A NEW HYBRID PRP-MMSIS CONJUGATE GRADIENT METHOD AND ITS APPLICATION IN PORTOFOLIO SELECTION
نویسندگان
چکیده
In this paper, we propose a new hybrid coefficient of conjugate gradient method (CG) for solving unconstrained optimization model. The is combination part the MMSIS (Malik et.al, 2020) and PRP (Polak, Ribi'ere \& Polyak, 1969) coefficients. Under exact line search, search direction satisfies sufficient descent condition based on certain assumption, establish global convergence properties. Using some test functions, numerical results show that proposed more efficient than method. Besides, can be used to solve problem in minimizing portfolio selection risk .
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ژورنال
عنوان ژورنال: Jurnal Riset dan Aplikasi Matematika (JRAM)
سال: 2021
ISSN: ['2581-0154']
DOI: https://doi.org/10.26740/jram.v5n1.p47-59