Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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SOLVING NONLINEAR ASSET LIABILITY MANAGEMENT PROBLEMS WITH A PRIMAL-DUAL INTERIOR POINT NONMONOTONE TRUST REGION METHOD

  • Gu, Nengzhu (School of Business, University of Shanghai for Science and Technology) ;
  • Zhao, Yan (University of Shanghai Science and Technology)
  • Published : 2009.09.30
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Abstract

This paper considers asset liability management problems when their deterministic equivalent formulations are general nonlinear optimization problems. The presented approach uses a nonmonotone trust region strategy for solving a sequence of unconstrained subproblems parameterized by a scalar parameter. The objective function of each unconstrained subproblem is an augmented penalty-barrier function that involves both primal and dual variables. Each subproblem is solved approximately. The algorithm does not restrict a monotonic decrease of the objective function value at each iteration. If a trial step is not accepted, the algorithm performs a non monotone line search to find a new acceptable point instead of resolving the subproblem. We prove that the algorithm globally converges to a point satisfying the second-order necessary optimality conditions.

Keywords

References

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