Scenario optimization

Details Scenario optimization Scenario optimization

1989-08-15

1992-09-15

Smith, Jerry

Boots, shoes, and leggings

364408, G06F 1520

Patent

active

051483653

ABSTRACT:
A method and apparatus are provided for optimally allocating available resources in a physical system defined by a mathematical model having parameters of uncertain values. The method comprises the steps of firstly assigning a value to each of the uncertain parameters in the mathematical model based on a scenario that may or is expected to occur. Thereafter, given the parameter values at each possible scenario, the mathematical model is solved to yield the best solution of the mathematical model for that scenario. Once this has been complete, a probability value representing the expected probability that the scenario will occur is assigned to each scenario solution. The scenario parameter values, scenario solutions and scenario probabilities are then used to determine a single solution to the mathematical model which best "fits" the desired system behavior under the uncertainty defined by all of the scenarios considered. The single solution is then used to allocate the resources in the system. The present method is particularly useful in modelling a target portfolio from a number of other financial instruments.

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patent: 4797839 (1989-01-01), Powell
patent: 4953085 (1990-08-01), Atkins

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