On the solution of some (parametric) linear complementarity problems with applications to portfolio selection, structural engineering and actuarial graduation

J. S. Pang, I. Kaneko, W. P. Hallman

研究成果: Article査読

26 被引用数 (Scopus)

抄録

In this paper we discuss three applications of a class of (parametric) linear complementarity problems arising independently from such diverse areas as portfolio selection, structural engineering and actuarial graduation. After explaining how the complementarity problems emerge in these applications, we perform some analytical comparisons (based on operation counts and storage requirements) of several existing algorithms for solving this class of complementarity problems. We shall also present computational results to support the analytical comparisons. Finally, we deduce some conclusions about the general performance of these algorithms.

本文言語English
ページ(範囲)325-347
ページ数23
ジャーナルMathematical Programming
16
1
DOI
出版ステータスPublished - 1979 12 1

ASJC Scopus subject areas

  • ソフトウェア
  • 数学 (全般)

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