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One-Way Trading Problems via Linear Optimization
http://hdl.handle.net/10091/0002001214
http://hdl.handle.net/10091/000200121401727d6a-760d-40df-8d51-f6fae54b1046
名前 / ファイル | ライセンス | アクション |
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Item type | 学術雑誌論文 / Journal Article(1) | |||||||||||
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公開日 | 2022-10-24 | |||||||||||
タイトル | ||||||||||||
タイトル | One-Way Trading Problems via Linear Optimization | |||||||||||
言語 | ||||||||||||
言語 | eng | |||||||||||
DOI | ||||||||||||
関連タイプ | isIdenticalTo | |||||||||||
関連識別子 | https://doi.org/10.15807/jorsj.63.1 | |||||||||||
関連名称 | 10.15807/jorsj.63.1 | |||||||||||
キーワード | ||||||||||||
主題 | Linear programming, algorithm, optimization, finance, economics | |||||||||||
資源タイプ | ||||||||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||||||||
タイプ | journal article | |||||||||||
著者 |
Fujiwara, Hiroshi
× Fujiwara, Hiroshi
× Araki, Naohiro
× Yamamoto, Hiroaki
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信州大学研究者総覧へのリンク | ||||||||||||
氏名 | 藤原, 洋志 | |||||||||||
URL | https://soar-rd.shinshu-u.ac.jp/profile/ja.OmSVOFnU.html | |||||||||||
信州大学研究者総覧へのリンク | ||||||||||||
氏名 | 山本, 博章 | |||||||||||
URL | https://soar-rd.shinshu-u.ac.jp/profile/ja.ONfpOCSh.html | |||||||||||
引用 | ||||||||||||
内容記述 | Journal of the Operations Research Society of Japan 63(1) : 1-30(2020) | |||||||||||
書誌情報 |
Journal of the Operations Research Society of Japan 巻 63, 号 1, p. 1-30, 発行日 2020-01-31 |
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抄録 | ||||||||||||
内容記述 | In the one-way trading problem, we are asked to convert dollars into yen only by unidirectional conversions, while watching the exchange rate that fluctuates along time. The goal is to maximize the amount of yen we finally get, under the assumption that we are not informed of when the game ends. For this problem, an optimal algorithm was proposed by El-Yaniv et al. In this paper we formulate this problem into a linear optimization problem (linear program) and reduce derivation of an optimal algorithm to solving the linear optimization problem. This reveals that the optimality of the algorithm follows from the duality theorem. Our analysis demonstrates how infinite-dimensional linear optimization helps to design algorithms. | |||||||||||
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ISSN | ||||||||||||
収録物識別子タイプ | EISSN | |||||||||||
収録物識別子 | 2188-8299 | |||||||||||
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収録物識別子タイプ | NCID | |||||||||||
収録物識別子 | AA00703935 | |||||||||||
権利 | ||||||||||||
権利情報 | © 2020 The Operations Research Society of Japan | |||||||||||
出版タイプ | ||||||||||||
出版タイプ | VoR | |||||||||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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Cite as
Fujiwara, Hiroshi, Araki, Naohiro, Yamamoto, Hiroaki, 2020, One-Way Trading Problems via Linear Optimization: 1–30 p.
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