak k o r p p en az ado t t N-elem mint a b ek vet k ez s e vo lna a leg val s z in b b az s s z es leh et s g es N-elem mint a k z l. J el lj e pij annak a val s z in s g t , h o g y eg y ut as Ii-b l Jj-b e ut az ik . Ek k o r az ado t t N-elem mint a b ek vet k ez s nek val s z in s g e, amely et minimaliz lunk , a k vet k ez : A pij r t k ek et a tij f o r g alo mmal ar ny o s nak k er es s k :

ij

N p ij ij ,

ah o l

pij 0,

i=1 ,

,m ; j=1 ,

t ek int j k , ez r t a k vet k ez

, n,

ij pij = 1 .

alak b an

h ely et t es t s s el, t alak t s o k vez et :

Meg j eg y ez z k , h o g y a max imum lik elih o o d m ds z er alk almaz s a, a i = e ri , j = e ut n, a k vet k ez

pij = i e xp(- cij )j , i > 0, j > 0.

g eo met r iai p r o g r amo z s i f eladat h o z

sj

E f eladat du lis ak nt az al b b i ent r p ia max imaliz l s i mo dell ad dik : j pij = ij pij l n pij
1 j N N 1 i N N

1 N

ij

N ij ( ri + s j c ij ) max 1

ij

ei

r + s j cij

ij,

mi n

i = 1, j = 1,

, m; ,n ;

i pij =

ij,

1 0
ij cij pij =
1 ij cij N N
ij,

pij > 0,

i = 1,

, m; j = 1,

,n .

1 1
2. A SZTOCHASZTIKUS PROGRAMOZS NHNY ALAPMODELLJE. 2.1 V a l s z i n s g -m a x i m a l i z l s .

A gi f g g v ny ek , a val s z in s g i vek t o r f g g v ny ei v lt o z k . A gi (x,) 0, i = 1, 2, ... , m f elt t elek t elj es elo s z l s nak is mer et b en f g g a v las z t o t t x d nt s i vek f g g v ny ek nemneg at v vo lt r a t et t k ik t s ek eg y t t es max imaliz lni (p r o b ab ilit y max imiz at io n) .

l v n, mag uk is val s z in s g i l s nek val s z in s g e t eh t a t o r t l. s s z er t r ek v s ez r t e t elj es l s nek val s z in s g t mo dellh ez j ut unk :

Az (I) det er minis z t ik us h t t r -f eladat b l k iindulva a k vet k ez x T,

max imaliz land P r( g1(x,) 0, g2 (x,) 0, ... , gm (x,) 0 )

Az (II) det er minis z t ik us h t t r -f eladat meg f elel j e: Bx = 2.2. V a l s z i n P r (Ax ) max b,

ah o l Pr a val s z in s g et j el li.

H as o nl an s s z er az t meg k vet elni, h o g y a gi (x,) 0, i = 1, 2, ... , m f elt t elek eg y t t es t elj es l s nek a val s z in s g e ne leg y en eg y el r t r t k n l k is eb b . A val s z in s g g el k o r l t o z o t t (p r o b ab ilis t ic c o ns t r ained) p r o g r amo z s i mo dell-c s o p o r t b an ez t r t nik , az z al a k ieg s z t s s el, h o g y a c lf g g v ny a val s z in s g i vek t o r t l c s ak k z vet ve, az x d nt s i vek t o r o n k er es z t l f g g . Az (I) det er minis z t ik us h t t r p r o b l m b l k iindulva e f eladat o t a k vet k ez k p p en f o g almaz z uk meg : P r( g1(x,) 0, g2 (x,) 0, ... , gm (x,) 0 ) p ah o l p el r t val s z in s g . x T, c(x) mi n

s g g e l k o r l to z o tt p r o g r a m o z s i m o d e ll.

x 0.

A (II) det er minis z t ik us h t t r -mo dellnek az al b b i val s z in s g g el k o r l t o z o t t line r is p r o g r amo z s i f eladat a meg f elel j e: cx mi n Bx = b, P r( Ax ) p x 0,

Az el r t p val s z in s g a r ends z er meg b z h at s g nak a j ellemz j e, a mo dell eg y m do s t o t t v lt o z at t meg b z h at s g i p r o g r amo z s i mo dellnek is nevez ik az

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ir o dalo mb an. A mo dell x meg o ld s b an r ej l k o c k z at o t t eh t az 1 - p r t k k p vis eli. A p r t k meg v las z t s a a d nt s h o z t l f g g , t et s z leg es r t k leh et 0 s 1 k z t t . Mag as meg b z h at s g i s z int en m k dt et ni a r ends z er t az o nb an s z k s g k p p en mag as ab b k lt s g g el leh et , g y a k lt s g et k if ej ez c(x) c lf g g v ny minim lis r t k e a p-nek mo no t o n n v f g g v ny e. A d nt s h o z nak t eh t meg k ell f o nt o lnia, h o g y az z let menet b iz t o ns g r t mily en r at t ud elf o g adni, amely meg f o nt o l s b an t er m s z et es en t mas z k o dh at a mo dell k l nb z p r t k ek mellet t i numer ik us meg o ld s r a s a k ap c s o l d o p t im lis c lf g g v ny r t k ek is mer et r e. 2.3 . V l e t l e n n e l k o r l t o z o t t p r o g r a m o z s i m o d e l l .

A meg b z h at s el r mo dell j ez en eg y s z er b b mo dellnek nevez

g i k vet elm ny t c s ak az eg y es eg y enl t lens g i f elt t elek r e eg y enk nt val eg y s z er b b . A val s z in s g g el k o r l t o z o t t p r o g r amo z s i mo dellnek v lt o z at t v let lennel k o r l t o z o t t (c h anc e c o ns t r ained) p r o g r amo z s i ik : c(x) mi n x T.

P r( g1(x,) 0) p1, P r(g2 (x,) 0) p2, ... , P r(gm (x,) 0 ) pm H a az eg y enl t lens g i f elt t elek eg y t t es en alk o t j k az t a f elt t elr ends z er t , amely nek t eh t az eg y t t es t elj es l s e f o nt o s a d nt s h o z s z m r a, ak k o r ez az eg y s z er b b mo dell nem alk almaz h at . Az a k r lm ny , h o g y a val s z in s g i k o r l t o t a f elt t elek r e k l nk l n r j uk el , indo k o lt leh et az o nb an ab b an az es et b en, h a az eg y es f elt t elek p l. k l n ll z let g ak r a vo nat k o z nak , amely ek m k d s e eg y m s t l f g g et len - ek k o r az eg y es meg b z h at s g i s z int ek a h ely i k vet elm ny ek nek meg f elel en v las z t h at k meg . s z r e k ell az o nb an venni, h o g y a r ends z er eg s z nek a meg b z h at s g a ez es et b en az eg y es meg b z h at s g i s z int ek s z o r z at a: p1 p2 ... pm, amely meg leh et s en alac s o ny r t k is leh et . A v let lennel k o r l t o z o t t line r is p r o g r amo z s i es et a k vet k ez : P r( Aix i) pi, i = 1,...,m, ah o l mellet t a c vek t o r is leh et val s z in s g i v lt o z vek t o r . H a az o nb an c k o ns t ans , ak k o r a f elt t elek line r is f elt t elek k val t alak t s a line r is p r o g r amo z s i f eladat h o z vez et . L eg y en ug y anis ai eg y o ly an s z m, amely r e a i val s z in s g i v lt o z Fi elo s z l s f g g v ny nek az r t k e p p en pi : ai = Fi -1 (pi). Ek k o r az i-edik f elt t elt o ly an x vek t o r el g t i k i, amely r e f enn ll az Aix ai eg y enl t lens g . A s z t o c h as z t ik us f elt t elr ends z er t eh t h ely et t es t h et az al b b i line r is f elt t elr ends z er r el: Aix ai, i = 1, ..., m Bx = b, Bx = b, cx mi n

1 3
H a c val s z in s g i v lt o z -vek t o r , ak k o r h r o m t o v b b i mo dellt k ap unk , ez mo dell, a V-mo dell s a P-mo dell. Mindh r o m es et b en az x d nt s i vek t o r t , a f g g v ny nek t ek int ve, x = D alak b an k er es s k (a v las z t o t t c lf g g v ny alk r dek b en) , elimin lva g y az x vek t o r t s h ely et t e a D m t r ix elemei les z nek v lt o z k . A f elt t elek g y mindh r o m mo dellb en a k vet k ez alak ak : ah o l ai = Fi -1 (pi), i = 1, 2, ... ,m, Ai az A mat r ix i-edik s o r a. ek az E line r is almaz s a a d nt s i

Pr( ( a ij d jk ) k i ) p i , i = 1,..., m .
m n k =1 j =1

Az E-mo dellb en a cD v r h at r t k t minimaliz lj uk : A V-mo dellb en co s xo o ly an vek t o r o k , amely ek a c-b en f o g lalt val s z in s g i v lt o z k s az x d nt s i vek t o r b iz o ny o s p r ef er lt r t k eit f o g lalj k mag uk b an s a minimaliz land c lf g g v ny a cx s z o r z at nak a coxo s z o r z at t l val n g y z et es elt r s e: A P-mo dell c lf g g v ny e eg y max imaliz land val s z in s g : P r( cD coxo) max. 2.4 . B n t e t s e s m o d e l l e k . E[(cD - coxo)2] mi n E(cD ) mi n

A v let lennel k o r l t o z o t t line r is p r o g r amo z s i mo dellb en a cx v r h at r t k e s z er ep el. A mo s t b emut at and mo dellb en a minimaliz land c lf g g v ny is m t v r h at r t k les z . Al b b f elt es s z k , h o g y a c(x,) = c(x), az az a c lf g g v ny c s ak az x vek t o r t l f g g . A s z t o c h as z t ik us f elt t elek et o ly m do n j elen t j k meg , h o g y eg y o ly an - b nt et f g g v ny t vez et nk b e s adunk h o z z a c(x) f g g v ny h ez , amely e f elt t elek meg s r t s nek m r t k t f ej ez i k i. A minimaliz land c lf g g v ny nk ez ut n e k t f g g v ny s s z eg nek v r h at r t k e les z . Miut n az o nb an a c(x) det er minis z t ik us f g g v ny , a c lf g g v ny eg y enl les z a c(x) f g g v ny p lus z a b nt et f g g v ny v r h at r t k nek eg y ado t t p o z it v k o ns t ans s z o r o s a. Ez en d nt s i elv alk almaz s val o ly an mo dellh ez j ut unk , amely b en az eg y ik c l a s z t o c h as z t ik us f elt t elek meg s r t s nek b nt et s e. J el lj e q a s z b anf o r g b nt et f g g v ny t . L eg y en q(z) 0, z Rm, q(0) = 0. H a a s z t o c h as z t ik us f elt t eleink et az Ax = eg y enlet r ends z er j elent i, ak k o r q(x,) = q( - Ax). Ek k o r a (II) det er minis z t ik us h t t r - f eladat b l s z r maz t at o t t s z t o c h as z t ik us mo dell g y f o g almaz h at meg : ( c(x) + E[q( - Ax)] ) mi n Bx = b x 0.

E f eladat f o nt o s s p ec i lis es et e a f elt t elek meg s r t s t k o mp o nens enk nt b nt et i. Ek k o r

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q(x,) = ah o l q(z) =

m i =1

(qi+ [i - Aix]+ + qi- [ Aix - i]+), (qi+ [zi ]+ + qi- [ -zi]+),

m i =1

T ek int et t el ar r a, h o g y ek k o r

qi+ s qi- ado t t k o ns t ans o k , [a]+ = max (a, 0). E[q( - Ax)] =

m i =1

E(qi+ [i - Aix]+ + qi- [ Aix - i]+), s ez r t a numer ik us meg o ld s t

a c lf g g v ny m s o dik t ag j a s z ep ar b ilis s v lik illet en eg y s z er b b en k ez elh et v .

Eg y m s ik b nt et t p us mo dellb en a c lf g g v ny a L ag r ang e-f le ny er eg f g g v ny h ez h as o nl . Is mer et es , h o g y a h (x) mi n , gi(x) 0 i = 1, , m, x Rn

minimaliz l s a r v n k ap h at meg . It t is b evez et nk eg y t o v b b i yRm nemneg at v v lt o z -vek t o r t de eg y u(z) h as z no s s g i f g g v ny t is , maj d t ek int j k az yg(x,) = f g g v ny t (ld. a [4 ] do lg o z at o t ) : ah o l u-1 az def ini lj uk :

t ip us det er minis z t ik us f eladat L ag r ang e f g g v ny e a h (x)+ yg(x) f g g v ny , ah o l yRm, y0, s a f eladat meg o ld s a a h( x ) + sup y 0 yg ( x ) f g g v ny f elt t el n lk li

m i =1

yigi(x,) val s z in s g i v lt o z

det er minis z t ik us

ek vivalens ek nt

a k vet k ez

u h as z no s s g i f g g v ny inver z e. A b nt et f g g v ny t a k vet k ez k p p en q(x) = s upy0 u-1 ( E [ u(yg(x,) ] ). f elt t el n lk li o p t imaliz l s i

u-1 ( E [ u(yg(x,) ] ),

A s z t o c h as z t ik us p r o g r amo z s i mo dell ak k o r a k vet k ez f eladat t v lik : h (x) + q(x) mi n .

H a k o ns t ans , ak k o r q(x) = s upy0 u-1 ( E [ u(yg(x,) ] )) = s upy0 yg(x,) vag y is a h (x) + q(x) f elt t el n lk li minimaliz l s a r v n a meg f elel det er minis z t ik us f eladat o p t im lis meg o ld s t k ap h at j uk meg . H as o nl an s s z er leh et a r ends z er meg b z h at s g t g y b iz t o s t ani, h o g y a f elt t elek nem t elj es l s nek v r h at r t k r e adunk meg f els k o r l t o t , az al b b i m do n: 2.5. Feltteles vrhat rtkkel korltozott programozsi modell.

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Ek k o r t eh t a gi(x,) 0 f elt t el meg s r t s nek t lag o s m r t k t k o r l t o z z uk . Ab b an az es et b en, amik o r gi line r is , az az -gi(x,) = i - Aix, a val s z in s g i v lt o z vek t o r elo s z l s nak k t f o nt o s v lt o z at r a f enn llnak a k vet k ez , a meg b z h at s g elm let b en is mer t t t elek , amely ek a f eladat k ez el s b en, meg o ldh at s g b an nag y j elent s g g el b r nak (ld. a [2 8 ] , [4 9 ] do lg o z at o k at ) : H a f o ly t o no s , s r s g f g g v ny e lo g ar it mik us an k o nk v s l t ez ik a v r h at r t k e, ak k o r a f ent i f elt t eles v r h at r t k is l t ez ik s mo no t o n c s k k en f g g v ny e Aix nek . H a eg y et len f elt t el nk van s mellet t az 1 x n m r et A m t r ix elemei is val s z in s g i v lt o z k , az (A,) val s z in s g i v lt o z vek t o r dis z k r t elo s z l s v g es s z m leh et s g es r t k k el, ak k o r az E([ - Ax]+) s z ak as z o nk nt line r is s k o nvex . sgi korltok egy idej alkalmazsa. E( -gi(x,) gi(x,) < 0 ) di, i = 1, ... , m.

Mag y ar z at unk at a (II) det er minis z t ik us h t t r -mo dellr e p t j k , f elt es s z k t eh t , h o g y Ax alak f elt t eleink vannak . L eg y en qi- = 0, i = 1, ... , m. A s z t o c h as z t ik us p r o g r amo z s i f eladat a k vet k ez alak : ( c(x) + E[q( - Ax)] ) mi n P r( Ax ) p

2.6 . B n tet f ggvn y s valszin

E p r o b l ma b r mely leh et s g es meg o ld s a o ly an, h o g y a f elt t elek az es et ek leg f elj eb b (1 - p) 100 % - b an nem t elj es lnek s minden eg y es f elt t elr e eg y enk nt a f elt t el t lag o s meg s r t s e f el lr l k o r l t o z o t t , mik z b en a det er minis z t ik us f elt t elek et a meg o ld s k iel g t i. E leh et s g es meg o ld s o k k z l a mo dell o p t im lis meg o ld s ak nt o ly ant v las z t unk , amely minimaliz lj a az er edet i c lf g g v ny nek s a b nt et f g g v ny v r h at r t k nek az s s z eg t . T eg y k f el, h o g y a c(x,) c lf g g v ny nk val s z in s g i v lt o z , amely minimaliz land az x T f elt t el mellet t , ah o l T az er edet i f eladat f elt t eleinek eleg et t ev meg o ld s o k h almaz a. B emut at unk n h ny leh et s g et a c lf g g v ny det er minis z t ik us s t t el r e. 2.7 . V alszin sgi vltozt tartalmaz c lf ggvn y kezelse.

Bx = b,

E[ i - Ai x i - Ai x > 0 ] di , i = 1, ... ,m x 0.

(a) V lt o z t as s uk det er minis z t ik us s a c(x,) c lf g g v ny nk et az lt al, h o g y ves s z k az E[c(x,)] v r h at r t k t s ez en f g g v ny t minimaliz lj uk . H a s p ec i lis an c(x,) = x, ak k o r E[c(x,)] = E()x is line r is les z . Ennek a v las z t s nak az o nb an vannak f elt t elei. Mindenek el t t az , h o g y c s ak s o k s z o r is m t l d d nt s ek es et b en alk almaz h at , k l nb en, f k nt nag y var ianc i j val s z in s g i v lt o z es et b en, a v r h at r t k s a

1 6
val s z in s g i v lt o z maj d t ny leg es en b ek vet k ez el f o r dulh at . r t k e k z t t ig en nag y k l nb s g is

H a s p ec i lis an c(x,) = x, s a k o var ianc ia m t r ix a C, ak k o r x n g y z et g y k e les z , s a c lf g g v ny az al b b i alak : ah o l s alk almas an v las z t o t t p o z it v k o ns t ans o k . mi n E() x + xCx

(b ) T ek int s nk o p t im lis nak eg y o ly an, a f elt t elek nek eleg et t ev xo d nt s i vek t o r t , amely r e f enn ll, h o g y ninc s o ly an m s ik x d nt s i vek t o r , amely r e a E[c(x,)] = E[c(xo,)] s Var[c(x,)] < Var[c(xo,)] vag y Var[c(x,)] = Var[c(xo,)] s E[c(x,)] < E[c(xo,)], ah o l Var[c(x,)] a c(x,) val s z in s g i v lt o z var ianc i j a. Az az k t c lf g g v ny nk van: a c(x,) v r h at r t k e s var ianc i j a s e k t c lf g g v ny s z er int i Par et o o p t im lis meg o ld s t k er es nk . lt al b an v g t elen s o k Par et o o p t im lis meg o ld s l t ez ik , h a az o nb an a k t c lf g g v ny t meg f elel en s ly o z z uk , ak k o r ez ek k r t les z k t h et j k . Ez es et b en det er minis z t ik us c lf g g v ny l a c(x,) val s z in s g i v lt o z v r h at r t k nek s s z r s nak eg y p o z it v k o mb in c i j t v las z t j uk . s z r s a xCx

(c ) T o v b b i leh et s g , h o g y a meg l v f elt t elek et k ieg s z t j k eg y j ab b f elt t ellel s meg o ldand f eladat nak a k vet k ez t t ek int j k : P r( c(x,) d ) p, ah o l p el r t , r ends z er int nag y val s z in s g , 0 < p < 1. H a s p ec i lis an elo s z l s val s o p t im lis meg o o p t im lis c lf g c(x,) = z in s g i ld s r a P g v ny r t x, a k o var ianc ia m t r ix a C s t b b v lt o z s no r m lis v lt o z vek t o r , x nemdeg ener lt elo s z l s , ak k o r a f eladat r( c(x,) d ) = p k ell, h o g y t elj es lj n s ez es et b en az k : xCx , x T, d

ah o l a s t andar d no r m lis elo s z l s elo s z l s f g g v ny e. A det er minis z t ik us f eladat t eh t E() x + -1(p) x T. xCx mi n

d = E() x + -1(p)

K t c l p r o g r amo z s i f eladat h o z vez et et t az el z p o nt b an a s z t o c h as z t ik us c lf g g v ny k ez el s r e b emut at o t t eg y ik j avas lat unk . Mo s t t o v b b i k t es et et viz s g lunk . (a) Az r s z t o c h as z t ik us c lf g g v ny t mag b an f o g lal alap f eladat a k vet k ez : (1x, 2x, ... , rx) max

2.8 . S ztoc hasztiku s programozs t b b c lf ggvn y meglte mellett.

1 7
x 0. Bx = b,

Vez es s nk b e eg y t o v b b i f elt t elt , s t ek int s k az r det er minis z t ik us c lf g g v ny t mag b an f o g lal s nemline r is p r o g r amo z s i es z k z k k el k ez elh et al b b i val s z in s g g el k o r l t o z o t t f eladat o t : (d1, d2, ... , dr) max Bx = b, x 0, P r(1x d1, 2x d2, ... , rx dr) p,

(b ) Viz s g lj uk a k vet k ez

ah o l p el r t val s z in s g . H as o nl meg f o nt o l s alap j n az eg y es ix d i eg y enl t lens g ek t elj es l s r e eg y enk nt (s o r o nk nt ) is el r h at unk meg b z h at s g i s z int et , ek k o r v let lennel k o r l t o z o t t f eladat h o z j ut unk . (c1x, c2x, ... , crx) Ax = , alap f eladat o t : mi n

ah o l val s z in s g i v lt o z k vek t o r a. Ek k o r a k vet k ez k p p en j r h at unk el. H o z z unk l t r e r dar ab c lf g g v ny t o ly m do n, h o g y a cix c lf g g v ny ek mindeg y ik h ez h o z z adj uk ug y anaz t a b nt et f g g v ny t , amely az Ax = f elt t elb l ad dik . T ek int s k a b evez et s b en le r t line r is h t t r f eladat o t , amely b en a p ar am t er ek eg y r s z e vag y mindeg y ik e val s z in s g i v lt o z is mer t elo s z l s s al, s t ek int s k ez t v let len line r is p r o g r amo z s i f eladat nak . Ek k o r r dek l dh et nk 2.9 . V alszin sgeloszls prob lmk.

Bx = b, x 0,

( a ) a v let len o p t im lis c lf g g v ny r t k elo s z l s a ill. ( b ) a v let len o p t im lis meg o ld s elo s z l s a

H a a p ar am t er ek dis z k r t elo s z l s ak , ak k o r a f eladat r ends z er int nag y m r et L P f eladat meg o ld s h o z vez et . H a f o ly t o no s , ak k o r vag y a dis z k r et iz c i , vag y s z imul c i s t ec h nik a alk almaz h at .

vag y az elo s z l s valamily en j ellemz i p l. v r h at r t k , var ianc ia ir nt .

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2.1 0 . A ktlpc s s sztoc hasztiku s programozsi f eladat [ 28 ] .

O ly an s z t o c h as z t ik us p r o g r amo z s i p r o b l m t t ek int nk , amely b en k t l p c s b en h o z and k meg a d nt s ek , s a val s z in s g i v lt o z b ek vet k ez r t k nek a meg f ig y el s e a k t d nt s k z t t t r t nik . A s z it u c i , amely r e a mo dell p l, a k vet k ez . Az x = (x1,x2, ,xn) vek t o r k p vis eli az o k at az r t k ek et - t er melend menny is g ek , p o r t f o li ar ny o k , s t b . -, amely ek r l d nt eni k ell az el t t , h o g y meg is mer j k a k er es let et , r endelk ez s r e ll menny is g ek et , h o z amo k at , s t b . j elent val s z in s g i v lt o z k t ny leg es en b ek vet k ez r t k eit . Amik o r az o nb an ez en r t k ek t ny leg es en b ek vet k ez nek , vag y is a m s o dik l p c s b en, m g m dunk van n mi k o r r ek c i r a az al b b i f eladat meg o ld s a f o r m j b an: a qymi n Bx + W y = , y 0

f elt t elek mellet t , ah o l qy k p vis eli a k o r r ek c i k lt s g t , W y a k o r r ek c i t . It t m r ado t t ak az x s a vek t o r o k . Ah h o z , h o g y a k o r r ek c i t elv g ez h es s k , k i k ell k t n nk , h o g y c s ak o ly an x d nt s ek f o g adh at k el, amely ek mellet t a val s z in s g i v lt o z vek t o r b r mely meg val s ul s r a l t ez ik o ly an y vek t o r , amely meg o ldj a a f ent i f eladat o t . Ez mindig f enn ll, h a W = [ E,-E] alak , ah o l E az eg y s g m t r ix . Ek k o r a f elt t elek ily en alak ak : Bkx + y ky k = k, y k, y k 0 minden k index es et n. Vil g o s , h o g y a m s o dik l p c s line r is p r o g r amo z s i f eladat nak c lf g g v ny r t k e f g g az x s k o mp o nens einek r t k t l. L eg y en q(x)= mi n
T x +W y= , , y 0

o p t im lis

Az x d nt s i vek t o r t a mo dell g y v las z t j a k i, h o g y amellet t , h o g y k iel g t i az er edet ileg k ir t t f elt t elt , minimaliz lj a a f elmer l s s z es k lt s g v r h at r t k t . A k lt s g eg y ik t ag j a a det er minis z t ik us s line r is cx c lf g g v ny , m s ik t ag j a p edig a q(x) v r h at r t k e, j el lj e ez t A f eladat ez r t : az Q (x) = E(q(x)). c x + Q (x ) Ax = b, mi n Ax = b, x 0, x T Rn

qy

f elt t elek mellet t .

x 0,

x T Rn

V g l llj o n it t eg y k is s z mp lda ab b l a c lb l, h o g y l s s uk , a d nt s h o z mily en meg f o nt o l s ai vez et h et nek eg y ik vag y m s ik mo del alk almaz s r a.

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2.1 1 . P lda. T eg y k f el, h o g y vas el ll t s h o z k o nc ent r c i j r c et h as z n lnak f el s h o g y az ado t t f o g y as z t b k er es let t el g t i k i. A vas r c ek eg y s g r a eg y s g ny i vas o lvas z t s r a eleg end az id s z ak b an. H ak k o r a f eladat a k vet k ez line r is p r o g r amh o z vez et : c1 x + c2 y x + y d, a1 x + a2 y b, x 0, y 0. mi n k tf id s c1 s a az le, k l nb z : a1 s a2 z ak b an a t er mel s eg y et len c2 . A t er mel s i k ap ac it s d adat o k det er minis z t ik us ak ,

T eg y k mo s t f el, h o g y c1 = 2, c2 = 1, d = 4 , a1 N (0,5 ; 1), a2 N (0,3 ; 1), b N (1,4 ; 2), f g g et len val s z in s g i v lt o z k , N (m;) az m v r h at r t k s s z r s no r m lis elo s z l s t j elent i. A f eladat mo dellez s r e t b b leh et s g ny lik . (1) A val s z in s g i v lt o z k at v r h at r t k eik k el h ely et t es t j k . Ek k o r a k vet k ez line r is p r o g r amo z s i f eladat o t k ap j uk : 0,5 x + 0,3 y 1,4 , x 0, y 0. x + y4 , 2x+ y mi n

ah o l x s y az o lvas z t and r c ek menny is g t j el li.

O p t im lis meg o ld s a: x= 1, y= 3 . Ek k o r annak a val s z in s g e, h o g y az els f elt t el t elj es l: P r(a1 1 + a2 3 b). Ez p edig , f ig y elemb e v ve, h o g y no r m lis elo s z l s val s z in s g i v lt o z k s s z eg e no r m lis elo s z l s , h o g y s s z eg v r h at r t k e a v r h at r t k ek s s z eg e, s h o g y f g g et len val s z in s g i v lt o z k s s z eg nek var ianc i j a a var ianc i k s s z eg e, ek vivalens a k vet k ez f elt t ellel: a + a 2 3 b (0,5 + 0,3 * 3 1,4) 0 (0,5 + 0,3 * 3 1,4) Pr 1 = 1 (0 ) = 0,5 14 14 f elt t el leg al b b mi n 0 ,9

(2 ) El r j uk , h o g y az els f eladat unk a k vet k ez :

val s z in s g g el t elj es lj n. Ek k o r

P r(a1 x + a2 y b) 0,9 , x 0, y 0. x + y4 ,

2x+ y

Mint l t ni f o g j uk , a val s z in s g i f elt t el a k vet k ez vel h ely et t es t h et :

1,4 + 0,5 x + 0,3 y + 1 (0,9) 4 + x 2 + y 2 0.

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Ez a v let lennel k o r l t o z o t t line r is p r o g r amo z s i meg k z el t s k vadr at ik us p r o g r amo z s i f eladat h o z vez et et t .

It t meg j eg y ez z k , h o g y h a a1 s a2 -r l f elt t elez z k , h o g y det er minis z t ik us ak , r t k k 0 ,5 s 0 ,3 s c s ak b val s z in s g i v lt o z , ak k o r a s z t o c h as z t ik us f elt t el az al b b i line r is f elt t ell s ily m do n a f eladat line r is p r o g r amo z s i f eladat t v lik . 0,5 x + 0,3 y - 1,4 2 -1(0,9 ),

(3 ) T eg y k mo s t f el, h o g y az o lvas z t k ap ac it s a is N (4 ; 1,5 ) val s z in s g i v lt o z , a1 s a2 vis z o nt det er minis z t ik us ak , r t k k 0 ,5 illet ve 0 ,3 . A k t f elt t el eg y t t es t elj es l s nek val s z in s g t r j uk mo s t el , leg y en ez is m t 0 ,9 . A f eladat val s z in s g g el k o r l t o z o t t line r is p r o g r amo z s i mo dellk nt meg f o g al-maz va t eh t : P r(0,5 x + 0,3 y b, x + y d) 0,9 , 2x+ y mi n

A s z b anf o r g val s z in s g i v lt o z k f g g et lens g e miat t a val s z in s g i f elt t el a b s d elo s z l s f g g v ny e is mer et b en g y r h at f el: (4 ) V g l t eg y k f el, h o g y a f o g y as z t val, ak i s z m r a a vas k s z l, o ly an s z er z d s e van az o lvas z t nak , h o g y b r menny i is leg y en a r ealiz l d ig ny a vas ir nt az id s z ak v g n, az t az o lvas z t les z ll t j a. H a k eves eb b et ll t o t t el a k er es let n l, meg v s r o lj a a h i ny z menny is g et q1 r o n. H a t b b et ll t el , mint amir e v g lis ig ny mut at k o z ik , ak k o r eladj a a mar ad k o t q2 r o n, q1 > q2 . Ek k o r az o lvas z t s s z es k lt s g e a v s r o lt vas r c r a p lus z a h i ny z menny is g v s r l s b l s z r maz k iad s m nus z a mar ad k elad s b l s z r maz b ev t el. A m s o dik l p c s b en m r c s ak az id s z ak elej i x ill. y d nt s k o r r ek c i j r a van m d. E k o r r ek c i a k vet k ez f eladat meg o ld s t j elent i: q1 z1 - q2 z2 mi n z2 0, z1 0. a1 x + a2 y - b = z2 - z1 , ((0,5 x + 0,3 y - 1,4 )/2) {1 - ((x+ y - 4 )/1,5 )} 0,9 .

x 0, y 0.

A b, a1 , a2 s enn lf o g va z2 , z1 r t k e az o nb an az id s z ak elej n, amik o r ar r l k ell d nt eni, mely ik vas r c b l menny it v s r o lj o n s ily m do n menny i vas at ll t s o n el az o lvas z t , m g nem is mer et es ek , a m s o dik l p c s t j elent o p t imaliz l s i f eladat Q (x,y,b,a1,a2) o p t im lis r t k e t eh t val s z in s g i v lt o z . Ennek a v r h at r t k vel s z mo lunk a k t l p c s s p r o g r amo z s i mo dellb en, amely t eh t a k vet k ez : 2 x + y + E [Q (x,y,b,a1,a2)] mi n x 0, y 0. x + y4 ,

2 1
3. A VALSZIN SGGEL KORLTOZOTT LINERIS F ELAD AT TU LAJ D ONSGAIRL PROGRAMOZSI p r o g r amo z s i

E f eladat er edet i meg f o g almaz s a C h ar nes s C o o p er nev h ez f z dik , ([10 ] ; f eladat uk at v let lennel k o r l t o z o t t line r is p r o g r amnak nevez t k ) , ak ik minden f elt t elh ez eg y enk nt r t ak el meg b z h at s g i s z int ek et s b emut at t k , h o g y g y a f eladat line r is p r o g r amo z s i f eladat t v lik . Miller s W ag ner [3 8 ] lt al no s t o t t k a f eladat o t eg y t t es val s z in s g i f elt t elr e, a s z er ep l val s z in s g i v lt o z k f g g et lens g t az o nb an f elt et t k . E f eladat o t lt al no s t o t t a Pr k o p a ([4 4 ] , [4 6] ) ar r a az es et r e, amely b en a s z b anf o r g val s z in s g i v lt o z k f g g et lens g t m r nem k t j k k i, de a val s z in s g i v lt o z k eg y t t es elo s z l s f g g v ny e lo g ar it mik us an k o nk v. E f eladat du lis nak viz s g lat val s alg o r it mik us meg o ld s val K o m r o mi [3 0 ] , a k o nvex p r o g r amo z s i m ds z er ek e f eladat r a t r t n alk almaz s val f leg May er [3 5 ] , S z nt ai [5 6] , t b b v lt o z val s z in s g i elo s z l s o k numer ik us viz s g lat val S z nt ai [5 5 ] , D e k [19 ] f o g lalk o z o t t . A f eladat , amivel it t f o g lalk o z unk , g y r h at f el: P r(Axb) p, ah o l 0 < p < 1 el r t meg b z h at s g i s z int , A mxn m r et , B rxn m r et m t r ix o k , B det er minis z t ik us , c n-k o mp o nens , d r -k o mp o nens det er minis z t ik us vek t o r o k , az A m t r ix o t s a b m-dimenz i s vek t o r t val s z in s g i v lt o z k alk o t j k ado t t F eg y t t es elo s z l s f g g v nny el, x n-dimenz i s d nt s i vek t o r . 3.1 . Ko n v e x i t s . L eg y en X (p) = {x: P r(Ax b) p}. H a ez a h almaz k o nvex , ak k o r a f eladat leh et s g es meg o ld s ainak h almaz a is k o nvex , amely nek t is z t z s a a f eladat numer ik us meg o ld s a s z emp o nt j b l nag y j elent s g . K r d s t eh t : X (p) mik o r k o nvex ? Bx d, x 0, cx mi n

Az al b b iak b an r s z let es eb b en a val s z in s g g el k o r l t o z o t t line r is f eladat t ulaj do ns g ait v z o lj uk .

ll t s :

H a 1,

B iz o ny t s . El g b el t ni az al b b i ll t s t (van de Panne and Po p p [4 3 ] s K at ao k a [2 6] ) : , n eg y t t es elo s z l s a no r m lis s p , ak k o r

X ( p ) = x : Pr( j =1
n

H a

a 1,

, an, b eg y t t es elo s z l s a a j x j b) p k o nvex , h a 1 > p . a 2,

no r m lis ,

ak k o r

{x : x +

k o nvex , ah o l = (1, , n), i = E[i], C a 1, , n val s z in s g i v lt o z k k o var ianc ia m t r ix a, C p o z it v s z emidef init , mer t 1, , n eg y t t es elo s z l s a az ll t s f elt t ele s z er int no r m lis .

n ( p ) xCx 0 = x : Pr( j x j 0) p j =1

2 2
Veg y k s z r e, h o g y Var[x] = E[(x - x)2] = E[x( - ) ( - )x] = xCx. E[x] = x;

H a x r e f enn ll, h o g y xCx = 0, ak k o r P r(x = x) = 1. Pr( x 0) p Pr( x x xCx x

H a x r e f enn ll, h o g y xCx > 0, ak k o r mivel x is no r m lis elo s z l s , ez r t xCx ) = ( x xCx ) p

ll t s : Az X (p) = {x: P r(Ax b) p} k o nvex , h a A det er minis z t ik us s b elemei val s z in s g i v lt o z k , t o v b b b elemeinek eg y t t es elo s z l s f g g v ny e k v z ik o nk v. ll t s : L eg y enek k o nvex ek . A s b elemei val s z in s g i v lt o z k . Az X (0) s X (1) h almaz o k

B iz o ny t s n lk l is mer t et j k az al b b i k t ll t s t , b iz o ny t s aik at az r dek l d o lvas meg t al lj a Pr k o p a A. S t o c h as t ic Pr o g r amming c . (19 9 5 ) k ny v b en.

Mivel C p o z it v s z emidef init , ez r t xCx s t xCx is k o nvex , s mivel 1 ( p ) nemneg at v, mer t p , ez r t az ll t s k vet k ez ik .

x + 1 ( p ) xCx 0.

ll t s : Az X (p) = {x: P r(Ax b) p} k o nvex , h a c s ak A eg y ik o s z lo p a val s z in s g i v lt o z , s ez ek nek eg y t t es elo s z l s a no r m lis s p ,.

B iz o ny t s . a) X (0) = Rn, ez r t k o nvex .

b) T eg y k f el, h o g y X (1) s leg y enek x,y X (1). Ak k o r P r(Ax b) = 1 s P r(Ay

b) = 1. El s z r b el t j uk , h o g y P r(Ax b s Ay b) = 1.
= 1 Pr( Ax b vagy Ay b) = =1 Pr( Ax b s Ay b) = 1 Pr( Ax b s Ay b) =

1 (Pr( Ax b ) + Pr( Ay b)) =

Ek k o r h a 0 1:

Plda. L eg y en (a,b) k t dimenz i s dis z k r t val s z in s g i v lt o z : P r( (a,b) = (-3 ,-1) ) = 1/3 ; -3 x -1 s P r( (a,b) = (3 ,2) ) = 2/3 .

A k vet k ez p lda az t mut at j a meg , h o g y h a a s z b anf o r g val s z in s g i v lt o z k dis z k r t elo s z l s ak , X (p) k o nvex it s a m g eg y s z er es et ek b en s em g ar ant lh at .

P r(A(x + (1-)y b) P r( Ax b s (1-)Ay (1-)b ) = 1.

H o g y meg h at r o z z uk a P r({(a,b): ax b}) val s z in s g et x ado t t r t k r e, ellen r iz n nk k ell, h o g y az al b b i eg y enl t lens g ek mely ik e ll f enn: 3 x 2 .

2 3
H a x1/3 , 1/3 <x<2/3 , ak k o r ak k o r -3 x-1 t elj es l s 3 x2 nem t elj es l; -3 x-1 nem t elj es l s 3 x2 t elj es l. ak k o r -3 x-1 nem t elj es l s 3 x2 nem t elj es l;

2/3 <x, g y

amely mag a ut n vo nj a, h o g y

1 / 3, ha x 1 / 3, Pr({(a, b) : ax b}) = 0, ha 1 / 3 < x < 2 / 3, 2 / 3, ha x 2 / 3,

ll t s (Mar t i, 19 71) : T eg y k f el, h o g y {A,b} leh et s g es r t k ei: (A1, b1), , (Ar,br), b ek vet k ez s k val s z in s g ei p1, , pr, pi 0, pi = 1. H a p0 >maxi (1-pi), ak k o r X (p) k o nvex minden p > p0 es et n. B iz o ny t s . L eg y en I {1, iI p i 1 - p j ,r}, I {1,

A k vet k ez

ll t s v g es dis z k r t elo s z l s o k es et r e vo nat k o z ik .

nem sszefgg s ezrt nemkonvex, ha 0 < p 1 / 3, X ( p ) konvex, ha 1 / 3 < p 2 / 3, res, ha p > 2 / 3.

H a t eh t x X (p), ah o l p > maxi (1-p i ), ak k o r P r(Ax b) = A

x b

Ez r t

iI p i > max j{1,

max j{1,
, r}

j {1,
, r}-I

,r}. Ek k o r

(1 - p j ) mag a ut n vo nj a, h o g y iI p i = 1.

(1 - p j ) max j{1,

,r} - I

, r}

(1 - p j ).

A k vet k ez f ej ez et az o k nak az o lvas k nak aj nlh at , ak ik a val s z in s g g el k o r l t o z o t t line r is p r o g r amo z s i f eladat s z er k ez et e, t ulaj do ns g ai, meg o ld s a ir nt m ly eb b en r dek l dnek . 3 .2 . A v al s z i n s g g e l k o r l t o z o t t li n e r i s p r o g r am o z s i f e ladat du li s f e ladat n ak m e g f o g alm az s a s v i z s g lat a.

pi p s e z rt P r(Ax b) = 1.

It t f elt es s z k , h o g y F f o ly t o no s , az A m t r ix det er minis z t ik us s leg al b b k t s o r b l ll. Pr k o p a lo g ar it mik us an k o nk v elo s z l s o k r a vo nat k o z er edm ny ei b iz t o s t j k a f eladat k o nvex it s t az elo s z l s o k s z les k r r e, b ele r t ve a no r m lis elo s z l s t is . A f eladat meg o ld s a az o nb an m g k o nvex it s meg l t e es et n is s z mo s numer ik us neh z s g g el j r . A k vet k ez k b en a f eladat h o z o ly an du lis t r endel nk , amely line r is f elt t elek et t ar t almaz . Ez a k r lm ny az alg o r it mik us k ez el s t meg k nny t h et . A du lis k ap c s o lat p edig leh et v t es z i, h o g y eg y ado t t leh et s g es meg o ld s h o z t ar t o z c lf g g v ny r t k nek az o p t im lis c lf g g v ny r t k t l val elt r s t b ec s lni t udj uk .

2 4
K ez dj k a s z t o c h as z t ik us f eladat det er minis z t ik us ek vivalens nek meg f o g almaz s val. Veg y k s z r e, h o g y x X = {x: P r(Ax b) p, Bx d} ak k o r s c s ak ak k o r , h a l t ez ik o ly an yRn, h o g y f enn ll: F(y) p, Ax y, Bx d. Ez ut b b i f elt t elek et az lt al no s s g meg s z o r t s a n lk l k ieg s z t h et j k s k i is eg s z t j k az ys upp F f elt t ellel, ah o l s upp F az F elo s z l s f g g v ny t ar t j a (az a leg s z k eb b z r t h almaz , amely nek a val s z in s g i m r t k e 1) . Y = {y: ys upp F, F(y) p}; X (y) = {x: Ax y, Bx d}, yY, x X (y).

V las s z uk k l n a line r is s a nemline r is f elt t elek et o ly m do n, h o g y b evez et j k az al b b i h almaz o k at : s ez ek s eg t s g vel a f eladat o t t f o g almaz z uk : Vez es s k b e a k vet k ez cx mi n , f g g v ny t :

E f eladat t ulaj do ns g ai:

(P)

g y az er edet i f eladat t al s t f o g almaz o t t v lt o z at val eg y ar nt ek vivalens az al b b i f eladat : g(y) mi n , y Y.

inf x X ( y ) cx, ha X ( y ) ; g ( y) = + klnben.

l t ez ik o ly an wRm, h o g y F(y) p mag a ut n vo nj a, h o g y y w. Ily en w vek t o r leh et p l. az , amely nek k o mp o nens ei: wi = Arg (Fi (wi) = p), ah o l Fi az i-edik mar g in lis , Ar g az ar g ument umo t j el li. H a s upys u p p F yi < + , ak k o r Y k o r l t o s s g y k o mp ak t . Ez az t j elent i, h o g y h a a leh et s g es meg o ld s o k h almaz a nem r es , ak k o r a c lf g g v ny f o ly t o no s vo lt a miat t a f eladat nak mindig van o p t im lis meg o ld s a. g(y) > - ak k o r s c s ak ak k o r , h a V = {(u,v )0: uA + p r o g r amo z s dualit s i t t ele r t elm b en. v B= c} nem r es , a line r is

Y z r t , mer t F f o ly t o no s .

T eg y k f el, h o g y V = {(u,v )0: uA + v B = c} . Ek k o r

i n fyY g(y) > - ak k o r s c s ak ak k o r , h a V nem r es , mer t y w s Ax y mag a ut n vo nj a, h o g y Ax w, g y s upV(uy+ v d) s upV(uw+ v d) uw+ v d minden (u,v )V mellet t .

g y az al b b i f eladat az el z k k el ek vivalens az o n f elt ev s mellet t , h o g y V max( u

, v ) V

max (u ,v )V (uy + vd ), ha X ( y ) , g ( y) = . + klnben.

(uy+ v d) mi n , y Y.

2 5
s s z ef g g s ny minimaliz l s s o uy+ v d f g g v ny az az mik o r van o A s up( u ilv nval an mindig f enn ll. C s er lj k meg a max imaliz l s s r r endj t s viz s g lj uk meg , mily en f elt t elek mellet t van ny er eg p o nt j a az nek az Y-n vet t minimaliz l s r a s a V-n vet t max imaliz l s r a n z ve, ly an (u*,v *),y*) p o nt , amely r e f enn ll, h o g y v d u*y* + v *d uy* + v d
, v ) V

i n fyY (uy+ v d) i n fyY s up( u

, v ) V

(uy+ v d)

Az al b b k vet k ez (D )

minden (u*,v *) V s y* Y es et n. mi n
yY

uy* +

t t el leh et v t es z i, h o g y k iindul f eladat unk du lis t a (uy+ v d) = mi n

yY

(2 ) L eg y en y* o p t im lis meg o ld s a a (P) f eladat nak s az F val s z in s g -elo s z l s f g g v ny k v z ik o nk v, az az llj o n f enn, h o g y F(y1+ (1-)y2) mi n (F(y1),F(y2)), ah o l 1 0, y1,y2 Rm.

D ualit s i t t el: (1) H a uy + v d -nek van ((u*,v *),y*) ny er eg p o nt j a a V h almaz o n t r t n max imaliz l s r a s az Y h almaz o n t r t n minimaliz l s r a n z ve, ak k o r y* o p t im lis meg o ld s a a (P) f eladat nak s ((u*,v *),y) ny er eg p o nt minden o p t im lis y es et n.

line r is f elt t elek k el s nemline r is c lf g g v nny el r endelk ez

(uy)+ v d max,

(u,v ) V

f eladat b an t al lj uk meg .

H a i n t{y: yY, X (y) } nem r es , ak k o r l t ez ik o ly an (u*,v *) V, h o g y ((u*,v *),y*) ny er eg p o nt j a az uy+ v d f g g v ny nek az Y-n vet t minimaliz l s r a s V-n vet t max imaliz l s r a n z ve. (u,v ) V = {(u,v )0: uA + v B = 0, i u i = 1}, H a i n t{y: yY, X (y) } r es , ak k o r l t ez ik o ly an

r j uk f el az f eladat o t :

T eg y k mo s t f el, h o g y az F elo s z l s f g g v ny s z ig o r an lo f o ly t o no s an dif f er enc i lh at a s upp F h almaz b els ej b en. Ek k o F(y) l n p f elt t ellel h ely et t es t ve k o nvex f elt t elt k ap unk , Y k minimuma eg y et len p o nt b an r et ik el minden p o z it v u vek minimump o nt o t y(u). uy mi n , l n F(y) l n p f eladat h o z t ar t o z

A (D ) du lis f eladat meg o ld s a r dek b en viz s g lj uk t ulaj do ns g o k k al r endelk ez ik a mi n yY (uy) c lf g g v ny .

A t t el b iz o ny t s t it t az r t nem k z lj k , mer t az alk almaz o t t mat emat ik ai ap p ar t us t o v b b i h ivat k o z s o k at t enne s z k s g es s a t r g y unk h o z nem t l k z el ll ir o dalo mb an, de az r dek l d o lvas az al b b k vet k ez t t el b iz o ny t s val eg y t t meg t al lh at j a a [3 0 ] do lg o z at b an. meg k z eleb b r l, mily en g ar it mik us an k o nk v s r az F(y) p f elt t elt a l n o nvex s az uy f g g v ny t o r es et n. J el lj e ez t a K uh n-T uc k er eg y ens ly i

ah o l i n t a h almaz b els ej t j el li.

h o g y ((u,v ),y*) ny er eg p o nt j a az uy + v d f g g v ny nek az Y-n vet t minimaliz l s r a s a V-n vet t max imaliz l s r a n z ve.

2 6
(K -T ) ui = (F(y))-1
F ( y ) (i = 1, y i

, m), uy mi n , l n F(y) v ny mellet t l t ez ik f elt t eleit - mivel p elt t elt (l t ez ik y ,

A K uh n-T uc k er el g s g es o p t imalit s i t t el s z er int [3 3 ] h a l t ez ik az l n p f eladat nak o p t im lis y* meg o ld s a, ak k o r , dif f er enc i lh at F f g g o ly an *> 0 s z m, h o g y (y*,*) eg y t t es en k iel g t ik a (K -T ) f eladat < 1, s ez r t a l n F(y) l n p eg y enl t lens g k iel g t i az S lat er -f amely r e l n F(y ) > l n p) .

0, F(y) p,

(l n p - l n F(y)) = 0.

A val s z in s g elm let b l is mer et es , h o g y F p ar c i lis der iv lt j a s az F(y1, , yi-1, yi+ 1, ymyi) yi mellet t i f elt t eles elo s z l s f g g v ny e k z t t az al b b i s s z ef g g s ll f enn:
F ( y ) = F(y1, , yi-1, yi+ 1, y i

ymyi) fi(yi),

ah o l fi az i. s z b anf o r g val s z in s g i v lt o z s r s g f g g v ny e. H a az der iv lt j t b eh ely et t es t j k a K uh n-T uc k er f eladat b a, ak k o r l t j uk , h o g y a (K -T f o ly t o no s eg y -eg y r t elm meg f elelt et s t k p vis elnek az ado t t (mo ndj uk 1) nemneg at v u vek t o r o k h almaz a s az {ys upp F: F(y) = p} h almaz k s s z ef g g s mag a ut n vo nj a, h o g y s s up yi a + r t k et is f elveh et i, h a s upp F nem k o r l t o s . yi(u) s upys u
p p F

F p ar c i lis ) f elt t elek h o ssz s g z t t . Ez az

yi, h a ui 0,

ll t s . T eg y k f el, h o g y F s z ig o r an lo g ar it mik us an k o nk v s dif f er enc i lh at a s upp F h almaz b els ej b en. Ak k o r y(u) f o ly t o no s az {u: u>0} h almaz o n. H a l i mkuk = (u 0, uk0 minden k -r a) , ak k o r l i m ky(uk ) = y(u ). u y(u) f o ly t o no s a nemneg at v t r neg y eden.

Az uy c lf g g v ny j t ulaj do ns g ait f o g lalj a s s z e az al b b i ll t s .

f o ly t o no s an s o r o z at r a,

u eg y u1, u2,

u y(u) s z ig o r an k o nk v a nemneg at v t r neg y eden ab b an az r t elemb en, h o g y [u1 + (1-) u2] y(u1 + (1-) u2) u1 y(u1) + (1-) u2 y(u2) minden u1 0, u2 0, u1/u1 u2/u2 , 0<<1 es et n.

F elh vj uk az o lvas f ig y elm t ar r a, h o g y az elo s z l s f g g v ny lo g ar it mik us an k o nk v vo lt nak f elt t elez s e nem o ly an s z ig o r , mint els l t s r a t nik . A t b b v lt o z s elo s z l s f g g v ny ek k z l a leg g y ak r ab b an alk almaz o t t no r m lis elo s z l s r endelk ez ik ez z el a t ulaj do ns g g al, az eg y v lt o z s f o ly t o no s elo s z l s f g g v ny ek k z t t p edig az ex p o nenc i lis , a g amma, az eg y enlet es elo s z l s elo s z l s f g g v ny e lo g ar it mik us an k o nk v. Pr k o p a Andr s lo g ar it mik us an k o nk v elo s z l s o k r a vo nat k o z er edm ny el [4 4 ] t et s z ik leh et v , h o g y a val s z in s g g el k o r l t o z o t t line r is p r o g r amo z s i f eladat o k z me

u y(u) dif f er enc i lh at , u y(u) = y(u) , h a u{u: u>0}.

2 7
a meg o ldh at s g s z emp o nt j b l f o nt o s k at eg r i b an: a k o nvex p r o g r amo z s i f eladat o k k r b en t r g y alh at leg y en. 3 .3 . A v a l s z in s g g e l k o r l to z o tt lin e r is p r o g r a m o z s i fe la d a t m e g o ld s r l.

A f eladat s aj t o s s g ait f ig y elemb e vev du lis alg o r it mus r s z let es le r s t s k o nver g enc i j nak b iz o ny t s t is meg t al lj a az r dek l d o lvas a [3 0 ] do lg o z at b an. It t az alg o r it mus k o nc ep c i j t is nmer t et j k . A du lis f eladat c lf g g v ny nek a dif f er enc i lh at s g a leh et v t es z i, h o g y alk almaz z uk az (er edet ileg k vadr at ik us p r o g r amo z s r a k if ej les z t et t ) F r ank -W o lf e alg o r it mus t a f eladat meg o ld s r a. Az alg o r it mus el ny e m s k o nvex p r o g r amo z s i f eladat r a alk almaz h at alg o r it mus o k k al s z emb en az , h o g y eg y s z er r e o ldj a meg a p r m l s a du l f eladat o t o ly m do n, h o g y a k ap o t t p r m l s du l leh et s g es meg o ld s o k h o z t ar t o z c s k k en ill. n vek v c lf g g v ny r t k ek k z r ef o g j k az o p t im lis c lf g g v ny r t k et , g y az o p t im lis t l val elt r s a meg o ld s s o r n ellen r iz h et . Az alg o r it mus alk almaz s a f elt t elez i, h o g y a f eladat b an s z er ep l val s z in s g elo s z l s -f g g v ny s z ig o r an n vek v , lo g ar it mik us an k o nk v s f o ly t o no s an dif f er enc i lh at leg y en, amely t ulaj do ns g g al p l. a t b b v lt o z s no r m lis elo s z l s r endelk ez ik .

A f eladat t eh t ab b an az es et b en, amik o r a s z b anf o r g t b b v lt o z s f o ly t o no s val s z in s g elo s z l s f g g v ny k v z ik o nk v, k o nvex f eladat t v lik s ez r t elvb en b r mely k o nvex p r o g r amo z s i alg o r it mus alk almaz h at a meg o ld s r a. Az r t elvb en, mer t az eg y ik leg ink b b s z m t s ig ny es r s z e b r mely alg o r it mus nak a t b b v lt o z s elo s z l s f g g y v ny illet ve p ar c i lis der iv lt j ai r t k nek - e t b b v lt o z s int eg r lo k nak - a k is z m t s a. t t r s t eb b en a [19 ] , [5 5 ] do lg o z at o k j elent et t ek . Az els alg o r it mus Z o ut endij k meg eng edet t ir ny o k m ds z er r e p l, a k vet k ez k lo g ar it mik us b ar r ier f g g v ny alk almaz s val a t mas z s k m ds z er r e illet ve a r eduk lt g r adiens m ds z er r e [4 7] , [4 5 ] .

Az alg o r it mus eg y (u1,v 1) V, u1 0, u1 0 du lis meg o ld s s al indul s o ly an {(uk,v k)} s o r o z at o t h o z l t r e, amely b en (uk,v k) V, uk 0, uk 0, uky(uk) + v kb s z ig o r an n vek s z ik . Az elj r s s o r n l t r ej v (yk,xk) s o r o z at , ah o l xk Argmi n x X ( y k ) cx, k o nver g l t al l eg y o p t im lis meg o ld s t a (D ) f eladat r a,

a (P) f eladat o p t im lis meg o ld s h o z . V g es s z m it er c i ut n b ef ej ez dik az elj r s , h a meg t al lj a az eg y et len leh et s g es meg o ld s t a (P) f eladat r a, vag y k ider l, h o g y a (P) f eladat nak ninc s leh et s g es meg o ld s a,

Az eml t et t do lg o z at s z m t s i er edm ny ek et is k z l az o n mint af eladat o k es et b en, amely ek et a [4 5 ] do lg o z at b emut at .

2 8
4 . E N T R P I A -S Z E R F G G V N Y E K M R S R E : A -D I V E R G E N C I A . E G Y H A L M A Z T L V A L T V O L S G

L eg y en ado t t S Rn. A d: S x S R f g g v ny t diver g enc ia-m r t k nek nevez z k S-en, h a b ) d) a) H a {xk} S, x S, ak k o r l i mk d(x,xk) = 0 ak k o r s c s ak ak k o r , h a l i mkxk= x. d(x,y) 0 minden x,y S es et n;

A s t at is z t ik b an s az alk almaz o t t mat emat ik b an g y ak r an f elmer l p r o b l ma, h o g y el g t elen inf o r m c i f o ly o m ny ak nt eg y k er es et t n-dimenz i s vek t o r r l c s ak az t t udj uk , h o g y az R n eg y r s z h almaz nak : eg y meg eng edet t h almaz nak az eleme. T ip ik us p lda er r e a j el- vag y k p r ek o ns t r uk c i b iz o ny o s m r s i er edm ny ek alap j n, val s z in s g elo s z l s meg h at r o z s a eg y es mo ment umo k is mer et b en, s t b . G y ak r an el f o r dul, h o g y r endelk ez s r e ll eg y el z et es b ec s l s a s z b anf o r g k er es et t vek t o r r a (f g g v ny r e) , ek k o r s s z er a meg eng edet t p o nt o k k z l o ly at (az t ) v las z t ani, amely valamily en m r t k s z er int a leg k is eb b t vo ls g r a van az el z et es b ec s l s t l. E t vo ls g leh et az euk lides z i t vo ls g , amely r endelk ez ik az is mer t h r o m ax i m val le r t t ulaj do ns g o k k al: (1) nemneg at v, s 0 ak k o r s c s ak ak k o r , h a a k t vek t o r (f g g v ny ) eg y enl ; (2 ) s z immet r ik us ; (3 ) k iel g t i a h r o ms z g -eg y enl t lens g et . L eh et e t vo ls g eg y diver g enc ia-m r t k , amely k z l k c s ak az els t ulaj do ns g g al r endelk ez ik ug y an, de t o p o l g iai s z emp o nt b l nag y o nis t vo ls g k nt vis elk edik .

c )

A 1(y,) = {xS: d(x,y) } s z int h almaz k o r l t o s minden yS s >0 es et b en; A 2(x,) = {yS: d(x,y) } s z int h almaz k o r l t o s minden xS s >0 es et b en. d(x,y) = 0 ak k o r s c s ak ak k o r , h a x = y.

Meg j eg y ez z k , h o g y a f ent i b ) f elt t el t elj es l s e mag a ut n vo nj a, h o g y Az al b b iak b an b evez et j k diver g enc ia-m r t k ek eg y f o nt o s c s al dj t . L eg y en a p o z it v val s eg y enes en def ini lt k o nvex k iel g t i a k vet k ez f elt t elek et : 2 . (1) = 0; val s r t k

f g g v ny , amely

1. c s k k en (0,1)-en s n (1,+ ) - en; 3 . l i mt (t) = + .

A C s is z r -f le -di v e rge n ci a az al b b i d : Rn x Rn R f g g v ny : d (x,y) = j yj (

xj yj

).

2 9
ll t s : H a r endelk ez ik az 1., 2 . s 3 . t ulaj do ns g o k k al, ak k o r d diver g enc ia-m r t k . B iz o ny t s . a) k z vet len l k vet k ez ik 1. s 2 .-b l. ak k o r s c s ak ak k o r , h a = 1. Ez r t

b) f o ly t o no s s g b l s az 1. s 2 . t ulaj do ns g o k b l k vet k ez ik , h o g y l i mt (t) = 0

l i mk x k = x l i mk j

xj x

k j

= 1 l i m k ( 1,

xk j

xj

) = 0 l i mk d(x,xk) = 0. ,n . Ez ek a h almaz o k k o r l t o s ak a 3 .

c ) x 1(y,) xj {t: (

d ) T eg y k f el az ll t s s al ellent t b en, h o g y az
f lt eh et j k , h o g y d(x,yk) . valamely

t ulaj do ns g miat t minden r g z t et t nemneg at v yRn s p o z it v es et n.

t v ) }, j = yj yj

{yk}2(x,) s o r o z at r a f enn ll, h o g y j index r e { y k } nem k o r l t o s . Az lt al no s s g meg s z o r t s a n lk l j

vo nj a, h o g y (xj / y ) > ( ) > 0, az 1. s 2 . t ulaj do ns g o k miat t . Ak k o r y (xj / y k ) j > y k ( ) s ez r t d(x,yk) nem k o r l t o s , ellent mo nd s b an az z al a f elt ev s s el, h o g y j
k j k j

y k +1 > y k minden k -r a. g y nag y k r t k r e xj / y k < j j j

mag a ut n

B evez et nk a f g g v ny h ez k ap c s o l d k t t o v b b i f g g v ny t .
1 (t) = t( ) t

( adj ung lt j a) ,

Az al b b i t t el b iz o ny t s a meg t al lh at a [2 4 ] do lg o z at b an.

(t) = (t-1) (t).

ll t s . r endelk ez z en az 1., 2 . s 3 . t ulaj do ns g o k k al, leg y en h r o ms z o r f o ly t o no s an dif f er enc i lh at , t o v b b t elj es t s e a k vet k ez k et :

4. (1) = 0

Ak k o r :

5 . (1) > 0.
r endelk ez ik az 1. - 5 . t ulaj do ns g o k k al; = . d (x,y) = d (y,x) ;

Az al b b i p ld k az t is mut at j k , h o g y d(x,y) a s t at is z t ik b an s inf o r m c i elm let b en leg g y ak r ab b an h as z n lat o s elt r s -f g g v ny ek nek is lt al no s t s a:

r endelk ez ik az 1., 2 . s 3 . t ulaj do ns g o k k al.

(t) (t) minden t>0 es et b en;

3 0
( a ) (t) = a t l n t + t1-a-t, a 1. H a a = 1, ak k o r (t) = t l n t - t + 1 s d(x,y) =
ln ( Ek k o r +
xj yj

) + yj - xj , az az d a K ullb ac k -L eib ler r elat v ent r p ia t vo ls g .. (t) = - l n t + t - 1 s d ( x,y) = i (- yi l n (

xj yj

j x j

) + xi - yi ).

(b )

H a x = (x1, x2, , xn) val s z in s g elo s z l s s y = (1/n , ,1/n ), ak k o r d(x,y) = j x j l n x j l n n . Ez az x elo s z l s b an f o g lalt b iz o ny t alans g m r t k nek : a S h anno n ent r p i nak a neg at vj a. t vo ls g . Eb b en az es et b en nadj ung lt , vag y is (t) = (t). (c ) H a (t) = (t - 1) , t > 0, ak k o r d(x,y) =
2

H a (t) =

(1 -

t )2, t > 0, ak k o r d(x,y) =

j ( x j y j )2, az az a H elling er ( p j q j )2 qj

(e) (t) = b ta + a t-b - (a+ b), (a 1, b > 0) vag y (0 < a < 1, b -1) . H a b = 1 s a 1, ak k o r d(x,y) = j ( xj a yj 1-a + a yj 2 /xj - (a + 1)yj), ami a R ny i-f le a-r end ent r p ia eg y lt al no s t o t t v lt o z at a. (f ) (t) = b e
at+ b

(d) yj.

Ek k o r (t) = t + 1/t -2.

, az az a 2 t vo ls g .

(t) = t-1, t > 0, nadj ung lt . A meg f elel diver g enc ia-m r t k : d(x,y) = jxj-

+ ae

a+ b/ t

- (a+ b) e

a+ b

, (a > 1, b > 1).

Meg j eg y ez z k , h o g y az ent r p ias z er f g g v ny ek nek illet ve a diver g enc ia-m r t k ek nek az alg o r it mus o k elm let b en is s z er ep e van p ld ul ak k o r , amik o r az alak k o nvex p r o g r amo z s i f eladat o k at u.n. p r o x im lis alg o r it mus alk almaz s val o ldj uk meg . T ny leg es en e f eladat o k du lis nak a k z el t meg o ld s r l van s z o ly m do n, h o g y a c lf g g v ny k ieg s z l eg y u-b an minimaliz land elt r s f g g v nny el. Ez en elt r s f g g v ny c lj r a v las z t h at az euk lides z i t vo ls g , de a diver g enc ia-m r t k ek valamely ik e is , r ends z er int az o nb an a K ullb ac k -L eib ler t vo ls g o t alk almaz z k . Ez t alk almaz t uk a m r is mer t et et t k z lek ed s t er vez s i mo dellek b en s az . 5 . f ej ez et b en b emut at o t t k r elo s z l s -b ec s l s r e is . f(x) + i ui gi(x) max, f(x) + i ui gi(x) = 0, u0 f(x) mi n , gi(x) 0, x Rn, i = 1, ,m

Meg j eg y ez z k m g , h o g y a K ullb ac k -L eib ler r elat v ent r p ia t vo ls g s s z ek t k ap o c s eg y m s ik diver g enc ia-m r t k c s al dh o z , az u.n. B r eg man f g g v ny ek h ez [6] , amely ek s z int n a k o nvex p r o g r amo z s i f eladat o k k z el t meg o ld s b an j t s z anak k iemelk ed s z er ep et .

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5. EGY SZOLGLTATSSAL NYUGD J P NZTR ESETE. MEGHATROZOTT MUNKAHELYI

Az it t le r t mo dell b emut at s h o z C h ar nes et al. do lg o z at b an [8 ] t al lh at mo dellb l indult unk k i. O ly an munk ah ely i ny ug d j p nz t r t t ek int nk , amely nek b ef iz et s ei c s ak a munk lt at t l s z r maz nak . A m do z at s z o lg lt at s s al meg h at r o z o t t , a h avi ny ug d j s z o lg lt at s a munk av llal s z o lg lat b an elt lt t t idej vel s a f iz et s vel n . A munk lt at t t eh t az lt ala g r t s z o lg lt at s k t elez i, de a b ef iz et s ei, a h o z z j r ul s a t ek int et b en el g nag y a mo z g s t er e, h is z en nem k ell eg y ni s z ml k o n ny ilv nt ar t ani a p nz t r vag y o n t . Az s s z eg , amit a ny ug d j alap b a b ef iz et , ez en b el l amit az eg y es b ef ek t et s i p o r t f li k b a - a k l n k ez elend h r o m p o r t f li s o r r a llamp ap r o k b l, r s z v ny ek b l, illet ve p nz int z et i b et t ek b l ll - s z n, vr l vr e v lt o z h at , s s z h ang b an a v llalat i c lo k k al s az ad z s i s z ab ly o k k al. Az eg y es alap o k b a vent e b ef iz et end s s z eg ek alk o t j k maj d a d nt s i v lt o z k at . H o g y mely ik vb en mek k o r a s s z eg et f iz es s en b e a munk lt at , mindenek el t t a s z o lg lt at s o k r a k if iz et et t ves k iad s t l s az eg y es b ef ek t et s ek venk nt i h o z am t l f g g , ez ek et az o nb an v let len j elens g ek is b ef o ly s o lj k (p l az el b b it a h al lo z s a b iz t o s t o t t ak k r b en) , t eh t val s z in s g i v lt o z k k nt k ell k ez eln nk . Mo dell nk b en ez ek a val s z in s g i v lt o z k k p vis elik a k ez elend k o c k z at o t . A munk lt at eg y ik c lj a az , h o g y s s z es s g b en min l k eves eb b et f o r d t s o n ny ug d j p nz t r i h o z z j r ul s r a: h a az i-edik v elej i (inf l c i val dis z k o nt lt ) h o z z j r ul s t xi j el li, xi = j xij , ah o l xij a j -edik p o r t f li b a b ef iz et et t s s z eg et j el li, ak k o r az s s z es h o z z j r ul s a x = i xi les z , amely et mint k iad s t n vel a f iz et end ad ( s T B j r ul k ) ab b an az es et b en, h a a h o z z j r ul s nag y o b b , mint amenny it az vb en k if iz et end s z o lg lt at s o k s az alap k ez el s k lt s g ei indo k o lnak . A munk lt at m s ik c lj a az , h o g y a ny ug d j alap b an az n-edik v v g i vag y o n - j el lj e ez t Yn - min l nag y o b b s s z eg leg y en. J el lj e Y0j (j = 1,2,3 ), a 3 p o r t f li k ez det i, is mer t r t k eit , Y0 a p nz t r k ez det i vag y o n t , s Yij az eg y es p o r t f li k r t k eit , Yi a p nz t r vag y o n t az i-edik v v g n, i = 1,2,..., n . N y ilv nval an, Y0 = j Y0j s Yi = j Yij . A k t c lf g g v ny t eh t , amely ek k vet k ez : c1(x) = c2(x) = - Yn , xi + vek t o r minimum t (Par et o o p t imum t ) k er es s k , a

A c l t eh t : (5 .1) A f elt t elek els (5 .3 )

ad s TB j rul .

(c1(x) , c2(x) ) mi n Y0 = j Y0j , xi = j xij ,

(5 .2 )

n g y c s o p o r t j t a vag y o nelemek k z t t i s s z ef g g s ek alk o t j k : Y0j 0, j = 1,2,3 , xij 0, i = 1, ... ,n , j = 1,2,3 . s Yi = j Yij ,

i = 1, ... ,n .

A vag y o n s a munk lt at i b ef iz et s ek k z t t f enn ll, h o g y

3 2
(5 .4 ) ah o l Yij = (Yi-1j + xij )(1+ rij ) 1 ( i + mi + pi ), i = 1, ... , n , j = 1,2,3 . 3

ri2 a r s z v ny ek h o z ama az i-edik vb en,

ri1 az llamp ap r o k h o z ama az i-edik vb en,

mi a k t elez

i a k if iz et et t s z o lg lt at s o k r t k e az i-edik vb en, pi a p nz t r m k d s i k lt s g e az i-edik vb en. amo r t iz c i az i-edik vb en,

ri3 a p nz int z et i b et t ek h o z ama az i-edik vb en,

J el lj e bi a p nz t r eg y enleg t az i-edik v elej n. Ek k o r (5 .5 ) b1 = b0 is mer t k o ns t ans .

It t a k lt s g ek et az eg y es p o r t f li k (alap o k ) k z t t eg y enl en o s z t o t t uk f el. bi = bi-1 - i-1 - mi-1 - pi-1 + j xi-1, j (1 + ri-1, j ), i = 1, ... ,n ,

Ab b an az es et b en, h a az ri1 , ri2 , ri3 , i p ar am t er ek det er minis z t ik us ak , ak k o r a f ent le r t f eladat k t c l line r is p r o g r amo z s i f eladat . Meg o ldand mo dell nk b en az o nb an is mer t no r m lis elo s z l s f g g et len val s z in s g i v lt o z k nak t ek int j k k et , g y t f o g almaz s r a s z o r ul a b emut at o t t det er minis z t ik us h t t r -mo dell. j r af o g almaz z uk a minimaliz land c lo k at , leg y enek ez ek az s s z es vag y o n v r h at r t k nek a neg at vj a illet ve az s s z es k lt s g v r h at r t k e. Az z al a f elt ev s s el l nk , h o g y vent e a munk lt at i h o z z j r ul s nak a k t elez et t s g f l t t i r t k e es ik ad z s al . H a ti j el li az iedik vi ad s z z al k o s m r t k t , ak k o r a c lo k g y f ej ez h et k k i: t alak t va: c2(x) = i xi + 0,5 i ti{|xi-E(i) -pi -mi + E(bi )|+ xi -E(i)-pi -mi+ E(bi )}. (5 .1A) c1(x) = - E(Yn ), c2(x) = i xi + i ti max{xi -E(i) -pi - mi + E(bi ), 0},

(5 .6)

V g l, a munk lt at i h o z z j r ul s leg al b b anny i, h o g y f edez z e a v llalt s z o lg lt at s o k at s a p nz t r m k d s t minden vb en: x i i + m i + p i - b i, i = 1, ... ,n .

T ek int s k mo s t az (5 .6) f elt t el-c s o p o r t o t . Az eg y ik leh et s g az leh et ne, h o g y a f elt t elek t elj es l s t o ly m do n r j uk el , h o g y h ar madik c lk nt k it z z k az eg y enlet ek b alo ldala s j o b b o ldala k z t i elt r s ek s ly o z o t t s s z eg e v r h at r t k nek vag y m s b nt et f g g v ny nek a minimaliz l s t is . M s ik k t leh et s g az , h o g y az (5 .6) f elt t el h ely et t az t r j uk el , h o g y a s z b anf o r g eg y enl t lens g el r e meg ado t t nag y val s z in s g g el t elj es lj n minden vr e k l n-k l n - ek k o r v let lennel k o r l t o z o t t f eladat o t k ap unk - illet ve az n ves id s z ak r a eg y t t es en - ek k o r val s z in s g g el k o r l t o z o t t f eladat o t k ap unk . M g m s f aj t a mo dellt er edm ny ez , h a a c lf g g v ny ek s z m t n velj k o ly m do n, h o g y az (5 .6) eg y enl t lens g el r s a h ely et t ez en eg y enl t lens g ek eg y t t es t elj es l s nek val s z in s g t max imaliz lj uk . It t a

Eg y et len c lf g g v ny nk ez ut n leg y en ez ek p o z it v 1, 2 s ly o k k al vet t k o nvex k o mb in c i j a, amely s ly o k r l f elt t elez z k , h o g y k if ej ez ik a d nt s h o z p r io r it s ait .

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f eladat unk at v let lennel k o r l t o z o t t mo dell f o r m j b an f o g almaz z uk meg : r g z t ve a 0< i <1 meg b z h at s g i s z int et , az (5 .6) f elt t el-c s o p o r t o t h ely et t es t j k a k vet k ez vel: A r s z let s s z eg ek j el l s r e, az (5 .5 ) f elt t elc s o p o r t s eg t s g vel, vez es s k b e az (i) = P r(xi i + mi + pi - bi) i, i = 1, ... ,n .

(5 .6A) (5 .5 B )

k i k =1

x
i 1 3 k =1 j=1

kj rkj , m(i) =

mk , p (i) =
i k =1

p k , x (i) =
i k =1

x
i k =1

F elt ev s nk s z er int a h o z amo k s a s z o lg lt at s o k r t k ei f g g et len no r m lis elo s z l s val s z in s g i v lt o z k , ez r t a ( i ) val s z in s g i v lt o z is no r m lis elo s z l s , p ar am t er ei: (5 .5 C E((i) ) =

(5 .6B )

j el l s ek et . A k ez det i b0 s az vent e f elmer l k lt s g elemek s eg t s g vel az (5 .6A) f elt t elek et t f o g almaz h at j uk ily m do n: P r ( x ( i ) - m ( i ) - p ( i ) + b0 ( i ) ) i , i = 1 , ... ,n ,

E (
i k =1

2 2 2 2 k ) x kj E ( rkj ) , ( (i )) = ( k ) + x kj ( rkj ) , i 1 3 i i 1 3 k =1 j =1 k =1 k =1 j =1

ah o l E v r h at r t k et , 2 a meg f elel val s z in s g i v lt o z var ianc i j t j el li. g y az (5 .6B ) s s z ef g g s g y r h at t ( j el li a s t andar d no r m lis elo s z l s elo s z l s f g g v ny t ) :

x (i ) m(i ) c (i ) p (i ) + b0 E ( i ) i , i i 1 3 2 2 ( k ) + x kj 2 (rkj ) k =1 k =1 j =1

i= 1, ... , n,

ami, a line r is s k vadr at ik us t ag o k at s z t v las z t va s a i s eg dv lt o z b evez et s vel, az al b b i k t eg y enl t lens g f o r m j b an r h at f el: (5 .6C ) 2((i)) [-1( i )] 2 - i 2 0 , ( x(i) - m (i) - p (i) + b
0

H as o nl k p p en t f o g almaz z uk az Yn-r e vo nat k o z (5 .2 ) s (5 .4 ) f elt t elek et . A r ek ur z i s f o r mul k b l ad dik az al b b i s s z ef g g s : Ynj = Y0 j (1 + rkj ) + x kj

n n k =1 k =1 n n (1 + rhj ) ( k + m k + p k ) (1 + rhj ) / 3 1 h=k + h = k +1 k =1 n

Mindk t eg y enl t lens g b en a b alo ldal az xk j d nt s i v lt o z k nak amely a f eladat meg o ld s a s z emp o nt j b l f o nt o s t ulaj do ns g .

- E ((i) ) - i 0 , i 0 , i =1,... ,n.

k o nvex

f g g v ny e,

3 4
g y , a s z b anf o r g val s z in s g i v lt o z k f g g et lens g e miat t
n n n 3 n n c1 ( x ) = Y0 j E (1 + rkj ) + x kj E (1 + rhj ) [ E ( k ) + m k + p k ] E (1 + rhj ) / 3 j =1 k =1 k =1 h = k +1 h = k +1 k =1

F eladat unk t eh t a k vet k ez 1 c

1

A s z b anf o r g val s z in s g i v lt o z k r a t et t f elt ev s mellet t a f eladat leh et s g es meg o ld s ainak h almaz a k o nvex , g y a c lf g g v ny k o nvex it s a miat t o ly an f eladat h o z j ut o t t unk , amely nek meg o ld s r a k o nvex p r o g r amo z s i alg o r it mus o k alk almaz h at k .

az (5 .3 ) , (5 .5 B ) , (5 .5 C ) , (5 .6C ) f elt t elek mellet t .

(x ) + 2 c

les z :
2

(x ) minimaliz land

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A V A G Y O N B IZ T O S T S B A N . 6 . P O R T F O L I -O P T I M A L I Z L S I M O D E L L

ah o l xi j el li az s s z es b ef ek t et et t es z k z b l az i-edik b ef ek t et s i k at eg r ia r s z es ed s t , yj j el li a j -edik t er m k d j b ev t eleinek ar ny t , ez ek a d nt s i v lt o z k , ri az i-edik b ef ek t et s h o z ama, qj a j -edik b iz t o s t s i t ev k eny s g b l s z r maz p r o f it r t a, ez ek val s z in s g i v lt o z k is mer t eg y t t es elo s z l s s al, amely et a t o v b b iak b an t b b v lt o z s no r m lis elo s z l s nak f elt t elez nk , i = 1, , m, j = 1, , n. A p val s z in s g i v lt o z g y no r m lis elo s z l s , v r h at r t k e s var ianc i j a: E (p) = i x i E (r i ) + j y j E (q j), V ar(p) = i,j x i x j C o v (r i , r j )+ i,j y i y j C o v (q i ,q j ) + 2 i,j x i y j C o v (r i , q j ).

(6.1)

Az al b b le r t mo dell el z m ny ei meg t al lh at k az [1] , [5 7] , [3 2 ] do lg o z at o k b an. Mo dell nk b en t b b f le b ef ek t et s i k at eg r i t s b iz t o s t s i t er m k et ves z nk f ig y elemb e. L eg y en ez ek s z ma m illet ve n. Az ez ek b l s z r maz j vedelem g y r h at f el: p = i x i r i + j y j q j,

Mo dell nk b en a b iz t o s t annak val s z in s g t s z er et n max imaliz lni, h o g y s s z es j vedelme eg y s z m r a elf o g adh at P0 s z int f l t t les z : A b ef ek t et s ek nek k t f o r r s a van: az alap t k e s a b iz t o s t s i k t v ny ek b l s z r maz d j b ev t el. Mivel a d j ak el r e f iz et end k , s a k r b ej elent s s k r k if iz et s k z t t is elt elh et valamenny i id , a t ar t al k eg y r s z e is b ef ek t et h et r vid id s z ak r a. Ez a r s z g y r h at f el: (6.3 ) i x i = 1 + j y jc j . j yj = . (6.2 ) maxx ,y Pr( p P0 )

j yjcj, ah o l cj a k t elez et t s g ek s d j b ev t elek ado t t h ny ado s a az i-edik b iz t o s t s i t er m k r e vo nat k o z an. Ek k o r a m r leg -eg y enlet a k vet k ez k p p en s z l: A d j b ev t elek s a b iz t o s t t r s as g alap t k j e k z t i k ap c s o lat o t f ej ez i k i az al b b i s s z ef g g s , amely b en ado t t r t k :

(6.5 ) A b iz ab sz

Mind az eg y es b iz t o s t s i t er m k ek d j b ev t eleinek , mind az eg y es b ef ek t et s i leh et s g ek nek a r s z es ed s r e s s z er als s f els k o r l t o k at k it z ni b iz t o ns g , ver s eny k p es s g , t r v ny i el r s o k t elj es t s e, s t b . miat t : k r o k at r ends z er int a d j b ev t elek b l f iz et ik k i, h a az o nb an ez t o s t f els z ab ad t anny it a lik vid vag y o n b l, h o g y el g leg y en a k iz t o s t nak eleg end lik vid es z k z z el k ell r endelk ez nie, j el lj e ez t mb a. L eg y en b r mik o r p nz z t eh et az els k b ef ek t et s i alap a x im
in

(6.4 )

x i x im

a x

, i = 1, ,m; yjm

in

y j y jm

a x

, j = 1, n.

nem el g , ak k o r a r k if iz et s r e. Eh h ez z. Ez t veg y k mo s t h o z am val eg y t t , a

3 6
k vet k ez nem-lik vid m-k b ef ek t et s es et b en j el lj e li a b ef ek t et s p nz z t eh et r s z t , ki a h o z am s z int n k s z p nz b en k if ej ez h et r s z t (p l. a k amat o t ) , i = k+ 1, ,m. Ek k o r (6.6) z=

xi (1 + ri ) +
k i =1

i = k +1

x (l
m i

+ k i ) + j y j (1 + q j ) .

(6.7)

A z lik vid es z k z r t k nek eg y Z0 minim lis s z int j t az r t nem r h at j uk el , mer t a z val s z in s g i v lt o z . El r h at az o nb an az , h o g y e minim lis s z int f l t t leg y en meg f elel en nag y : 1 - val s z in s g g el, ah o l a b iz t o s t k o c k z at t m r i. Mo dell nk t eh t a k vet k ez : Pr( z Z0 ) 1 - .

Max imaliz lj uk a (6.2 ) c lf g g v ny t

(6.7B )

ah o l a s t andar d no r m lis elo s z l s elo s z l s f g g v ny e. Vez es s k b e az m s eg dv lt o z t ab b l a c lb l, h o g y a nemline r is (6.7A) f elt t elt eg y line r is s eg y k vadr at ik us f elt t ellel h ely et t es t h es s k : H as o nl an, mivel a -1 f g g v ny s z ig o r an n vek v , a (6.2 ) c lf g g v ny h ely et t es t h et a k vet k ez vel: maxx ,y ,g g a Pr(p P0) g f elt t el mellet t . 0 Z
0

(6.7A)

A mo dell meg o ld s a r dek b en, az el z det er minis z t ik us ek vivalens f eladat t . Eh h val s z in s g i v lt o z k eg y t t es elo s z l s r f elt t elt az xi , yj v lt o z k ak k o r s c s eg y enl t lens g et : -1()

ah o l a j el l s ek et a (6.1) s (6.6) s s z ef g g s ek mag y ar z z k meg . ek h ez ez t alak l f elt et t ak ak k o

a (6.3 ) , (6.4 ) , (6.5 ) , (6.7) f elt t elek mellet t ,

h as o nl an, f el k ell r nunk a mo dell t s o k r a van s z k s g . Mivel az ri , qj k , h o g y no r m lis , ez r t a (6.6) s (6.7) r el g t ik k i, h a k iel g t ik az al b b i

Var(z) Z0 - E (z),

- E(z ) - -1() m,

m2 Var (z ) , m 0 .

(6.2 A)

E f elt t el ek vivalens az (E (p) P0) / Var(p) - -1(1-g ) eg y enl t lens g g el, ez r t , is m t a -1 f g g v ny s z ig o r an n vek v vo lt a miat t (6.2 A) ek vivalens az z al, h o g y max imaliz lj uk az eg y enl t lens g b alo ldal t : (6.2 B ) maxx ,y (E (p) - P0) /

Vez es s k b e t = 1 / Var(p) s a = p t v lt o z k at . Ek k o r (E (p) - P0) / Var(p) = E () - P0 t. Vez es s k b e t o v b b a = t z, i = t x i , i = t y i , = t m v lt o z k at s a meg f elel f elt t elek et t-vel s z o r o z va h ely et t es t s k b e a mo s t b evez et et t v lt o z k at . A mo dell mat emat ik ai meg f o g almaz s a a k vet k ez les z : max,,t ( E () - tP0 )

Var(p) .

3 7
1 V ar(), t x im
in

0 t Z0 - E () - -1(),
2

i i = t + j j c j , i t x im

V ar(),
a x

0 , j j = t, t y jm
m

t0 ,

, i = 1, ,m,
k

in

j t y jm
n

a x

, j = 1, n.

ah o l = i i ri + j j q j , = i (1 + ri ) +
i =1

i = k +1

i (li + k i ) + j (1 + q j )
j =1

E f eladat p ar am t er ei a b ef ek t et s ek s b iz t o s t s i t ev k eny s g ek v r h at meg t r l s ei, ez ek k o var ianc ia m t r ix a, e t ev k eny s g ek r e vo nat k o z als s f els k o r l t o k , s a b iz t o s t lt al elf o g ado t t nak t ek int et t meg b z h at s g i s k o c k z at i s z int ek . E p ar am t er ek m lt b eli adat o k b l, s t at is z t ik ai es z k z k k el ny er h et k . A mo dell j elen f o r m j b an line r is s k vadr at ik us f elt t elek et t ar t almaz , s t andar d nemline r is p r o g r amo z s i alg o r it mus o k alk almaz s val meg o ldh at .

3 8
7. INFORMCIELMLETI MRTKEK ALKALMAZSA KR-ELOSZLS B ECSLSRE.

(7.1)

K r nag y s g , k r s z m, ag g r eg lt k r s s z eg val s z in s g -elo s z l s nak a k iel g t b ec s l s e a b iz t o s t t r s as g o k alap vet r dek e. Ez valamily en r ef er enc iaelo s z l s r a t mas z k o dva s a b iz t o s t s aj t t ap as z t alat r a: a s aj t k t v ny llo m ny r a s z m t o t t t lag o k , var ianc i k f ig y elemb e v t el vel t r t nik . A k r d s az , h o g y an h at r o z z unk meg eg y o ly an p = (p1, p2, , pn) val s z in s g elo s z l s t , amely a q = (q1, q2, , qn), r ef er enc iaelo s z l s h o z leg j o b b an h as o nl t , mik z b en a j ellemz p ar am t er ek i (v r h at r t k , var ianc ia, mag as ab b mo ment umo k ) a s aj t k t v ny llo m ny r a s z m t o t t r t k ek k el meg eg y ez ek . A f elt t elek t eh t line r is ak , ily en alak ak : pj 0 , j pj = 1, j = 1, n, , m,

A 4 . f ej ez val s z in s v las z t j uk f eladat h o z

A k r d s az , h o g y a f elt t elek et k iel g t , az az leh et s g es p val s z in s g elo s z l s o k k z l h o g y an v las s z unk . s s z er o ly an val s z in s g elo s z l s t v las z t ani, amely nek az is mer t q r ef er enc iaelo s z l s t l val elt r s e a leh et leg k is eb b . et b en g elo s mint j ut unk f els o r o lt d(x,y) f g g v ny ek b r mely ik e alk almas ar r a, h o g y a k er es et t z l s k iv las z t s r a alk almaz z uk . It t a K ullb ac k -L eib ler t vo ls g o t minimaliz land c lf g g v ny t . g y a k vet k ez k o nvex p r o g r amo z s i : a (7 .1) f e lt te le k me lle tt.

ah o l aij a s z b anf o r g val s z in s g i v lt o z j -edik leh et s g es r t k nek vag y annak eg y f g g v ny nek k -adik h at v ny a, h a a f elt t el a val s z in s g i v lt o z vag y annak eg y f g g v ny nek a k -adik mo ment um t r j a el .

j aij pj = b i,

i = 1,

K r nag y s g (k r s z m, s t b .) elo s z l s o k meg h at r o z s r a alk almaz h at lt al no s meg k z el t s k nt t r g y alj a ez t a mo dellt B r o c k et t [7] t anulm ny a. A mo dell meg o ld s h o z (ld. [3 1] ) el s z r f el r j uk a f eladat h o z k ap c s o l d K uh n-T uc k er f elt t elek et : pj 0 , j aij pj = b i, i = 1, j = 1, n, , m, j pj = 1,

M i ni mali z land j (pj ln ( pj / qj) - pj ) + 1

A K uh n-T uc k er o p t imalit s i t t el s z er int (Mang as ar ian, [3 3 ] ) minimaliz c i s f eladat unk nak p o nt o s an ak k o r van o p t im lis meg o ld s a, h a a k ap c s o l d K uh n-T uc k er f eladat nak van meg o ld s a. Ez r t a mo dell p meg o ld s t a k vet k ez u.n. mult ip lik at v alak b an :

j pj (ln pj - ln qj + i ui aij) = 0 .

ln pj - ln qj + i ui aij 0 ,

j = 1,

, n,

3 9
pj = qj e xp(-i u i a ij ),

illet ve a vele ek vivalens lo g line r is alak b an: k er es s k , j = 1, ln(pj / qj ) = -i u i a ij , n.

Meg j eg y ez z k , h o g y f o ly t o no s val s z in s g elo s z l s es et b en h as o nl meg o ld s i g o ndo lat menet et alk almaz h at unk . F eladat unk ek k o r : s u s u s u
p p p p p p

mo dellez s i s

f (x) ln( f (x)/ (x) ) dx f (x) dx = 1,

mi n m,

ah o l s upp az (x) s r s g f g g v ny t ar t j a, ai(x) p edig L ag r ang e f g g v ny e: L = s u

p p

ai(x) f (x) dx = b i, i = 2 ,

ado t t f g g v ny . E f eladat

ah o l a1(x) = 1 s b 1 = 1. R g z t et t ui r t k ek es et n az L f g g v ny az f (x) f g g v ny b en minimaliz land , a minimaliz l s s z emp o nt j b l p edig a i ui b i, k o ns t ans l v n, elh ag y h at . g y a minimaliz land f g g v ny :
+

f (x) ln( f (x)/ (x) ) dx + i ui ( s u

p p

ai(x) f (x) dx - b i)

f ( x)(ln ( x) + u a ( x))dx
f ( x)
i i i +

f ( x ) exp(iu i a i ( x )) f ( x )ln dx ( x)

mivel lnZ Z-1 s eg y enl s g p o nt o s an ak k o r ll f enn, h a Z = 1, vag y is amik o r N z z nk el s z r a dis z k r t , maj d a f o ly t o no s es et r e eg y k o nk r t mo dellt . f (x) = (x) e xp( -i u i a i(x)).

f ( x)1

( x) exp(iu i a i ( x ))dx f ( x)

G y ak o r i es et , h o g y eg y s p ec i lis g y f lr e ( g y f lk r r e) vo nat k o z an az ak t u r ius nak el k ell t r nie s z m t s aib an a r ef er enc ia h aland s g i t b l t l. P ldak nt t ek int s nk eg y 5 0 ves , b iz o ny t alan eg s z s g i llap o t g y f elet , ak i let b iz t o s t s t is mag b an f o g lal b iz t o s t s t k iv n k t ni. Az ak t u r ius s z k s g k p p en v las z t eg y r ef er enc ia h aland s g i t b l t , amely et az o nb an m do s t ania k ell, h a az o r vo s az g y f l h t r al v v r h at let t ar t am t a h aland s g i t b l b an s z er ep l e50 r t k t l k l nb z nek it li. T eg y k f el, h o g y az o r vo s s z er int = 9 e 5 0. T eg y k f el t o v b b , h o g y emellet t az o r vo s 5 0 % es ly t ad annak , h o g y az illet az 5 5 . s 65 . s z let s nap j a k z t t h al meg . H o g y an alak t s a t az ak t u r ius a r endelk ez s r e ll h aland s g i t b l t g y , h o g y az a leh et leg k is eb b m r t k b en t r j en el a r ef er enc ia h aland s g i t b l t l, de m g is illes z k edj en az g y f lnek

7. 1 . H a l a n d s g i t b l k k i i g a z t s a .

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az o r vo s i v lem ny b en meg f o g almaz o t t h aland s g i t ulaj do ns g aih o z . Az al b b i mo dell ez t a d nt s i s z it u c i t r j a le, qi j elent i a r ef er enc ia h al lo z s i val s z in s g ek et , pi p edig a s z m t and h al lo z s i val s z in s g ek et :

p
i =1
i =1 14

ln

pi min qi

pi = 1; p
ahol az le t kor v g s
i =5 i

ip
i =1

= 9;

= 0,5 ;

pi 0, i = 0, 1,

,,

f or m b an ke r e s s k, ahol

pi = qi e xp(z 1 + i z 2 + a(i ) z 3)

hat r a. A f e lad at ot ki e l g t

pi r t ke ke t a

f e lad at m e g old s a g y e g y h r om i s m e r e t le n e s , e g y e n le t r e n d s z e r m e g old s t je le n t i .

0, ha i < 5; a (i ) = 1, ha 5 i 14; 0, ha i > 14.

h r om

e g y e n le t e t

t ar t alm az

L e g y e n f (t ) a s r s g f g g v n y e az e g y b i z on y os a r t k f l t t i k r i g n y n ag y s g n ak. A kkor

7.2. Krnagysg eloszlsnak szmtsa informcielmleti mdszerrel.

f (t )dt = 1.
a

A s z i m m e t r i ku s t l n ag y on e lt r e los z l s n ak e s e t le g n i n c s v g e s v r hat r t ke , e z r t a s z b an f or g v al s z i n s g i v lt oz log ar i t m u s n ak v r hat r t k t r ju k e l :

ln f (t )dt = ln b.
a

E kkor az e n t r p i af g g v n y m ax i m ali z l s a k t s r s g f g g v n y alakja e z r t a k v e t ke z : H e ly e t t e s t s n k b e az e ls 1 = f (t ) = e xp(z 1 + z 2 l n t ).

a

f e lt t e l m e lle t t

t r t n i k,

az

f (t )

f e lt t e lb e :
z1 + z 2 ln t

a z2 + 1 dt = e t dt = e , ahol z2 1 a
z1 z z1

z 2 < 1.

4 1
A lkalm az v a az = - z az
2

he ly e t t e s t s t az t kap ju k, hog y e z1 = ( 1)e 1 . A z e lj r s t e h t t a, > 1

s r s g f g g v n y he z v e z e t , am i a P ar e t o e los z l s s r s g f g g v n y e . H a < 2, akkor a k r n ag y s g v r hat r t ke n e m v g e s , d e a log ar i t m u s n ak a v r hat r t ke v g e s . H a > 2, akkor m i n d k t v r hat r t k v g e s .

f (t ) = ( - 1) a-1 t -,

4 2
8. OPTIMLIS TE R M K S S Z E T TE L MOD E LLE Z S E A Z IG N Y S Z IN T ( K TV N Y S Z M) S A K OC K Z A TI D J K Z TTI S S Z E F G G S V IZ S G LA TA A LA PJ N . am e ly e kb l a b ke ke t : B1, B2, T e g y k m os t lje ij az Ai e le m

L e g y e n e k A1, A2, , AN az ok az e le m i k r e s e m n y e k, b i z t os t s i f or m i : t e r m ke i s s z e t e v d n e k, je l lje a t e r m t e r m ke ke t s s z e t e t t k r e s e m n y e kn e k i s n e v e z z k. b i z t os t i n t z e t m e g hat r oz t a B1, B2, , Bn t e r m ke i t . J e l s ly t , r e lat v g y akor i s g t a Bj t e r m kb e n : A z ij 0, i ij = 1.

i z t os t i n t z e t , Bn . A Bi f e l, hog y a i k r e s e m n y l, a i a a a a s

J e id b e b e

e g y e s t e r m ke k d ja a t e r m kb e n f og lalt e le m i k r e s e m n y e k t u lajd on s g ai t m i n d e n e ke l t t a k r n ag y s g v r hat r t k t l s s z r s t l f g g , d e n e m ke v s b t e r m k i r n t i ke r e s le t t l, az e lad ot t k t v n y s z m t l. A z t v i z s g lju k, hog y az e le m k r e s e m n y e k g y akor i s g a s az e g y e s t e r m ke kb e n f og lalt e le m i k r e s e m n y e k s ly i s m e r e t b e n e t e r m ke kb l m i ly e n ke r e s le t r e (k t v n y s z m r a, i g n y s z i n t r e ) c ls z e r b i z t os t t r s as g n ak t r e ke d n i e , hog y az on f e lt t e l m e lle t t , hog y a f e lm e r l k r okat b e f oly d jak e l r t n ag y v al s z i n s g g e l f e d e z z k m i n d e n e g y e s t e r m kv on alr a n z v e , b i z t os t t r s as g v e r s e n y k p e s d jakat llap t has s on m e g , v ag y i s a t r s as g s s z e d jb e v t e l n e k a koc k z at m r t k he z kap c s ol d r s z e m i n i m li s r t k le g y e n . l lje ki az s z akb an . J k v e t ke z i k; k v e t ke z i k, Ai e le m i k r e e l lje i az je l lje j a i , j v al s z i n se m Ai Bj s n y e le m ssz g i v

F e lt e s s z k, hog y 1, 2, , N f g g e t le n v al s z i n s g i v lt oz k. L e g y e n ad ot t m i n d e n e le m i k r e s e m n y r e a k r n ag y s g v r hat r t ke s s z r s a: g y e n ad ot t a j-e d i k s s z e t e t t k r e s e m n y pj b e k v e t ke z s i v al s z i n s g e . J e l lje Xj a ji k t e r m khe z kap c s ol d k r i g n y t k t v n y e n k n t , f e lt e s s z k, hog y m i n d e n k t v n y r e k r i g n y az on os e los z l s v al s z i n s g i v lt oz . J e l lje gj a j-e d i k t e r m k t v n y s z m t , Dj a j-e d i k t e r m k s z i n t n m e g hat r oz an d n e t t d j t k t v n y e n k n t . E kkor a j-e d i k t e r m k k r s z m n ak v r hat r t ke : gj pj s az s s z e s e n b e f oly d j: gj Dj . A gj d n t s i v lt oz n ak ki ke ll e l g t e n i e az al b b i f e lt t e le ke t : L e e d a k A 1, 2, , N v al s z i n s g i v lt oz k f g g e t le n s g e m i at t f e n n lln ak a k v e t ke z s s z e f g g s e k: ahol Var (j ) a j v al s z i n s g i v lt oz v ar i an c i j t (s z r s n g y z e t t ) je l li . E (j ) = i ij i , Var (j ) = i ij2 i2, j = 1, ,n , (8 .1 ) j ij gj pj = ki , i = 1, , N. i = E (i ), i = D(i ), i = 1, , N.

j = i ij i .

e l f or d u l s i s z m t (g y akor i s g t ) a s z b an f or g i k r e s e m n y n ag y s g t , ha az Ai k r e s e m n y e t e t t k r e s e m n y n ag y s g t , ha a Bj k r e s e m n y lt oz k. E kkor

E g y k t v n y Xj k r i g n y t s n e t t d j t e g y e d i koc k z at i m od e ll alkalm az s v al hat r oz z u k m e g . V e z e s s k b e az Ij kar akt e r i s z i ku s v al s z i n s g i v lt oz t , r t ke 1 , ha a

4 3
j-e d i k t e r m k e g y k t v n y r e az ad ot t i d s z akb an k r k v e t ke z i k b e , e n n e k v al s z i n s g e pj ; s r t ke 0 , ha n e m k v e t ke z i k b e k r , e n n e k v al s z i n s g e 1- pj. E kkor V al s z i n s g e lm le t b l i s m e r t s s z e f g g s e k alkalm az s v al az t kap ju k, hog y Var (Xj) = Var (Ij j) = E (Var (Ij j Ij )) + Var (E (Ij j Ij )) = = pj i ij2 i2 + pj( 1- pj ) (i ij i) 2 . + Xjg . Xj = I j j .

E (Xj) = E (Ij j) = E (E (Ij j Ij )) = E (Ij E (j) ) = pj E (j ) = p j i ij i ; = E (Ij Var (j )) + Var (Ij E (j)) =

A j-e d i k t e r m k ag g r e g lt k r i g n y e az e g y e s k t v n y e k k r i g n y n e k s s z e g e : k v e t ke z f e lt t e lc s op or t ar r a v on at koz i k, hog y a b i z t os t t r s as g hoz a j. t e r m kv on alon b e f oly s s z e s d j f e d e z z e az ot t ke le t ke z ag g r e g lt k r i g n y t e l r t j v al s z i n s g g e l: A n e t t d jat a b i z t os t t r s as g ok a v r hat r t khe z k t i k r e n d s z e r i n t , az az az al b b i f or m b an llap t j k m e g : ahol j a r e lat v b i z t on s g i p t l k, am e ly a d jn ak a v r hat r t kt l v al e lt r s t je lz i , i ly m d on a k r i g n y s z r s b l-s z r d s b l s z r m az koc k z at ki v d s t s z olg lja. Dj = E (X j ) ( 1 + j ), (8 .2 ) Pr (Sj < gj Dj ) j , j = 1, ,n . A Sj = Xj1 + Xj2 +

b i z t os t t r s as g n ak r d e ke , hog y d jai v e r s e n y k p e s e k le g y e n e k. A z e g y e s t e r m kv on alakon f e lm e r l ag g r e g lt k r i g n y v r hat r t ke s v ar i an c i ja a (8 .2 ) f e lt t e lc s op or t on ke r e s z t l b e f oly s olja a r e lat v b i z t on s g i p t l k n ag y s g t . E z r t a b i z t os t t r s as g , az e le m i k r e s e m n y e k g y akor i s g t a t e r m ke kb e n f og lalt e le m i k r e s e m n y e k b i z t os t s a i r n t i i g n y n e k t e ki n t v e ar r a t r e ks z i k, hog y a m r ki d olg oz ot t b i z t os t s i m d oz at ok - s s z e t e t t k r e s e m n y e k, t e r m ke k - i r n t i ke r e s le t e t oly m d on b e f oly s olja (r e kl m oz z a, s t b .) , hog y a (8 .1 ) s (8 .2 ) f e lt t e le k t e lje s l s e m e lle t t az s s z e s e n b e f oly d jn ak a k r i g n y v r hat r t ke f l t t i r s z e m i n i m li s le g y e n . M od e ll n k t e h t a k v e t ke z : H at r oz z u n k m e g oly an g1, g2 , j ij gj pj = ki , , g n , 1 , 2, m in n r t ke ke t , am e ly e kr e , N,

j gj E (X j ) j

g j g j0 ,

j = (Dj - E (Xj ) ) / E (Xj ), j = 1, j = 1, ,n ,

Pr (Sj < gj Dj ) j ,

j = 1,

i = 1, ,n , ,n ,

4 4
ahol gj0 a k t v n y s z m az on m i n i m li s r t ke , am e ly s z ks g e s ahhoz , hog y a j-e d i k b i z t os t s i t e r m k a b i z t os t t r s as g t e r m kki n lat b an e g y lt al n s z e r e p e lje n .

V i z s g lju k m os t e m od e ll t u lajd on s g ai t . H a az Sj ag g r e g lt k r s s z e g Fj e los z l s t i s m e r j k, a v al s z i n s g i f e lt t e le ke t a d e t e r m i n i s z t i ku s f e lt t e le kke l he ly e t t e s t he t j k. gj Dj F-1(j) , j = 1, ,n .

E s z t oc has z t i ku s m od e ll v le t le n n e l kor l t oz ot t - li n e r i s s t alak t hat - kv ad r at i ku s f e lt t e le ke t , li n e r i s f e lt t e le ke t s kv ad r at i ku s c lf g g v n y t f og lal m ag b an . A z i t t i s m e r t e t e t t m od e ll a v le t le n n e l kor l t oz ot t p r og r am oz s i f e lad at k r b e t ar t oz i k, am e ly n or m li s e los z l s v al s z i n s g i v lt oz kat f e lt t e le z v e , m i n t l t n i f og ju k, kv ad r at i ku s p r og r am oz s i f e lad at k n t r hat f e l. ( lt al n os t hat le n n e a m od e ll oly m d on , hog y a v al s z i n s g i f e lt t e le k e g y t t e s t e lje s l s t r ju k e l n ag y m e g b z hat s g g al. E z az t je le n t e n , hog y n e m a t e r m kv on alakr a e g y e n k n t , han e m a b i z t os t t r s as g e g s z r e k t j k ki , hog y a b e f oly d jak e l r t v al s z i n s g g e l f e d e z z k a f e lm e r l k r i g n y t az ad ot t i d s z akb an . F e lh v ju k a f i g y e lm e t ar r a, hog y e f e lt t e l t e lje s l s e m ag a u t n v on n a f e lt t e l t e lje s l s t m i n d e n e g y e s t e r m kv on alon i s . A z g y kap ot t m od e ll alg or i t m i ku s m e g old s a az on b an n ag y m r e t e k e s e t n m e g le he t s e n r e m n y t e le n f e lad at .)

T e g y k f e l, hog y Xj1 , Xj2 , , Xjg az on os e los z l s f g g e t le n v al s z i n s g i v lt oz k, e z r t az Sj ag g r e g lt k r s s z e g r l f e lt e he t j k, hog y n or m li s e los z l s v al s z i n s g i v lt oz . g y E (Sj ) = gj E (Xj) = Var (Sj ) = gj Var (Xj) = g j p j ( i ij2 i2 + ( 1- pj ) (i ij i) 2 ); gj Dj E (Sj ) + -1(j) Var ( S j ) , j = 1, ,n , g j p j i ij i ;

s a (8 .2 ) f e lt t e lc s op or t e kv i v ale n s az al b b i kv ad r at i ku s f e lt t e le kke l: ahol a s t an d ar d n or m li s e los z l s e los z l s f g g v n y e . E z k t v n y s z m n ak s a Dj d jn ak ki ke ll e l g t e n i e a e g y e n l t le n s g e ke t (j = az t je le n t i k, hog y : gj Dj gj pj i ij i + -1(j) 1,

2 2

az t je le n t i , hog y

a gj

, n ), am e ly e k a j r e lat v b i z t on s g i p t l kr a v on at koz an

g j p j ( iij i + (1 p j )(iij i ) 2 )

j (j)
-1

pj gj

F i g y e le m c lf g g v m e g old s z t oc has

b e n y b sra e z t i ku

v e n g y s m

v e

j gj E (X j ) j

a m i n i m ali z lan d c lf g g v j m i n d e n e g y t t hat ja p oz i t v e n l s g g e l t e lje s l m i n d e n j i n d e od e ll e kv i v ale n s d e t e r m i n i s z t i ku s m in

( ( )
i ij 2 i ij i

2 2

+ (1 p i ) ) n y , e x re m e s z az . F og g f e le t az t a k r lm n y t , hog y a e g y e n l t le n s g az op t i m li s lalju k s s z e t e h t a f e n t le r t l j t :

4 5
j ij gj pj = ki , gj gj ,
0

i = 1,

j = (j)
-1

pj gj

E kv ad r at i ku s p op t i m li s k t v n k r i g n y f l t t i , d jak e l r t v al s A

m od e ll m e g old s r a i s m e r t m at e m at i kai p r og r am oz s i m d s z e r e k alkalm az hat k.

r og r am oz s i f e lad at op t i m li s gj (j = 1, . . . , n ) m e g old s a ad ja az t az y s z m - s s z e t t e lt , am e ly m e lle t t a Dj = E (Xj)(1 + j ) d jakn ak a v r hat a k r i g n y e k s z r d s hoz i g az od r s z e m i n i m li s r t k , m i k z b e n a z i n s g g e l f e d e z i k a k r okat .

( ( )
i ij 2 i ij i

j = 1,

, N, ,n , , n .

2 2

+ (1 p i ) ) , j = 1 ,

4 6
9. A VISELKEDSI KOCKZAT S A BIZTOSTSI PIAC SZERKEZETE. (A m od e ll kon c e p c i ja m e g t al lhat a [ 2 0 ] d olg oz at b an .) b i z t os t s i i p ar p i ac i s z e r ke z e t e h r om r s z t v e v r e p l, e z e k: a b i z t os t ot t , a d i r e kt b i z t os t s a v i s z on t b i z t os t . E z a s z e r ke z e t n e m t e ki n t he t e g y s z e r e n a s z okv n y os p i ac i r e n d s z e r s p e c i li s e s e t n e k, m g i s az i r od alom lt al b an a s z e r e p l k k z l ke t t v i s z on y v al f og lalkoz i k. A z i t t b e m u t at ot t m od e ll a h r om s z e r e p l kap c s olat t s a t e lje s koc k z at m e g os z l s t ab b l a s z e m p on t b l v i z s g lja, m i ly e n k l n b s g e k ad d n ak a v i s e lke d s i koc k z at g on d os f i g y e l s n e k (m on i t or i n g ) hat kon y s g b an , at t l f g g e n , hog y e z t a m e g f i g y e l s t a d i r e kt b i z t os t v ag y a v i s z on t b i z t os t v g z i . A m od e ll e g y p e r i d u s t t e ki n t , a d jak a p e r i d u s e le j n , a k r ki f i z e t s e k a p e r i d u s v g n e s e d ke s e k. od e ll N s z m az on os b i z t os t ot t at f e lt t e le z , e g y e n x koc k z at t al, W1 v ag y on n al a p e r i d u s v g n y e l, x , W1 v al s z i n s g i v lt oz k. A d ot t az N s r n ag y s g e los z l s f g g v n y e . A b i z t os t ot t a W1 v r k n t W v ag y on n al n , u(W1) kon k v z m koc k z at b l hat r t k t akar ja y os s g ai t ab b l -m ax i m ali z lja, ) e lke r l s n e k p i ac i koc k z at A

A b i z t os t ot t ak. A m a p e r i d u s e le j n , has z n os s g i f g g v n s z r m az X = N x k m ax i m ali z ln i . A b ac k t v al m e g i z t os t a lb l, hog y f e lt t e l m s z in s g t r l s r e

9.1 . A h r o m s z e r e p l s m o d e l l r s z t v e v i .

ahol n e m

Pr ((K0 + Pd)(1 + R) - X < 0) <

p n z p i ac on m k d i k. C lja az , hog y ki has z n p i ac i t e lje s t m n y t - i t t f e lt e s s z k, hog y a v e lle t t . A z e g y i k f e lt t e l a kat as z t r f a (n e g r e r e l e g y m ax i m li s r t ke t , a m v on at koz i k. A z e ls f e lt t e l t e h t :

lja a p i ac hi n r hat p r of i t ot at v e r e d m n y s ik p e d ig a

Pd : az N b i z t os t ot t lt al b e f i z e t e t t n e t t d j, am i t a (d i r e kt ) b i z t os t m e g t ar t , az az ad t a v i s z on t b i z t os t n ak; a d i n d e x je lz i , hog y a d i r e kt b i z t os t r l v an s z ; R : az ad ot t koc k z at m e n t e s kam at l b ; : a kat as z t r f a koc k z at n ak m e g e n g e d e t t v al s z i n s g e .

K0 = K() : a s aj t t ke a p e r i d u s e le j n ;

v i s z on t b i z t os t , a d i r e kt b i z t os t hoz has on l an , m e g hat r oz ot t s z i n t alat t akar ja t ar t an i a kat as z t r f a v al s z i n s g t . R e n d s z e r i n t n ag y b i z t os t , n ag y s d i v e r z i f i k lt p or t f li t t ar t f e n n , am i g y akor lat i lag koc k z at m e n t e s . g y a v i s z on t b i z t os t s d j b an e z a t n y e z n e m s z e r e p e l. S z e r e p e l az on b an , a v r hat k r i g n y m e lle t t , a m on i t or i n g k lt s g e . E z e g y b i z t os t ot t -v i s z on t b i z t os t k z v e t le n s z e r z d s e s e t b e n e l g n ag y le he t , hi s z e n a v i s z on t b i z t os t , t v olab b l v n , n e he z e b b e n t u d ja m e g f i g y e ln i az g y f e le k

A b i z t os t a p n z p i ac on m k d i k, am i az t je le n t i , hog y b e f e kt e t s e i r e p i ac i hoz am ot ke ll e l r n i e . A b i z t os t s i d jn ak e z r t f e d e z n i e ke ll le g al b b a v r hat k r i g n y t , t ov b b a m on i t or i n g k lt s g t s v g l a p or t f oli ja koc k z at n ak a k lt s g t , am e ly Ld(,,s), ahol a s aj t t ke m e g t r l s i r t ja s s a koc k z at r a a t ke p i ac on . A

4 7
v i s e lke d s t , m i n t a he ly i b i z t os t . A b i z t os t -v i s z on t b i z t os t kap c s olat b an p e d i g a v i s z on t b i z t os t n ak r s z t ke ll v llaln i a a d i r e kt b i z t os t lt al v g z e t t m on i t or i n g k lt s g e i b l s / v ag y s z e r z s i ju t al kot f i z e t n i e .

T ov b b i f e lt t e le k ke ll, hog y i g az olj k a he ly i b i z t os t f g g e t le n l t t , m s k l n b e n m i akad ly a le n n e an n ak, hog y a v i s z on t b i z t os t f e lv s r olja a d i r e kt b i z t os t t . E f e lt t e le k a g y akor lat b an a b i z t os t k m k d s r e v on at koz llam i s z ab ly oz s f or m j b an je le n n e k m e g . 9.2 . A m o d e l l .

V i s e lke d s i koc k z at s m on i t or i n g . V an e g y m ax i m li s d j, am i t a b i z t os t ot t hajlan d f i z e t n i . P r at t a hi v at koz ot t [ 4 2 ] c i kk b e n m e g m u t at t a, hog y e g y u(W) has z n os s g i f g g v n n y e l r e n d e lke z koc k z at ke r l b i z t os t ot t e g y ki s x koc k z at r t k z e l t le g u ,, (W ) 2 = , ( x) 2u (W )

d jat v llal, e z t koc k z at i d jn ak n e v e z z k. > 0, m e r t u ( . ) < 0 s u( . ) > 0. E z t a k z e l t s t alkalm az z u k a ke r e s le t i f e lt t e l m e g f og alm az s b an : a b i z t os t ot t lt al f i z e t e t t p d j n e m le he t n ag y ob b , m i n t a v r hat v e s z t e s g s a koc k z at i d j s s z e g n e k je le n r t e ke , az az (9 .1 ) p
E ( x) + 1+ R
E ( x) u ,, (W ) 2 2u , (W ) 1+ R

ahol x a b i z t os t ot t koc k z at a. M i u t n a b i z t os t ot t m e g k t i a b i z t os t s i s z e r z d s t , g on d at lan ab b v li k s a koc k z at ot x he ly e t t e g y an n l n ag y ob b r t ke ke t f e lv e v x1 v al s z i n s g i v lt oz f e je z i ki . A b i z t os t t u d at b an v an e n n e k s m e g p r b lja e z t a v i s e lke d s i koc k z at ot m r s ke ln i m on i t or i n g r v n . H a a p e r i d u s e le j n C s s z e g e t f or d t e r r e a c lr a, akkor a m on i t or i n g hat s os s g t a = V( C ) f g g v n y r ja le , 0 1, V(0) = 0, V(0) > 0, V (0)<0. E kkor , ha a ku m u lat v koc k z at ot a N b i z t os t ot t r a X= Nx i lle t v e X1= Nx1 je l li : b i z t os t m ag at ar t s a e r s e n f g g a v i s z on t b i z t os t t l, e l s z r a d i r e kt b i z t os t v i s z on t b i z t os t kap c s olat ot v i z s g lju k. t -v i s z on t b i z t os t kap e g t ar t ja a koc k z at e g y y t , az s s z e g y jt t t t b i z t os t ju t al kot f i z e c s olat . A q ar n y d jak m e t a b i z t os b i z t os t q u ot a s har e v i s z on t b i z t os t s t t s t ov b b ad ja a v i s z on t b i z t os t n ak a koc g f e le l h n y ad n ak t ad s v al. E n n e k f e t n ak, az t ad ot t d j Z ar n y a f or m j b an , A (9 .2 ) E ( X) = E (X1) - ( E (X1 ) - E (X) ) .

v i s z on t b i z t os t s k v n at os le he t am i at t , m e r t a p i ac i koc k z at ot a v i s z on t b i z t os t d i v e r z i f i k lt p or t f li ja m r s kli . L as s ab b an s e z r t k lt s g e s e b b e n t u d u g y an akkor a n ag y s r e n d s z e r i n t t v oli v i s z on t b i z t os t r e ag ln i a a b i z t os t ot t m ag at ar t s r a, m i n t a

B i z t os az az m q ar n v i s z on 1. A

v s r ol, k z at 1j b e n a 0<Z<

4 8
he ly i b i z t os t , a m on i t or i n g ke v s b hat s os , g y Vv( C ) < Vd( C ) a C s r t k r e . (A v i n d e x je lz i , hog y a v i s z on t b i z t os t r l v an s z .) m in d e n

A v i s z on t b i z t os t f e lt t e le i .

V i z s g lju k e l s z r az t az e s e t e t , am i kor a v i s z on t b i z t os t k z v e t le n l a b i z t os t ot t al k t s z e r z d s t . A kkor r i c s ak m e g a v i s z on t b i z t os t n ak, hog y Cv s s z e g e t k lt s n m on i t or i n g c lj r a, ha (9 .3 ) Vv( Cv ) ( E (X1 ) - E (X) ) (1 + R). t i m li s m on i t or i n g k lt s g : Cv* . (E li s Cd* m on i t or i n g k lt s g e i s a v i s z on t b i z t os t a t e lje s b e g y jt t t e t s a m on i t or i n g k lt s g t :

E b b l az e g y e n l t le n s g b l m e g hat r oz hat az op f e lt t e lb l s z m t hat a d i r e kt b i z t os t op t i m v i s z on t b i z t os t s n lk l) . D i r e kt t r an z akc i e s e t b e n d j: P = Np. E n n e k f e d e z n i e ke ll a v r hat v e s z t e s g (9 .4 ) P E ( XVv( Cv)) / (1 + R) + Cv .

E g y h r om s z e r e p l p or t f li ja, m i k z b e k lt s g e s m on i t or i n g d j Z ar n y a f or m e g y e n l t le n s g n e k t e (9 .5 )

S z ks g e s , b r n e m e l g s g e s f e lt t e l a k z v e t le n b i z t os t ot t -v i s z on t b i z t os t t r an z akc i hoz , hog y a b i z t os t ot t lt al f i z e t e n d p d j ki e l g t s e az (9 .3 ) s (9 .4 ) f e lt t e le ke t . t r an z akc i b an has n a v i s z on t b i z t os t f u n kc i j r a. E n n e k f e j b an s hog y e m lje s ln i e ke ll: s z n os u l p t a d j b e n ju e lle t t

a v i s z on t b i z t os t koc k z at m e n t e s i r e kt b i z t os t n ak az v n l ke v s b t al kot f i z e t a b i z t os t n ak, az t ad ot t n e le g y e n v e s z t e s g e s , az al b b i

A (9 .5 ) e g y e n l t le n s g b l a ju t al kr a v on at koz an az
(1 q ) ZP (1 q ) P 1+ R

(1 - q) ( p (1 + R) (1 - Z) - E ( XVd( Cd)) ) 0.
(1 q ) E ( X V d (C d ))

s s z e f g g s ad d i k, am i az t f e je z i ki , hog y a ju t al k n ag y s g a le g f e lje b b az t ad ot t d jn ak a v llalt koc k z at t al c s kke n t e t t r s z e . A b i z t os t f e lt t e le i . A b i z t os t v r hat p r of i t ja e g y e n l a d j m e g t ar t ot t ar n y a - a koc k z at m e g t ar t ot t ar n y a - m on i t or i n g k lt s g e + a v i s z on t b i z t os t t l s z r m az ju t al k: b i z t os t az 1 - b i z t on s g ot e l r f e lt t e lt ki e l g t K() s aj t t k g t r l s t akar e l r n i , am e ly m e g f e le l a t ke p i ac he ly i g y akor lat n ak. E s s z e g e : az R koc k z at m e n t e s kam at l b s a koc k z at b l k v e t ke g t r l s , ahol s a koc k z at r a , () = R + (s). g y a b e f oly g t e n i e az al b b i e g y e n l t le n s g e t i s :
K ( ) R + A ( s ) R illetve K ( ) A ( s) . K ( )

A m e t ag m e e l

(9 .6 )

A = q(1 + R) P - E ( XVd( Cd*)) - Cd*(1 + R) + (1 - q) P (1 + R) Z.

j r e oly an m e g t r l z (s) = d jn ak ki

() s k t s ke ll

(9 .7 )

4 9
V g l, a b i z t os t n y e r e s g e f g g a m on i t or i n g k lt s g t l. E k lt s g op t i m li s C ad d i k az al b b i f e lt t e lb l: (9 .8 )
dA = q V dC d
d( d*

r t ke

) ( E (X

) - E (X ) ) - (1 + R ) = 0 .

A b e m u t at ot t f e lt t e le k h r om e s e t r e v on at koz n ak: B i z t os t s v i s z on t b i z t os t s n lk l; b i z t os t ot t -v i s z on t b i z t os t kap c s olat ; h r om r s z t v e v s b i z t os t s i g y le t . M i n d h r om e s e t b e n a f e lad at a b i z t os t n y e r e s g t m ax i m ali z ln i oly an f e lt t e le k m e lle t t , am e ly e k k z t t s z e r e p e l e g y v al s z i n s g g e l kor l t oz ot t li n e r i s f e lt t e l, am e ly a kat as z t r f a b e k v e t ke z s n e k m e g e n g e d he t koc k z at t r ja e l . M i n d h r om e s e t b e n v al s z i n s g g e l kor l t oz ot t n e m li n e r i s p r og r am oz s i f e lad at hoz ju t u n k, e f e lad at s p e c i li s r s z f e lad at ai n ak n m e ly i ke az on b an a t b b i r s z f e lad at t l f g g e t le n f e lt t e l n lk li op t i m ali z l s r a v e z e t , e z r t a n e m li n e ar i t s e lle n r e n u m e r i ku s an ke z e lhe t m od e lle ke t kap u n k.

E z az e g y e n l s g m u t at ja, hog y az op t i m li s Cd* q-n ak, a m e g t ar t s i ar n y n ak, m on ot on n v e kv f g g v n y e , d e n e m f g g a v i s z on t b i z t os t s i ju t al kt l. A z E (X1) v r hat v e s z t e s g m on ot on c s kke n a q m e g t ar t s i s z i n t t e l s as z i m p t ot i ku s an m e g k z e l t i az E (X) r t ke t , a v i s e lke d s i koc k z at n lk li v r hat v e s z t e s g e t .

5 0

IR O D A L O M . 1 . A g n e w , N .H ., A g n e w , R .A ., R am u s s e n , J ., an d K .F . S m i t h, A n A p p li c at i on of C han c e -C on s t r ai n e d P r og r am m i n g t o P or t f oli o S e le c t i on i n a C as u alt y I n s u r an c e F i r m , M an ag e m e n t S c i e n c e 1 5 , 1 9 6 9 , p p . 5 1 2 -5 2 0 .

2 . A t w ood , J .A ., H e lm e r s , G .a. an d W at t s , M .J ., " C han c e -C on s t r ai n e d F i n an c i n g as a R e s p on s e t o F i n an c i al R i s k" , A m e r i c an J ou r n al of A g r i c u lt u r al E c on om i c s 7 0 , 1 9 8 8 , p p . 7 9 -8 9 . 3 . B e n -T al, A , B e n -I s r ae l, an d T e b ou lle M ., " C e r t ai n t y E q u i v ale n c e an d I n f or m at i on M e as u r e s " J ou r n al of M at h. A n aly s i s an d A p p li c at i on s 1 5 7 , 1 9 9 1 , p p . 2 1 1 -2 3 6 .

5 . B oot h, B e s s le r an d F oot e , " M an ag i n g I n t e r e s t -R at e R i s k i n B an ki n g I n s t i t u t i on s " , E u r op e an J ou r n al of O p e r at i on al R e s e ar c h 4 1 , 1 9 8 9 , p p . 3 0 2 -3 1 3 .

4 . B e n -T al, A . an d T e b ou lle M ., " E x p e c t e d U t i li t y , P e n alt y F u n c t i on s , an d D u ali t y i n S t oc has t i c N on li n e ar P r og r am m i n g " , M an ag e m e n t S c i e n c e 3 2 , 1 9 8 6 , p p . 1 4 4 5 -1 4 6 6 .

7 . B r oc ke t t , L .P ., I n f or m at i on T he or e t i c A p p r oac h t o A c t u ar i al S c i e n c e : A U n i f i c at i on an d E x t e n s i on of R e le v an t T he or y an d A p p li c at i on s , T r an s ac t on s of t he S oc i e t y of A c t u ar i e s 4 3 , 1 9 9 1 , p p . 7 3 -1 1 4 .

6 . B r e g m an , L ., T he R e lax at i on M e t hod f or F i n d i n g t he C om m on P oi n t s of C on v e x S e t s an d i t s A p p li c at i on t o t he S olu t i on of P r ob le m s i n C on v e x P r og r am m i n g , U .S .S .R . C om p u t . M at h. P hy s . 7 , p p . 2 0 0 -2 1 7 .

8 . C har n e s A ., B r oc ke t t P . an d L i S u n , " A C han c e C on s t r ai n e d P r og r am m i n g A p p r oac h t o P e n s i on P lan M an ag e m e n t " , C C S R e s e ar c h R e p or t 7 0 1 , C e n t e r f or C y b e r n e t i c S t u d i e s , 1 9 9 1 , 3 7 p ag e s . 9 . C har n e s , A . an d C oop e r , W .W ., " D e t e r m i n i s t i c E q u i v ale n t s f or O p t i m i z i n g S at i s f y i n g u n d e r C han c e C on s t r ai n t s " , O p e r at i on s R e s e ar c h 1 1 , 1 9 6 3 , p p .1 8 -3 9 . an d 1 0 . C har n e s , A . an d C oop e r , W .W ., C han c e C on s t r ai n e d P r og r am m i n g , M an ag e m e n t S c i e n c e 6 , 1 9 5 9 , p p .8 9 .

1 1 . C s i s z r , I ., A n E x t e n d e d M ax i m u m E n t r op y P r i n c i p le an d a B ay e s i an J u s t i f i c at i on B ay e s i an S t at i s t i c s 2 (E d s J .M .B e r n ar d o e t c ) , N or t h H ollan d , A m s t e r d am , 1 9 8 5 , p p .8 3 -8 9 . 1 2 .C s is z r , I ., E n t r p i am ax i m ali z l s s R okon A lg or i t m u s ok , S z i g m a X X I V 3 -4 , 1 9 9 3 , p p .1 1 1 -1 3 7 . M d s z e r e k: 1 3 . C s i s z r , I ., I n f or m at i on -T y p e M e as u r e s of D i f f e r e n c e of P r ob ab i li t y D i s t r i b u t i on an d I n d i r e c t O b s e r v at i on s , S t u d i a S c i . M at h. H u n g ar . 2 , 1 9 6 7 , p p . 2 9 9 -3 1 8 .

A x i om at i ka,

1 4 . C s i s z r , I ., W hy L e as t S q u ar e s an d M ax i m u m E n t r op y ? A n A x i om at i c A p p r oac h t o I n f e r e n c e f or L i n e ar I n v e r s e P r ob le m s , T he A n n als of S t at i s t i c s , V ol. 1 9 , N o.4 ., 1 9 9 1 p p . 2 0 3 2 -2 0 6 6 .

5 1
1 5 . D an t z i g , G .B ., " L i n e ar P r og r am m i n g an d E x t e n s i on s " , P r i n c e t on U n i v e r s i t y P r e s s , P r i n c e t on , 1 9 6 3 . f or F lood P r e v e n t i on , E c on om e t r i c a N or m al P r ob ab i li t i e s , N u m e r i s c he

1 6 . D an t z i g , G .B ., " L i n e ar P r og r am m i n g u n d e r U n c e r t ai n t y " , M an ag e m n t S c i e c e 1 , 1 9 5 5 , p p . 1 9 7 -2 0 6 . 1 7 . D an t z i g , G .B ., : E c on om i c D e c i s i on P r ob le m 2 4 , 1 9 5 6 , p p . 2 7 6 -2 8 7 . 1 8 . D e k, I ., T hr e e D i g i t A c c u r at e M at he m at i k 3 5 , 1 9 8 0 , p p . 3 6 9 -3 8 0 . M u lt i p le

2 0 . E d e n , Y an d Y . K ahan e , M or al H az ar d an d I n s u r an c e M ar ke t S t r u c t u r e , i n : R i s k, I n f or m at i on an d I n s u r an c e e d . H . L ou b e r g , K lu w e r A c ad e m i c P u b li s he r s , 1 9 9 0 , p p . 1 4 3 -1 6 3 . 2 1 . E r m oli e v , Y u an d W e t s , R .J -B .(e d s .) , " N u m e r i c al T e c hn i q u e s O p t i m i z at i on " S p r i n g e r -V e r lag , B e r li n , 1 9 8 8 . f or S t oc has t i c 2 2 . E v an s , T he C ali b r at i on of T r i p D i s t r i b u t i on M od e ls w i t h E x p on e n t i al or S i m i lar C os t F u n c t i on , T r an s p or t at i on R e s e ar c h 5 , 1 9 7 1 , p p . 1 5 -3 8 . a P r ob ab le

1 9 . D e k I ., C om p u t i n g P r ob ab i li t i e s of r e c t an g le s i n C as e of M u lt i d i m e n s i on al D i s t r i b u t i on s , J ou r n al of S t at i s t i c al C om p u t at i on an d S i m u lat i on 2 6 , 1 9 8 6 , p p . 1 0 1 1 1 4 .

2 3 . F i s hb u r n , P .C ., " F ou n d at i on of R i s k M an ag e m e n t : R i s k as M an ag e m e n t S c i e n c e 3 0 , 1 9 8 4 , p p . 3 9 6 -4 0 6 .

L os s " ,

2 4 . I u s e m , A .N ., S v ai t e r , B .F . an d M . T e b ou lle , E n t r op y -li ke P r ox i m al M e t hod s i n C on v e x P r og r am m i n g , M at he m at i c s of O p e r at i on s R e s e ar c h v ol. 1 9 , N o 4 , 1 9 9 4 , p p . 7 9 0 -8 1 4 . 2 5 . K all, P ., " S t oc has t i c L i n e ar P r og r am m i n g " , S p r i n g e r -V e r lag , B e r li n , 1 9 7 6 . 2 6 . K at aoka, S ., A 1 9 6 . p r og r am oz s s n h n y alkalm az s a , M T A S t oc has t i c P r og r am m i n g M od e l , E c on om e t r i c a 3 1 , 1 9 6 3 , p p . 1 8 1 S Z T A K I

3 1 . K om r om i , ., I n f or m c i e lm le t i M d s z e r e k a B i z t os t s b an , S z i g m a X X V I I 3 , 1 9 9 6 , p p . 1 0 9 -1 2 2 .

3 0 . K om r om i , ., A D u al M e t hod f or P r ob ab i li s t i c M at he m at i c al P r og r am m i n g S t u d y 2 8 , 1 9 8 6 , p p .9 4 -1 1 2 .

2 9 . K om r om i , ., " P r ob ab i li s t i c C on s t r ai n t s i n P r i m al an d D u al L i n e ar P r og r am s : D u ali t y R e s u lt s " , J ou r n al of O p t i m i z at i on T he or y an d A p p li c at i on s 7 5 , 1 9 9 2 , p p . 5 8 7 6 0 2 . C on s t r ai n e d P r ob le m s ,

2 8 . K le i n H an e v e ld , W .K ., D u ali t y i n S t oc has t i k L i n e ar an d D y n am i c P r og r am m i n g , L e c t u r e N ot e s i n E c on om i c s an d M at he m at i c al S y s t e m s 2 7 4 , S p r i n g e r -V e r lag , 1 9 8 6 .

2 7 . K laf s z ky , G e om e t r i ai T an u lm n y ok 8 , 1 9 7 3 .

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3 2 . L i , S . X ., A S at i s f i c i n g C han c e C on s t r ai n e d M od e l i n t he P or t f oli o S e le c t i on of I n s u r an c e L i n e s an d I n v e s t m e n t s , J ou r n al of t he O p e r at i on al R e s e ar c h S oc i e t y , 1 9 9 5 , p p .1 1 1 1 -1 1 2 0 . 3 3 . M an g as ar i an , O .L ., N on li n e ar P r og r am m i n g , M c G r aw -H i ll, N e w Y or k, 1 9 6 9 . 3 4 . M ar t i , K ., K on v e x i t t s au s s ag e n z u m li n e ar e n s t oc has t i s c he n O p t i m i e r u n g s p r ob le m , Z . W ahr s c he i n li c hke i t s t he or i e u . v e r w . G e b . 1 8 , 1 9 7 1 , p p . 1 5 9 -1 6 6 .

3 6 . M ay e r , J ., S t oc has t i c L i n e ar P r og r am m i n g A lg or i t hm s , G or d on an d B r e ac h S c i e n c e P u b li s he r s , 1 9 9 8 . 3 7 . M c C ab e , G .B . an d W i t t , R .C ., " I n s u r an c e P r i c i n g an d R e g u lat i on U n d e r U n c e r t ai n t y : A C han c e C on s t r ai n e d A p p r oac h" , T he J ou r n al of R i s k an d I n s u r an c e 4 7 , 1 9 8 0 , p p . 6 0 7 -6 3 5 . 3 8 . M i lle r , L .B ., an d H .W ag n e r , C han c e -C on s t r ai n e d P r og r am m i n g C on s t r ai n t s , O p e r at i on s R e s e ar c h 1 3 , 1 9 6 5 , p p .9 3 0 -9 4 5 .

3 5 . M ay e r , J ., P r ob ab i li s t i c C on s t r ai n e d P r og r am m i n g : A R e d u c e d G r ad i e n t A lg or i t hm I m p le m e n t e d on P C , I I A S A W or ki n g P ap e r , W P -8 8 -3 9 , 1 9 8 8 .

w i t h J oi n t

4 2 . P r at t , J .W ., R i s k A v e r s i on i n t he S m all an d i n t he L ar g e , E c on om e t r i c a 3 2 (1 -2 ) , 1 9 6 4 , p p . 1 2 2 -1 3 6 . 4 4 . P r kop a, A ., C on t r i b u t i on s t o t he T he or y of S t oc has t i c P r og r am m i n g , M at he m at i c al P r og r am m i n g 4 , 1 9 7 3 , p p . 2 0 2 -2 2 1 . 4 3 . P an n e , C ., v an d e , an d W . P op p , M i n i m u m C os t C at t le F e e d u n d e r P r ob ab i li s t i c P r ob le m C on s t r ai n t , M an ag e m e n t S c i e n c e 9 , 1 9 6 3 , p p . 4 0 5 -4 3 0 .

4 1 . P an n e , C ., v an d e , an d W . P op p , M i n i m u m C os t C at t le F e e d u n d e r P r ob ab i li s t i c P r ob le m C on s t r ai n t , M an ag e m e n t S c i e n c e 9 , 1 9 6 3 , p p . 4 0 5 -4 3 0 .

4 0 . M os kov i t z an d B lu m , " D e c i s i on an d R i s k A n aly s i s " , E u r op e an J ou r n al of O p e r at i on al R e s e ar c h 2 8 , 1 9 8 7 , p p . 2 4 7 -2 6 0 .

3 9 . M or i t a, H ., " S t oc has t i c L i n e ar K n ap s ac k P r og r am m i n g P r ob le m an d i t s A p p li c at i on t o a P or t f oli o S e le c t i on P r ob le m " , E u r op e an J ou r n al of O p e r at i on al R e s e ar c h 4 0 , 1 9 8 9 , p p . 3 2 9 -3 3 6 .

4 5 . P r kop a, A ., S . G an c z e r , I . D e k, K . P at y i , T he S T A B I L S t oc has t i c P r og r am m i n g M od e l an d i t s E x p e r i m e n t al A p p li c at i on t o t he E le c t r i c i t y P r od u c t i on i n H u n g ar y , i n : S t oc has t i c P r og r am m i n g (M .A .H . D e m p s t e r , e d .) , A c ad e m i c P r e s s , L on d on , 1 9 8 0 , p p . 3 6 9 -3 8 5 . 4 6 . P r kop a, A ., L og ar i t hm i c C on c av e M e as u r e s an d R e lat e d T op i c s , i n : S t oc has t i c P r og r am m i n g (M .A .H . D e m p s t e r , e d .) , A c ad e m i c P r e s s , L on d on , 1 9 8 0 , p p .6 3 -8 2 . 4 7 . P r kop a, A ., N u m e r i c al S olu t i on of P r ob ab i li s t i c C on s t r ai n e d P r og r am m i n g P r ob le m s , i n : N u m e r i c al T e c hn i q u e s f or S t oc has t i c O p t i m i z at i on ( Y .E r m oli e v an d R .J -B . W e t s , e d .) , S p r i n g e r -V e r lag , 1 9 8 8 , p p . 1 2 3 -1 3 9 .

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4 8 . P r kop a, A . " D u al M e t hod f or a O n e -S t ag e S t oc has t i c P r og r am m i n g P r ob le m w i t h R an d om R H S O b e y i n g a D i s c r e t e P r ob ab i li t y D i s t r i b u t i on " , Z O R -M e t hod s an d M od e ls of O p e r at i on s R e s e ar c h 3 4 , 1 9 9 0 , p p .4 4 1 -4 6 1 . s K lu w e r A c ad e m i c

4 9 . P r kop a, A , " S t oc has t i c P r og r am m i n g " , A kad m i a K i ad P u b li s he r s , B u d ap e s t , 1 9 9 5 .

5 0 . R n y i , A ., O n M e as u r e s of E n t r op y an d I n f or m at i on , i n P r oc e e d i n g s F ou r t h B e r ke le y S y m p os . M at h. S t at i s . P r ob le m s , V ol. 1 , U n i v . of C ali f or n i a P r e s s , 1 9 6 1 , p p .5 4 7 -5 6 1 .

5 1 . R oc kaf e llar , R .T . an d W e t s , R . J -B ., " S c e n ar i os an d P oli c y A g g r e g at i on i n O p t i m i z at i on u n d e r U n c e r t ai n t y " , M at he m at i c s of O p e r at i on s r e s e ar c h 1 6 , 1 9 9 1 , p p . 1 1 9 -1 4 7 . 5 2 . R oy , S af e t y F i r s t an d t he H old i n g of A s s e t s , E c on om e t r i c a 2 0 , 1 9 5 2 , p p . 4 3 1 -4 4 9 . 5 3 . S e n g u p t a, J . K ., " S t oc has t i c H ollan d , A m s t e r d am , 1 9 7 2 . P r og r am m i n g , M e t hod s in S t oc has t i c an d M od e ls A p p li c at i on s " , N or t h-

5 6 . S z n t ai , T ., A C om p u t e r C od e f or S olu t i on of P r ob ab i li s t i c C on s t r ai n e d S t oc has t i c P r og r am m i n g P r ob le m s , I n : N u m e r i c al T e c hn i q u e s f or S t oc has t i c O p t i m i z at i on (Y . E r m oli e v an d R .J . - B . W e t s , e d s ) , S p r i n g e r -V e r lag , N e w Y or k, 1 9 8 8 , p p . 2 2 9 -2 3 5 . 5 7 . T hom p s on , H .E ., M at t he w s , J .P ., an d B .C .L . L i , I n s u r an c e E x p os u r e an d I n v e s t m e n t R i s ks : A n A n aly s i s U s i n g C han c e -C on s t r ai n e d P r og r am m i n g , O p e r at i on s R e s e ar c h 2 2 , 1 9 7 4 , p p . 9 9 1 -1 0 0 7 . 5 8 . W e t s , R . J -B ., " C halle n g e s i n S t oc has t i c P r og r am m i n g " , M at he m at i c al P r og r am m i n g 7 5 , 1 9 9 6 , p p . 1 1 5 -1 3 5 .

5 5 . S z n t ai T ., E v alu at i on of a S p e c i al M u lt i v ar i at e M at he m at i c al P r og r am m i n g S t u d y 2 7 , 1 9 8 6 , p p . 1 -1 6 .

5 4 . S e n g u p t a, J .K ., " D e c i s i on A m s t e r d am , 1 9 8 2 .

P r og r am m i n g " , N or t h-H ollan d , G am m a D i s t r i b u t i on ,