Case Study: Risk Identifier Visualization for Extended ϕ-divergence Quadrangle

Instructions for optimization with PSG Run-File, PSG MATLAB Toolbox, PSG MATLAB Subroutines and PSG R.

PROBLEM 1: Markowitz_portfolio_optimization
minimize
10*st_dev(matrix_scenario)
linear(matrix_loss)
Constraint: =1
linear(matrix_budget_constraint)
Solver: BULDOZER, precision = 9, timelimit = 120

# of VariablesObjective ValueSolving Time,
PC 2GHz (sec)
CodeDataSolution
28.45331523703E+000.01R codeDataSolution

PROBLEM 2: Least_squares_regression
minimize
meansquare(matrix_scenario)

# of VariablesObjective ValueSolving Time,
PC 2GHz (sec)
CodeDataSolution
27.672769701513E-010.01R codeDataSolution

PROBLEM 3: Large_margin_distribution_machine
minimize
0.1*st_dev(matrix_scenario)
avg(matrix_scenario)
polynom_abs(matrix_objcoef)
Solver: VAN, precision = 9, timelimit = 120

# of VariablesObjective ValueSolving Time,
PC 2GHz (sec)
CodeDataSolution
3-1.672933481718E-020.01R codeDataSolution