A One-Layer Recurrent Neural Network for Constrained Pseudoconvex Optimization and its Application for Dynamic Portfolio Optimization

Abstract

In this paper, a one-layer recurrent neural network is proposed for solving pseudoconvex optimization problems subject to linear equality and bound constraints. Compared with the existing neural networks for optimization (e.g., the projection neural networks), the proposed neural network is capable of solving more general pseudoconvex optimization problems with equality and bound constraints. Moreover, it is capable of solving constrained fractional programming problems as a special case. The convergence of the state variables of the proposed neural network to achieve solution optimality is guaranteed as long as the designed parameters in the model are larger than the derived lower bounds. Numerical examples with simulation results illustrate the effectiveness and characteristics of the proposed neural network. In addition, an application for dynamic portfolio optimization is discussed.

Department(s)

Computer Science

Keywords and Phrases

Convergence; Differential Inclusion; Lyapunov Function; Pseudoconvex Optimization; Recurrent Neural Networks

International Standard Serial Number (ISSN)

0893-6080

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2012 Elsevier, All rights reserved.

Publication Date

01 Feb 2012

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