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发帖数: 2 | 1 rt：说是用supermodularity可以解，完全困惑中，求大侠！
Suppose you have D units available for investment. During each of N time
periods, an investment opportunity arises with probability p. If the
opportunity occurs, you have to decide how much of the remaining wealth to
invest. If you invest y, then a return R(y) is earned at the end of the
horizon. Assuming that both the amount invested and the return become
unavailable for investment, the problem is to decide how much to invest at
each opportunity to maximize the total expected return. Assume that R(y)
is a non-decreasing, cont. differentiable, concave function with R(0) = 0.
(a) Prove that the optimal policy has the following intuitive properties:
“The more one has, the more one should invest”
“The more time one has, the less one should invest”
(b) Suppose you know there are exactly K<=N opportunities to invest. How
much do you invest each time? Justify your answer. | G*****9
发帖数: 3225 | 2 这是什么公司的面试题？肯定不是银行或是投行。这种OR模型其实没有什么用。也就是
Hotel或是航空公司或许用。告诉我公司，我跟你说答案。呵呵。 |
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