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A METHOD FOR PROVIDING OPTIMAL DECISION MAKING IN FINANCE

IP.com Disclosure Number: IPCOM000015896D
Original Publication Date: 2002-Oct-22
Included in the Prior Art Database: 2003-Jun-21

Publishing Venue

IBM

Abstract

Post Disclosure Text Drawings Enter any additional information relating to this disclosure below: Disclosed is a computer method and a system for providing a solution to the problem of optimizing financial decisions, subject to given financial measurement constraints. The problem can be described as a general (non-convex) min-max problem in the realm of constrained optimization problems. The invention is introduced by first setting forth the following known construct: given a function y f(x,c) c1x1 c2x2, where x is a set of independent variables x {x1,x2}, and x1 x2 are subsets of x, c {c1,c2} is a set of functional parameters, partitioned into two subsets c1 and c2, and y is a dependent variable, it is desired to minimize (over x2) the maximum (over x1) of y, subject to a linear constraint: A12x1+A21x2 b12, where A12, A21 are sub-matrices of matrix A, and b12 is a vector. This means, finding appropriate values for vectors c1 and c2, so as to solve: Min {c2x2 Max c1x1}, subject to: A12x1 +A21x2 b12.