org.akutan.optimization
Class TutuncuKoenigExample

java.lang.Object
  extended by org.akutan.optimization.RobustOptimization
      extended by 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)