数学建模：线性规划模型基本原理与案例分享

weixin_62549128

已于 2023-05-27 08:54:26 修改

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分类专栏：数学建模文章标签：数学建模

于 2023-05-26 16:58:05 首次发布

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>> f=[-2;-3;5];
>> a=[-2,5,-1;1,3,1];b=[-10;12];aeq=[1,1,1];beq=7;
>> [x,y]=linprog(f,a,b,aeq,beq,zeros(3,1));
>> x,y=-y

最大化收益率、最小化风险

投入资金为M、每一项大于等于0

分险减收益最小，分险小收益大赔的少

关注两个拐点，分险在0.006之前，收益率快速上升，

分险在0.006---0.025之间，收益率匀速上升，超过0.025，收益率不变

>> clear all
>> f=[0.25-1,0.5-1.65,0.0321*7-1,0.0321*9-1.65,0.0321*12-2.3,6/16,0.5,783*4/7000,783*11/7000,0.35];
a=[5,0,10,0,0,0,0,0,0,0;0,0,7,9,12,0,0,0,0,0;0,0,0,0,0,6,8,0,0,0;0,0,0,0,0,0,0,4,11,0;0,0,0,0,0,0,0,0,0,7];
b=[6000;10000;4000;7000;4000];
aeq=[1,0,1,0,0,-1,0,-1,0,-1;0,1,0,1,0,0,-1,0,0,0;0,0,0,0,1,0,0,0,-1,0];
beq=[0;0;0];
>> lb=zeros(10,1)

lb =

     0
     0
     0
     0
     0
     0
     0
     0
     0
     0

>> [x,y]=linprog(f,a,b,aeq,beq,lb);
x,y=-y

Optimal solution found.


x =

   1.0e+03 *

    1.2000
         0
         0
    0.5000
    0.4078
         0
    0.5000
    0.6286
    0.4078
    0.5714


y =

   1.1284e+03

minimize 15*x1 + 18*x2 + 21*x3 + 24*x4 +19*x5 + 23*x6 + 22*x7 
+ 18*x8 +26*x9 + 17*x10 + 16*x11 + 19*x12 +19*x13 + 21*x14 
+ 23*x15 + 17*x16
subject to x1 + x2 + x3 + x4 = 1
	x5 + x6 + x7 + x8 = 1
	x9 + x10 + x11 + x12 = 1
	x13 + x14 + x15 + x16 = 1
	x1 + x5 + x9 + x13 = 1
	x2 + x6 + x10 + x14 = 1
	x3 + x7 + x11 + x15 = 1
	x4 + x8 + x12 + x16 = 1	
	x1 >= 0
	x2 >= 0
	x3 >= 0
	x4 >= 0
	x5 >= 0
	x6 >= 0
	x7 >= 0
	x8 >= 0
	x9 >= 0
	x10 >= 0
	x11 >= 0
	x12 >= 0
	x13 >= 0
	x14 >= 0
	x15 >= 0
	x16 >= 0

f = [15; 18; 21; 24; 19; 23; 22; 18; 26; 17; 16; 19; 19; 21; 23; 17];
Aeq = [1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0;
       0, 0, 0, 0, 1, 1, 1, 1, 0, 0, 0, 0, 0, 0, 0, 0;
       0, 0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 0, 0, 0, 0;
       0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1;
       1, 0, 0, 0, 1, 0, 0, 0, 1, 0, 0, 0, 1, 0, 0, 0;
       0, 1, 0, 0, 0, 1, 0, 0, 0, 1, 0, 0, 0, 1, 0, 0;
       0, 0, 1, 0, 0, 0, 1, 0, 0, 0, 1, 0, 0, 0, 1, 0;
       0, 0, 0, 1, 0, 0, 0, 1, 0, 0, 0, 1, 0, 0, 0, 1];
beq = [1; 1; 1; 1; 1; 1; 1; 1];
lb = zeros(16, 1);
[x, fval, exitflag] = linprog(f, [], [], Aeq, beq, lb);