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天津市自然科学基金(07JCYBJC05200): 作品数：15被引量：42H指数：4; 导出分析报告; 相关作者：荣喜民赵慧黄正海李楠孙维伟更多>>; 相关机构：天津大学中国科学院数学与系统科学研究院更多>>; 相关期刊：《Science China Mathematics》《数学的实践与认识》《统计与决策》《Acta Mathematicae Applicatae Sinica》更多>>; 相关主题：VARLORENTZHILBERT_SPACESCONEGLOBAL_CONVERGENCE更多>>; 相关领域：理学经济管理自动化与计算机技术矿业工程更多>>

Optimal investment for the defined-contribution pension with stochastic salary under a CEV model被引量：5: 《Applied Mathematics(A Journal of Chinese Universities)》2013年第2期187-203,共17页ZHANG Chu-bing RONG Xi-min ZHAO hui HOU Ru-jing; Supported by the National Natural Science Foundation of Tianjin (07JCYBJC05200);the Young Scholar Program of Tianjin University of Finance and Economics (TJYQ201201); In this paper, we study the optimal investment strategy of defined-contribution pension with the stochastic salary. The investor is allowed to invest in a risk-free asset and a risky asset whose price process follows ...; 关键词：Defined contribution pension plan Stochastic salary constant elasticity of variance model optimal investment

GUS-property for Lorentz cone linear complementarity problems on Hilbert spaces被引量：3: 《Science China Mathematics》2011年第6期1259-1268,共10页MIAO XinHe HUANG ZhengHai; supported by National Natural Science Foundation of China(Grant No. 10871144);the Natural Science Foundation of Tianjin Province (Grant No. 07JCYBJC05200); Given a real(finite-dimensional or infinite-dimensional) Hilbert space H with a Jordan product,we consider the Lorentz cone linear complementarity problem,denoted by LCP(T,Ω,q),where T is a continuous linear operator...; 关键词：Lorentz cone linear complementarity problem Jordan product Lorentz cone

Properties of a family of merit functions and a merit function method for the NCP: 《Applied Mathematics(A Journal of Chinese Universities)》2010年第4期379-390,共12页LU Li-yong HUANG Zheng-hai HU Sheng-long Department of Mathematics, School of Science, Tianjin University, Tianjin 300072, China; Supported by the National Natural Science Foundation of China(10871144);the Natural Science Foundation of Tianjin(07JCYBJC05200); A family of merit functions are proposed, which are the generalization of several existing merit functions. A number of favorable properties of the proposed merit functions are established. By using these properties, ...; 关键词：Nonlinear complementarity problem NCP-function merit function merit function method.

Convergence of a Non-interior Continuation Algorithm for the Monotone SCCP被引量：3: 《Acta Mathematicae Applicatae Sinica》2010年第4期543-556,共14页Nan Lu Zheng-Hai Huang; supported by the National Natural Science Foundation of China (Grants No.10571134 and 10871144);the Natural Science Foundation of Tianjin (Grant No.07JCYBJC05200); It is well known that the symmetric cone complementarity problem（SCCP） is a broad class of optimization problems which contains many optimization problems as special cases.Based on a general smoothing function,we pr...; 关键词：Symmetric cone complementarity problem non-interior continuation method global linear convergence local quadratic convergence

Some ω-unique and ω-ΡProperties for Linear Transformations on Hilbert Spaces被引量：2: 《Acta Mathematicae Applicatae Sinica》2010年第1期23-32,共10页Xin-he Miao Zheng-hai Huang Ji-ye Han; Supported by the National Natural Science Foundation of China(No.10871144);the Natural Science Foundation of Tianjin(No.07JCYBJC05200); Given a real （finite-dimensional or infinite-dimensional） Hilbert space H with a Jordan product, we introduce the concepts of ω-unique and ω-P properties for linear transformations on H, and investigate some inter...; 关键词：Linear complementarity problem Jordan product Lorentz cone ω-P property column sufficient property ω-uniqueness property

保险索赔数据的统计分析被引量：1: 《统计与决策》2010年第3期134-137,共4页赵慧荣喜民; 国家社科基金资助项目(09CTJ001);天津市自然科学基金资助项目(07JCYBJC05200);南开大学天津大学刘徽应用数学中心资助项目(2001T08); 保险公司的索赔是影响其发展的重要因素,文章系统地分析了财产保险索赔数据。首先采用因子分析和K-均值聚类等方法研究了影响保险公司财产险索赔的潜在因素,建立了财产险索赔预警指标,并根据索赔额将财产保险分公司进行分类。同时利用...; 关键词：保险索赔重尾分布剩余风险均数因子分析 K-均值聚类

Multi-Period Model of Portfolio Investment and Adjustment Based on Hybrid Genetic Algorithm: 《Transactions of Tianjin University》2009年第6期415-422,共8页荣喜民卢美萍邓林; Supported by Natural Science Foundation of Tianjin (No 09JCYBJC01800, No07JCYBJC05200);Application Mathematic Center of Liu Hui, Nankai University and Tianjin University (No2001T08); This paper proposes a multi-period portfolio investment model with class constraints, transaction cost, and indivisible securities. When an investor joins the securities market for the first time, he should decide on ...; 关键词：PORTFOLIO transaction cost class constraint hybrid genetic algorithm

一类非单调二阶锥互补问题解集的非空性与有界性被引量：1: 《应用数学学报》2009年第6期961-968,共8页王勇黄正海; 国家自然科学基金(10871144);天津市自然科学基金(07JCYBJC05200)资助项目; 本文在二阶锥上引入一类新的映射,称之为笛卡尔P_*(κ)映射,它是单调映射的推广.文中讨论涉及这类映射的二阶锥互补问题的解的存在性和解集的有界性.主要结论为:如果所考虑的互补问题是严格可行的,那么它的解集是非空有界的.; 关键词：二阶锥互补问题笛卡尔R＊(κ)映射解的存在性解集的有界性

Convergence of a smoothing algorithm for symmetric cone complementarity problems with a nonmonotone line search被引量：12: 《Science China Mathematics》2009年第4期833-848,共16页HUANG ZhengHai HU ShengLong HAN JiYe; supported by National Natural Science Foundation of China (Grant Nos. 10571134, 10671010);Natural Science Foundation of Tianjin (Grant No. 07JCYBJC05200); In this paper, we propose a smoothing algorithm for solving the monotone symmetric cone complementarity problems (SCCP for short) with a nonmonotone line search. We show that the nonmonotone algorithm is globally conv...; 关键词：complementarity problem symmetric cone Euclidean Jordan algebra smoothing algorithm global convergence 90C25 90C33

一个求解对称锥互补问题的具有非单调线搜索的光滑算法的全局收敛性被引量：1: 《中国科学（A辑）》2009年第1期1-14,共14页黄正海胡胜龙韩继业; 国家自然科学基金(批准号：10571134，10671010);天津市自然科学基金(批准号：07JCYBJC05200)资助项目; 提出一个求解单调对称锥互补问题(简记为SCCP)的具有非单调线搜索的光滑算法,并且证明提出的算法在所求解问题的解集非空的条件下是全局收敛的.这样的假设比现有的大多数求解对称锥优化问题的算法中所使用的假设都要弱.最后在适当的条件...; 关键词：互补问题对称锥欧氏Jordon代数光滑算法全局收敛

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