Abstract
It is important that the limited amount of investing funds should be efficiently allocated to many stocks so as to reduce its risk. This problem is formulated as a mixed integer programming problem. However, it is not so easy to solve the mixed integer programming problem because of its combinatorial nature. Therefore, an efficient approximate method is required to solve a large-scale mixed integer programming problem. In this paper we propose a Meta-controlled Boltzmann machine to obtain an approximate solution of the large-scale mixed integer programming problem.
This research was supported in part by Grant-in Aid for Scientific Research(C-2); Grant No.11680459 of Ministry of Education of Science, Sports and Culture.
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© 2003 Springer-Verlag Berlin Heidelberg
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Watada, J., Watanabe, T. (2003). Solving Portfolio Problems Based on Meta-Controled Boltzmann Machine. In: Multi-Objective Programming and Goal Programming. Advances in Soft Computing, vol 21. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-36510-5_39
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DOI: https://doi.org/10.1007/978-3-540-36510-5_39
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-00653-4
Online ISBN: 978-3-540-36510-5
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