投资策略—运筹学—陈政.doc

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1、信息与管理科学学院管理科学09-1班管理运筹学姓名：陈政辉学号：0910105012案例.投资策略设三种投资基金的数量分配分别为x1,x2,x3，其单位为1000000（百万）。投资方案为一下：目标函数：maxz=0.18x1+0.125x2+0.075x3<1>约束方程为：X1+x2+x3<=0.8X1>=0.16X1<=0.32X2>=0.16X2<=0.4X3>=0.240.125x1+0.0875x2+0.0125x3=0.05X1,x2,x3>=0**********************最优

2、解如下*************************目标函数最优值为:.094145变量最优解相差值-----------------------x1.2490x2.160x3.3910约束松弛/剩余变量对偶价格----------------------------10.0632.07103.08904.24050-.026.151070.933目标函数系数范围:变量下限当前值上限-------------------------------x1.15.18.75x2无下限.125.145x3.01

3、8.075无上限常数项数范围:约束下限当前值上限-------------------------------1.664.81.62.249.32无上限3无下限.16.2494.16.4无上限5.053.16.2936无下限.24.3917.04.05.058<2>目标函数：maxz=0.18x1+0.125x2+0.075x3约束方程为：X1+x2+x3<=0.8X1>=0.16X1<=0.32X2>=0.16X2<=0.4X3>=0.240.125x1+0.0875x2+0.0125x3=0.055X

4、1,x2,x3>=0**********************最优解如下*************************目标函数最优值为:.098765变量最优解相差值-----------------------x1.2930x2.160x3.3470约束松弛/剩余变量对偶价格----------------------------10.0632.02703.13304.24050-.026.107070.933目标函数系数范围:变量下限当前值上限--------------------------

5、-----x1.15.18.75x2无下限.125.145x3.018.075无上限常数项数范围:约束下限当前值上限-------------------------------1.704.822.293.32无上限3无下限.16.2934.16.4无上限5.12.16.366无下限.24.3477.04.055.058<3>目标函数：maxz=0.14x1+0.125x2+0.075x3约束方程为：X1+x2+x3<=0.8X1>=0.16X1<=0.32X2>=0.16X2<=0.4X3>=0.240

6、.125x1+0.0875x2+0.0125x3=0.055X1,x2,x3>=0**********************最优解如下*************************目标函数最优值为:.08505变量最优解相差值-----------------------x1.160x2.2930x3.3470约束松弛/剩余变量对偶价格----------------------------10.06720-.013.1604.13305.10706.107070.667目标函数系数范围:变量下限当

7、前值上限-------------------------------x1无下限.14.15x2.118.125.525x3.018.075.095常数项数范围:约束下限当前值上限-------------------------------1.709.81.62.089.16.2493.16.32无上限4无下限.16.2935.293.4无上限6无下限.24.3477.04.05.058<4>目标函数：maxz=0.18x1+0.125x2+0.075x3约束方程为：X1+x2+x3<=0.8X1-x2

8、<=0X3>=0.24X1>=0.16X1<=0.32X2>=0.16X2<=0.40.125x1+0.0875x2+0.0125x3=0.05X1,x2,x3>=0**********************最优解如下*************************目标函数最优值为:.09294变量最优解相差值-----------------------x1.2130x2.2130x3.3730约束松弛/剩余变量对偶价格