org.akutan.optimization
Class TutuncuKoenigExample

java.lang.Object
  org.akutan.optimization.RobustOptimization
      org.akutan.optimization.TutuncuKoenigExample

public class TutuncuKoenigExample
extends RobustOptimization

This example attempts to replicate the example from Tutuncu and Koenig, this is the naive example with a box constraint on the mean and covariance and we assume the worst case for all means and covariances simultaneously.

Since:

20 Nov 2007

Constructor Summary

TutuncuKoenigExample()

Method Summary

java.lang.String[]	getAssets()
cern.colt.matrix.DoubleMatrix1D	getMean()
cern.colt.matrix.DoubleMatrix1D	getMeanL()
cern.colt.matrix.DoubleMatrix2D	getVar()
cern.colt.matrix.DoubleMatrix2D	getVarH()
static void	main(java.lang.String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

TutuncuKoenigExample

public TutuncuKoenigExample()

Method Detail

getAssets

public java.lang.String[] getAssets()

getMean

public cern.colt.matrix.DoubleMatrix1D getMean()

getMeanL

public cern.colt.matrix.DoubleMatrix1D getMeanL()

getVar

public cern.colt.matrix.DoubleMatrix2D getVar()

getVarH

public cern.colt.matrix.DoubleMatrix2D getVarH()

main

public static void main(java.lang.String[] args)