| 非线性优化问题与资源影子价格分析 |
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| 引用本文： | 徐凤,杨桂元.非线性优化问题与资源影子价格分析[J].价值工程,2009,28(5):136-140. |
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| 作者姓名： | 徐凤 杨桂元 |
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| 作者单位： | 安徽财经大学数量经济研究所,蚌埠,233030 |
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| 基金项目： | 安徽省教育厅自然科学研究项目 |
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| 摘 要： | 首先,对条件极值问题中资源的影子价格进行了讨论,根据数学规划的Kuhn-Tucker条件,得出条件极值问题中的影子价格也表现为边际利润(拉格朗日乘子)。然后,讨论一般非线性规划问题中资源的影子价格和影子成本,并用证券投资组合优化模型为案例对收益率的边际成本(风险)进行分析。
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| 关 键 词： | 非线性规划 影子价格 灵敏度分析 资源配置 拉格朗日乘子 |
Analysis of Non-linear Programming and Resources Shadow Price |
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| Xu Feng,Yang Guiyuan.Analysis of Non-linear Programming and Resources Shadow Price[J].Value Engineering,2009,28(5):136-140. |
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| Authors: | Xu Feng Yang Guiyuan |
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| Institution: | Institute of Economic Quantity;Anhui University of Finance and Economics;Anhui Bengbu 233030 |
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| Abstract: | This article first discusses the shadow price of resources in extremum problems with conditions.According to Kuhn-Tucker conditions of the mathematical programming,the author points out that the shadow price of extremum problems with conditions is also marginal profit(Lagrange multipliers).After the shadow price and shadow cost in general non-linear programming problems being discussed,the author analyses the marginal cost(risk)of yield by adopting portfolio case. |
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| Keywords: | non-linear programming shadow price sensitivity analysis resources allocation Lagrange Multiplier |
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