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2015

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298 c.

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c . ., 2015


1.
1.1. .
1.1.1. . .
1.2.
1.3. . . . . . .
1.3.1.
1.3.2. .
1.4. . . . . . . . . . . . . . . . .

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1
2
2
3
9
10
13
14

2.
17
2.1. . . . . . . . . . . . . . . 17
2.1.1. . . . . 17
2.1.2. . . . . . . . . . . . . . . . . . . . 21
2.1.3. . . . . . . . 23
2.1.4. . . . . . . . . . . . . . . . . . . . . . . . . 24
2.2. . . . . . . . . . . . . . . . 26
2.2.1. . . . . . . . . . . . . 26
2.2.2. . . . . . . . . . . . . . . . . . . . . . . . . . 29
2.2.3. . . . . . . . . . . . . . 31
2.3. . . . . . . . . . . . . . . . . . . . . 31
2.3.1. . . . . . . . . . . . . . . . . . . . . 32
2.3.2. . . . . . . . . . . . . . . . . . . . . 34
2.3.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
2.4. . . . 38
2.4.1. . . . . . . . . . . . . . . . . . . . 38
2.4.2. . . . . . . . . . . . . 40
2.4.3. . . . . . . . . . . . . . . . . . . 41
2.5. . . . . . . . . . . . . . . 44

ii

2.5.1.

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2.5.2. . . . . . . . . . . . . . . .
2.6. . . . . . . . . . . .
2.6.1. . . . . . . . . . . . . . . . . .
2.6.2. . . . .
2.6.3.
2.7. . . . . . . . . . . . . . . . . . . . . . . . .

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45
47
48
48
49
50
51

3.
3.1.
3.1.1. .
3.2. - . . . . . . . . . . . . . . . . . . .
3.2.1. - . . . . .
3.2.2. - . . . . .
3.3. . . . . . .
3.3.1. . . . . . . . . . . . . . . . . . .
3.3.2. . . . . . . . . . . .
3.3.3. . . . . . . . . . . . . . . . . . . . .
3.3.4. DEA . . . . . . . . . . . . . . . . . . .
3.3.5. . .
3.3.6. . . . . . . . . . . . . . . . .
3.4. . . . . . . . . . . . . . . . .
3.4.1. . . . . . . . . . . . . . . .
3.4.2. . . . . . . . . . . . . . . . .
3.4.3. . . . . . . . .
3.5. . . . . . . . . . . . . . . . . . . . . .

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54
57
59
61
62
64
67
67
68
72
73
75
77
78
79
82
84
86

4.
4.1. . . . . . . . . . . . .
4.2. . . . . .
4.2.1. . . . . . . . . . . . . . . .
4.2.2. . . . . . . . . . . . . . . .
4.3. . .
4.3.1. . . . . . . . . . . . . . . . . . . . . .
4.4.
4.5. . . . .
4.6. . . .
4.6.1. . . . . . . . . . . . . . . . . .
4.7. . . . . . . . . . . . . . . . . . . . .

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97
97
98
98
99
102
104
105
106
107
108
110

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iii

5. -
5.1. . . . . . . . . . . . . . . . . .
5.1.1. . . . . . . . . . . . . . . . . . . . .
5.1.2. . . . . . . . . . . . . . . . . . . . .
5.1.3. . . . . . . . . . . . .
5.1.4. . . . . . . . . . . . . .
5.1.5. . . . . . . . . . . . . . . . . . . . . . . .
5.2. . . . . . . . . . .
5.2.1. . . . . . . . .
5.2.2. . . . . . . . . . . . .
5.2.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5.4. . . . . . . . . . . . . . . . . . . . . . . .
5.5. M . . . . . . . . . . . . . . . . . . . . . .
5.6. . . . . . . . . . . . . . . . . . . . . . . . .
5.6.1. . . . . . . . . . . . .
5.6.2. . . . . . . . . . . . . .
5.6.3. : . . . . . . . . . .
5.6.4. . . . . . . . . . .
5.6.5. : . . . . . . . . . .
5.6.6. : . . . . . . . . .
5.6.7. . . . . . . . . . . . . . .
5.6.8. . . . . . . . .
5.7. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

113
113
115
115
115
116
118
120
121
122

6.
6.1. . . . . . . . . . . . . . . . . . . . . . . . . .
6.1.1. . . . . . . . . . . . . . . . . . .
6.1.2. . . . . . . . . .
6.1.3. . . . . . . . . . . . . . . . .
6.1.4. . . . . . . . . . . . . . . . . . . . . .
6.1.5. . . . . .
6.1.6. . . . . . . . .
6.2. . . . . . . . . . . . . . . . . . . . . . . . . .
6.2.1. . . . . . . . . . . . . . . . . . . .
6.2.2. 0,1- . . . . . . . . . . . . . . . . . . . . . . . . . . .
6.3. : . . . . . . . . . . .
6.3.1. . . . . . . . . . . . . . . . . . . . .
6.3.2. . . . . . .
6.4. , .

160
161
161
164
165
169
171
171
173
173
175
180
180
182
185

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123
124
125
131
136
136
137
139
141
143
145
147
150
152

iv

6.5.
6.5.1. . . . . . . . . . . . . .
6.5.2. .
6.6. . . . . . . . . . . . . . . . . . . . . .

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186
187
189
190

7.
7.1. . . . . . . . . . . . . . . . . . . . . . . .
7.1.1. . . . . . . . . . . . . . . . . . . . . . . . .
7.1.2. . . . . . . . . . . . . . . . . . . .
7.2. . . . . . . . . . . . . . . . .
7.2.1. . . . . . . . . . . . . . . . . . . . . . . . . .
7.3. . . . . . .
7.3.1. , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7.4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

196
196
196
198
203
205
206

8.
8.1. . .
8.2. . . . . . . . . . . . . . . . . . . . . . . . .
8.2.1. . . . . . . . . . . . . . .
8.2.2. . . . . . . . . . . . . . . . . . . . . . . . . .
8.3.
8.3.1. . . . . . . . . . . . . . . . . . . . .
8.3.2. . . . . . . . . . . . . . . . . . . . . .
8.4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

211
211
213
216
217
219
222
226
229

9.
9.1. . . . . . . . . . . . . . . . . . . . . .
9.2. . . . . . . . . . . . . .
9.2.1. . . . . . . . . . . . . . .
9.3. . . . . . . . . . . . . . . . . . . . .
9.4. . . . . . . . . . .
9.5. .
9.6.
9.7. . . . . . . . . . . . . . . . . . . . . . . .

231
232
233
233
235
238
240
244
248

A.
A.1. . . . . . . .
A.2. . . . . . . . . . . . . . .
A.2.1. .
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A.3. . . . . . . . . .
A.4.

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207
208

250
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. . . . . . . . . . 252
. . . . . . . . . . 253
. . . . . . . . . . 254
. . . . . . . . . . 256


A.5. . . . . . . . . . . . . . . .
A.5.1. . . . . . . . . . . . . . . .
A.5.2.
A.5.3. . . . . . . . . . . . . . . . .
A.6. . . . . . . . . . . . . . . . .
A.6.1. . . . .
A.6.2. ,
. . . . . . . . . . . . .
A.6.3. . . . . .
A.7. . . . . . . . . . . . .
A.7.1. . . .
A.7.2. ,
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v
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256
257
258
259
260
261

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263
265
266
267

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B.
270
B.1. . . . . . . . . . . . . . . . . . . . 270
B.2. . . . . . . . . . . . . . . . . . . . . . . . . 272
B.3. . . . . . . . . . . . . . . . 275
C.
C.1. . . . . . . . . . . . . .
C.1.1. . . . . . . . . . . . . . . . . . . . . . .
C.2. . . . . . . . . . . . . . . . . . . .
C.3.
C.3.1. . . . . . . . . . . . . . . . .
C.3.2. . . . . . . . . . . . . .
C.3.3. . . . . . . . . .
C.3.4.
C.3.5. . . . . . . . . .

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278
279
280
282
283
283
284
285
285
286

D.
288
D.1. . . . . . . . . . . . . . . . . . . . . . . . 288
D.2. . . . . . . . . . . . . . . . . . . . 289

291

292


1 ( ) , , , . .

,

, : , , , . .
, .
2 .

1 , operation research
( ) management science.
, (management science) ,
.
2 (, , , . .) .

1.

1.1.
:
f (x, y, z) min
gi (x, y, z) 0,

i = 1, . . . , m,

(1.1)

x X, y Y, z Z,

x ,
y ,
z ,
X, Y, Z .
, 3 . , (1.1) .
, ( ).
.
. y
. , y5
m [m1 , m2 ] [1 , 2 ].
,
. , z3 [1, 7].
:
(X 6= , Y = Z = );
(X 6= , Y 6= , Z = );
(X 6= , Z 6= ).

1.1.1.
,
. ,
3 .

1.2.

y x X z Z f (x, y, z)
, (1.1) :
sup Ey f (x, y, z) min
zZ

sup sup gi (x, y, z) 0,

i = 1, . . . , m,

(1.2)

zZ yY

x X,
Ey y.
(1.2)
,

.
.
. -
, , y : Y = {y 1 , . . . , y K }. ,
k, y y k . ,

PK pk 0 k = 1, . . . , K,
k=1 pk = 1. (1.2) :
sup
zZ

K
X

pk f (x, y k , z) min

k=1

sup gi (x, y k , z) 0,

k = 1, . . . , K; i = 1, . . . , m,

(1.3)

zZ

x X.

1.2.

(, ,
)
.

1.

1.1 ( ).
. - ,
, , . :
0.4, 0.3, 0.2, 0.1.
, . $70.
, , ,
$120; 120 70 = 50
.
,
?
. x
X = {0, 1, 2, 3}, x
def

def

. y Y = {0, 1, 2, 3} . f : X Y R
:
(
70(y x), x < y,
def
f (x, y) =
50(x y), x y.
x f (x, y) , f (x, 0) 0.4,
f (x, 1) 0.3, f (x, 2) 0.2,
f (x, 3) 0.1. def

g(x) = Ey (f (x, y)) x X:


g(0) = 0.4f (0, 0) + 0.3f (0, 1) + 0.2f (0, 2) + 0.1f (0, 3) =
= 0.4 0 + 0.3 70 + 0.2 140 + 0.1 210 = 70,
g(1) = 0.4f (1, 0) + 0.3f (1, 1) + 0.2f (1, 2) + 0.1f (1, 3) =
= 0.4 50 + 0.3 0 + 0.2 70 + 0.1 140 = 48,
g(2) = 0.4f (2, 0) + 0.3f (2, 1) + 0.2f (2, 2) + 0.1f (2, 3) =
= 0.4 100 + 0.3 50 + 0.2 0 + 0.1 70 = 62,

1.2.

g(3) = 0.4f (3, 0) + 0.3f (3, 1) + 0.2f (3, 2) + 0.1f (3, 3) =


= 0.4 150 + 0.3 100 + 0.2 50 + 0.1 0 = 100.
g(x)
48 x = 1. ,
.
2
1.2. a b . h.
u. , ?
def

. x X = [0, u]
def

y = Y = [0, u]4 ,
(
ay b(x y) = (a + b)y bx, y < x,
def
f (x, y) =
ax,
y x.

Z x
Z u
Ey (f (x, y)) =
((a + b)z bx) h(z)dz +
axh(z)dz =
0
Z x
Z x x
= (a + b)
zh(z)dz bx
h(z)dz+
Z u 0
Z x 0
+ ax
h(z)dz ax
h(z)dy =
0
0
Z x
Z x
= (a + b)
zh(z)dz (a + b)x
h(z)dz + ax.
0

0
def

g(x) = Ey (f (x, y)) x, , .


:
Z x
g 0 (x) = (a + b)xh(x) (a + b)xh(x) (a + b)
h(z)dz + a = 0.
0
4

, x y .

1.
B 

 
 
 1.5
P 
P

P
P
P
P
....
.......
..

...

.....
 

A 

 
1


. 1.1.
, x,
Z x
a
.
h(z)dz =
a
+
b
0
,
R x y
[0, u], h(z) = 1/u, 0 h(z)dz = x/u x = au/(a + b).
2
1.3. A . ,

A, B C (. . 1.1),
. , 25 30
/, , (
B C).
,
?
.
def
x X = {1, 2}, x = 1 , x = 2
. ,
z = (z1 , z2 )T , z1 A, z2
: 1 ,
B, 2 ,
C.

1.2.

25 /, 25(3/60) =
1.25 , 30 /, 30(3/60) =
def

1.5 . z1 [1.25, 1.5] z Z = [1.25, 1.5] {1, 2}.


, z Z,
x X,

2.5 z1 , x = 1 z2 = 1,
def
(1.4)
f (x, z) = 3 z1 ,
x = 1 z2 = 2,

z1 ,
x = 2.
, x = 1 x = 2, ,
:
min max f (x, z) = min g(x),

xX zZ

xX

def

g(x) = max f (x, z).


zZ

(1.4)

g(1) = max
max

1.25z1 1.5


2.5 z1 ,

max

1.25z1 1.5

3 z1

= max{1.25, 1.75} = 1.75,


g(2) =

max

1.25z1 1.5

z1 = 1.5.

, x = 2, . .
A.
2
1.4 ( : EOQ-). .
D .
C. ( , )
H. (
) F .
Q (
), ( ) .

1.

6
Q
J
J
J
J
J
J
J
J
Q Dt1
J
J
J
J
J
J
J
J
J
J
J
J
3Q Dt2
J
J
J
J
J
J
J
J
J
J
J
J

2Q
Q
t1
t2 3Q
D

. 1.2. Inventory Level in EOQ

. () Q, ( T = Q/D)

Z Q/D
HQ2
F + CQ +
H(Q Dt)dt = F + CQ +
,
2D
0

def

c(Q) =

FD H
+ Q + CD.
Q
2

EOQ- . 1.2.
, .
,
min c(Q).
Q0

c0 (Q) = FQD
2 +

r
2DF

Q =
H

H
2

= 0

(1.5)


r
T = Q /D =

2F
.
HD

(1.6)

1.3.

, C ( ).
2

1.3.

. , . , ,
.
, :
min{f (x) : x X},

(1.7)

X Rn , f : X Rm m- -,
x X m f (x) = (f1 (x), . . . , fm (x))T .
(1.7) , , .
x, y X m
L(x, y), G(x, y) E(x, y):
fi (x) < fi (y),

i L(x, y),

fi (x) > fi (y),

i G(x, y),

fi (x) = fi (y),

i E(x, y).

L(x, y) , x
y, G(x, y) , x
y, E(x, y) , x y . E(x, y) = {1, . . . , m},
x y . G(x, y) = , , x
, y. G(x, y) = L(x, y) 6= , x , y. , G(x, y) 6=
L(x, y) 6= , , x y .
x X
(1.7), X , ,
x. , (1.7)
.

10

1.

1.5. :

min

x1 + 2x2
2x1 + x2


:

x1
x2

       
1
3
2
4
,
,
,
.
3
2
2
1


:
   
1
7
f
=
,
3
5

   
3
7
f
=
,
2
8

   
2
6
f
=
,
2
6

   
4
6
f
=
.
1
9

, : (1, 3)T (2, 2)T .


2
, -
. ,
.
(1.7), 1)
, 2)
f1 , . . . , fm .

1.3.1.
: c . ,
.
, , ( )
( - ). ,
, ,
,
.

1.3.

11

f2 (x) 6

A
f (X)

r 1
f (x1 ) A
*


r
f (x2 ) r


r
P
f (x3 ) P
P

P
-

f1 (x)

. 1.3.

(1.7). i = 1, . . . , m
i 0
min{T f (x) : x X}

(1.8)

Pm
, i=1 i fi (x) f1 , . . . , fm .
i , x0
(1.8) (1.7). , , x1 X, x0 : fi (x1 ) fi (x0 ) i = 1, . . . , m, fi0 (x1 ) < fi0 (x0 )
i0 . i fi (x1 ) i fi (x0 ), i =
0, . . . , m,
m
X
i=1

i fi (x1 ) <

m
X

i fi (x0 ),

i=1

, x0
(1.8).
:

12

1.
, (1.8)
(1.7)?

. . 1.3 def
f (X) = {f (x) = (f1 (x), f2 (x))T : x
X} .
( ) f (X). f (x1 ), f (x2 ) f (x3 )
x1 , x2 x3 . f (X) f (x1 ) f (x3 ).
1 3 ,
x1 (1.8) = 1 , x3
(1.8) = 3 .

def

1 f1 (x) + 2 f2 (x) = b(1 , 2 ) = 1 f1 (x2 ) + 2 f2 (x2 ),


f (x2 ) = (f1 (x2 ), f2 (x2 ))T f (X)

X1 = {x X : 1 f1 (x) + 2 f2 (x) b(1 , 2 )},
X2 = {x X : 1 f1 (x) + 2 f2 (x) > b(1 , 2 )},
x2 (1.8)
1 2 , .
(1.7), X f1 , . . . , fm X . , x0 X
(1.7), f (x0 )
f (X), ( A.3), aT y = b, ,
aT f (x) b x X aT f (x0 ) b. ,
= a x0 (1.8).

, g1 , . . . , gm
f1 , . . . , fm ,

1.3.

13

. , , :
1) (
) 5 ;
,
10 , 10
;
3) 250 . .
(1.7)
:
m
X

wi hi (si ) min,

i=1

fi (x) si gi ,

(1.9)
i = 1, . . . , m,

s Rm
+ , x X,
s = (s1 , . . . , sm )m () , hi (si ) i si .
hi (si ) = si hi (si ) = s2i .
(1.9) . , , (x0 , s0 ) (1.9)
: s0i = min{0, fi (x0 ) gi }, i = 1, . . . , m. , . wi
. ,
, : 0 < w1 w2 wm .

1.3.2.
, Rm .
(u v, ui vi i = 1, . . . , m)
. ,

14

1.

(2, 1)T (1, 2)T . (


) Rm .
.
u, v Rm . , u
v u lex v, k, 1 k < m,
ui = vi i = 1, . . . , k 1 uk < vk .
u lex v , u lex v u = v.
X Rn f : X Rm m- -. , f1 , . . . , fm , . . fi fi+1 , . . . , fm .

lexmin{f (x) : x X}

(1.10)

x0 X, f (x0 ) lex f (x) x X.


x0 . , (1.7).
(1.10),
k = 1, . . . , m m :
fk = min fk (x),
fi (x) fi ,

i = 1, . . . , k 1,

(1.11)

x X.
x ( k = m) (1.10).

1.4.
1.1. , , (,
. .) , . $20 .

$4 .
$8. :

1.4.

15

300
400
500
600
700
800

0.05
0.1
0.4
0.3
0.1
0.05

,
?
1.2. , , 1 .
, 0.25 .
250 .
, . 0.15 . , -. (
) ( ) .
, 10 % 0.7, 20 %
0.2, 30 % 0.1
, - 0.5. ,

)
, 10 % 0.7, 20 % 0.2, 30 %
0.1;
) 25 . ,
0.3, 5 % 0.4, 10 %
0.3;
) , 0.2
; 0.3 -
. ,
5 % 0.5, 10 %
0.2, 15 % 0.3.
,

16

1.
0.3, 5 % 0.5, 10 %
0.2.

,
?
1.3. ,
. 10 000 ,
.
$5 000,
$10. ( )
$0.30.

.



2.1.

f (x) min,
gi (x) 0,

i I = {1, . . . , m},

(2.1)

xR ,
f gi (i I) .
X (2.1), . .
X = {x Rn : gi (x) 0, i I}.

2.1.1.

, X ; ,
.
x0 X () (2.1),
 > 0
f (x0 ) f (x) x X, kx x0 k .
x0 X (2.1), f (x)
, x ( ), x0 X.

18

2.

: R+ Rn 0:
() = [1 (), . . . , n ()]T ,
:
a) (0) = x0 ;
b) () X > 0.
x0
y=


T
d1
d2
dn
d
(0) =
(0),
(0), . . . ,
(0) ,
d
d
d
d

(), x0 .
Cad (x0 ) ,
x0 . , , y Rn Cad (x0 ).
I(x0 ) x0 , . . , x0 :
I(x0 ) = {i I : gi (x0 ) = 0}.
x0 :
def

T (x0 ) = {y Rn : giT (x0 )y 0 i I(x0 )}.

2.1. Cad (x0 ) T (x0 ).


. () x0 ,
0
0
y = d
d (0) x . i I(x )
> 0 gi (()) 0.
gi (()) = 0,

d
gi (x0 ) + giT (x0 ) (0) + o() 0,
d
o() 0 0. , gi (x0 ) = 0, ( ), y = d
d (0)

giT (x0 )y 0 i I(x0 ).

2.1.

19

, y Cad (x0 ) , y T (x0 ), .

, T (x0 ) Cad (x0 ) .


R2 X, x
2
6

g1 (x) = x1 0,
g2 (x) = x2 0,
X

g3 (x) = (1 x1 )3 + x2 0
0

(. 2.2). x = (1, 0) .
, I(x0 ) = {2, 3}.


 
0
0
g2 (x0 ) =
, g3 (x0 ) =
,
1
1

s -x0 y x1
. 2.1.

, T (x0 ),
y2 0,

y2 0.

y = (1, 0)T , , x0 + y 6 X > 0.


, g2 (x0 ) g3 (x0 ) !
, x0 X ,
:
cl(Cad (x0 )) = T (x0 ).

(2.2)

x0 ,
x0 y
giT (x0 )y 0 i I(x0 ).
(2.2)
. , (2.2) .
.

20

2.

2.2.
X :
) gi ;
) ( ) gi X
( x
Rn , gi (
x) <
0 i I).
x0 X,
) gi (x0 ) , x0 , .
. ) .
) ).
x0 X:
def

Cpd (x0 ) = {y Rn : gi (x0 )

T

y < 0, i I(x0 )}.

, Cpd (x0 ) Cad (x0 ) cl(Cpd (x0 )) cl(Cad (x0 )). 2.1 ,
) ) cl(Cpd ) = T (x0 ).
, , Cpd (x0 ) 6=
. , y Cpd (x0 ) :
gi (x0 )

T

y < 0,

i I(x0 ).

(2.3)

y T (x0 ) :
T
gi (x0 ) y 0,

i I(x0 ).

def

y() = (1 )
y + y Cpd (x0 ) [0, 1). , {k }
k=1 1 (k < 1), {y(k )}
k=1
Cpd (x0 ) y. , cl(Cpd ) = T (x0 ).
, ).
x
X,
gi (
x) < 0, i I.
gi :
gi (x0 )

T

(
x x0 ) gi (
x) gi (x0 ) = gi (
x) < 0,

i I(x0 ).

, y = x
x0 Cfs (x0 ) , , Cfs (x0 ) 6= .

2.1.

21

, x0 ).

X
i gi (x0 ) = 0
iI(x0 )

i . ( A.1) y Rn ,
(2.3) , , Cfs (x0 ) 6= .
2
1. ) 2.2 ,
gi .
2. 2.2
. , x X, gi (i Il ),
(i Ic ) x
X,
gi (
x) < 0 i Ic .
x0 X,
gi (i Il ), gi (x0 )
i In
x
X, gi (
x) < 0 i In .

2.1.2.

2.1 ( ). ,
f gi (i = 1, . . . , m) x0 X
. x0 , i 0 (i = 1, . . . , m),

f (x0 ) +

m
X

i gi (x0 ) = 0,

(2.4)

i=1

i gi (x0 ) = 0,

i = 1, . . . , m.

(2.5)

( i -.)
. x0 (2.1), ,

22

2.

. ,
T
f (x0 ) y 1,
(2.6)

T
gi (x0 ) y 0, i I(x0 ).
(2.7)
. (2.6)(2.7) , x0
(2.1).
( A.1), (2.6)(2.7) , 0 i
(i I(x0 )), ,
0 f (x0 ) +

m
X

i gi (x0 ) = 0,

i=1

1 0 +

m
X

0 i = 1.

i=1

, 0 = 1.
,
(2.5) . i = 0 i I \ I(x0 ).
2
. - i (2.1) , i
, . . i R. ,
gi (x) = 0 gi (x) 0 gi (x) 0,

+
i i . (2.4)
0
0
+
i gi (x ) i gi (x ), +

0
(i i )gi (x ). i = +
i i ,
(2.4), gi (x) = 0 i gi (x0 ), i
.
gi (x) 0,
: gi (x) 0,
, i (i 0).
x0 X, (2.4) (2.5)
. , 2.1 ,

2.1.

23


.
f gi (i = 1, . . . , m) , ,
, .

2.1.3.

g1 (x0 ) 
f (x0 )
X
X
0
.
X
.
. 2.2, x 
>

.... XX

.
X...X
..
..........
s  - g3 (x0 )
...
....... ..........X
..
..
.............
0 ...
... ..........
x ...
. ..

...........
..
....... .......
.
.
.
...
.
...
.
g1 (x) 0 g3 (x) 0;
.
.
0
.
.
.
.
...C
.
.
.... ad (x )
....
....
..
....
I(x0 ) = {1, 3}. f (x0 )
....
....
...
.
.......
....
.
.......
........
..
g1 (x) = 0
.......... ..
..................
. .................
.
.
.
y ..
....
.....
Cad (x0 ), .
.
.
.
......

........
g3 (x) = 0
T (x0 ). : f (x0 ) . 2.2. -
gi (x0 ) (i I(x0 )) i .

. X
, x f (x).
() X ,
gi (x) = 0 x0 , i g1 (x0 ), i 0
, i gi (x0 ) , .
x0 , .
,
i gi (x0 )
f (x0 ), .

24

2.

2.1.4.
,
, . , ,
, ()
,
,
.

2.1.
f (x) = x21 + x22 + x23 min,
g1 (x) = 2x1 x2 + x3 5 0,
g2 (x) = x1 + x2 + x3 3 = 0.

2x1
f (x) = 2x2 ,
2x3

2
g1 (x) = 1 ,
1


1
g2 (x) = 1 ,
1



2x1
2
1
2x2 + 1 1 + 2 1 = 0,
2x3
1
1
2x1 x2 + x3 5 0,
x1 + x2 + x3 3 = 0,
1 (2x1 x2 + x3 5) = 0,
2 (x1 + x2 + x3 3) = 0,
1 0.

2.1.

25

2x1 + 21 + 2 = 0,
2x2 1 + 2 = 0,
2x3 + 1 + 2 = 0,
2x1 x2 + x3 5 0,
1 (2x1 x2 + x3 5) = 0,
x1 + x2 + x3 = 3,
1 0.
.
1 = 0. , x1 = 22 , x2 =
22 x3 = 22 . ,
2 :
3
x1 + x2 + x3 = 2 = 3 2 = 2.
2
x1 = (1, 1, 1)T . , f (x)
, x1 5 .
1 > 0.
2x1 x2 + x3 = 5.

1
x1 = (21 + 2 ),
2
1
x2 = (1 + 2 ),
2
1
x3 = (1 + 2 ).
2

2x1 x2 + x3 = 5,
x1 + x2 + x3 = 3,
5

2.5.

26

2.

1
21 2 1 +
2
1
1
1 2 + 1
2
2

1
2
2
1
2
2

1
1
2
1
1
2

1
2 = 5,
2
1
2 = 3,
2

31 2 = 5,
3
1 2 = 3.
2
32 ,




3 3
7
9
3
9
1 1 +

1 = .
2 = 5 + 3,
2
2 2
2
2
2
1 = 79 , 1 .
, x1 = (1, 1, 1) .
2

2.2.

:
f (x) min,
gi (x) 0,

i I = {1, . . . , m},

(2.8)

xSR .
, S = Rn , (2.1).
S (S Zn ),
.

2.2.1.
i- (i I)
i , . :
X
L(x, ) = f (x) +
i gi (x).
iI

2.2.

27

S Rm L(x, ),
, (
x, )
+

L(x, ),

L(
x, ) L(
x, )
x S, Rm
(2.9)
+.

. 2.3. x

L(x, )
x S,
L(
x, )
R+ . , L(
(
x, ,
x, ))
.

L(x, )

6
...................
...
.........
.....
...
...... .........
...
.
.
.
.
.
.
.
.
........
...
.
.
.
.
.
.
.
.
.
.
.
.
............. s ............. ..
...
...
.............
...
.
..
.

.
...
...
(
x, , L(
x, )) ..
...
...
.
.
.
.
...
....
...
....
..
..
...
....
....
x
..

.....
....
.
.
........ 
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
...................................


+

. 2.3.

S Rm
2.2 ( ). (
x, )
+
L(x, ) ,
= min L(x, ),

L(
x, )

(2.10a)

gi (
x) 0,

i gi (
x) = 0,

i I,

(2.10b)

i I.

(2.10c)

xS

, (2.10a)
. (
x, )
. , Rm
+
X
X
i gi (
L(
f (
x) +

x) = L(
x, )
x, ) = f (
x) +
i gi (
x).
iI

iI

i )gi (
(i
x) 0,

Rm
+.

(2.11)

iI

(2.10b) i I,
i > 0, (2.11). (2.10b)
.
, = 0 (2.11)
X
i gi (

x) 0.
iI

28

2.

i 0 gi (

x) 0 i I,
X
i gi (

x) 0.
iI

,
X

i gi (

x) = 0

iI


i gi (

x) = 0 i I.
2
2.3 ( ).
S Rm L(x, ), x
(
x, )

+
(2.8).
. x S,
i 0,
gi (x) 0 (i I), (2.10a)(2.10c) c ,

X
X
i gi (
i gi (x) f (x).
f (
x) = f (
x) +

x) f (x) +

iI

iI

2
2.3 , (2.8): , f gi ,
S. , ,
.
, x:
f (x) = x2 min,
g1 (x) = 2x 1 0,
S = {x R : 0 x 1}.

L(x, ) = x2 + (2x 1)
x,
min L(x, )
x[0,1]

(2.12)

2.2.

29

x = 0,
x = 1.
(2.12) x =
1/2 L(x, ) , L(x, ) .

2.2.2.

(2.8),
f gi (i I) , S .
2.4. f gi (i I) , S , x S,
gi (x) < 0,

i I.

(2.13)

(2.8) x
,

Rm , (
x
,
)

+
L(x, ).
. x
(2.8).
A = {(y0 , y) R Rm : x S, y0 f (x), yi gi (x) i I},
B = {(y0 , y) R Rm : y0 f (
x), yi 0 i I}.
. , B ,
. , A . (y01 , y 1 ), (y02 , y 2 ) A.
, [0, 1]
def

(
y0 , y) = (1 )(y01 , y 1 ) + (y02 , y 2 ))
A. (y01 , y 1 ), (y02 , y 2 ) A,
x1 , x2 S,
y01 f (x1 ), yi1 gi (x1 ),

i I,

y02

i I.

f (x ),

yi2

gi (x ),

, f gi ,
(1 )y01 + y02 (1 )f (x1 ) + f (x2 ) f ((1 )x1 + x2 ),
(1 )y0i + yi2 (1 )g( x1 ) + gi (x2 ) gi ((1 )x1 + x2 ),

i I.

30

2.

A , (
y0 , y)
A.
f (
x) (2.8), A int B , int B , , A B, . .
(u0 , u) R Rm , (y0 , y) A (z0 , z) B

u0 y0 + uT y u0 z0 + uT z.

(2.14)

, u0 > 0 ui 0 (i I). ,
ui < 0 i I, zi
, (2.14) . (f (
x), 0) A
(f (x), g(x)) B x S, (2.14)
u0 f (x) + uT g(x) u0 ,

x S.

(2.15)

, u0 0,
uT g(x) 0,

x S,

, x S, gi (x) < 0
i I. , u0 > 0.
= u/u0 . ,
0. (2.15)

T g(x) f (
f (x) +
x),

x S.

(2.16)

T g(
x) 0. (2.16) x = x
,
T g(
0 g(x) 0).

x) 0 (
T g(
,
x) = 0.
T g(
0 =
x) (2.16),

T g(x) f (
T g(
f (x) +
x) +
x),

x S,

L(

L(x, )
x, ),

x S.

L(x, ).
2.2, (
x, )

2.3.

31

2.2.3.
2.5. (2.1) f gi (i I)
, x
X
, , x

.
. 2.4 S = Rn x
0,
,
L(x, ). 2.2
(
x, )
:

) x
arg minxRn L(x, );
) gi (
x) 0 i I;
i gi (
)
x) = 0 i I.
f gi , x , , )
L(x, )

= 0,
x L(
x, )

f (
x) +

i gi (

x) = 0,

iI

) ) x
.
2
2.5 ,
.

2.3.
(2.8).
w : Rm R, Rm
x :
!
m
X
def
w() = inf L(x, ) = f (x) +
i gi (x) .
xS

i=1

, w() = , L(x, ) x S.

32

2.

w , w ,
, (2.8) .
(2.8)
Rm
+ x

w() = inf L(x, ) L(


x, )
xS

= f (
x) +

m
X

i gi (
x) f (
x).

i=1

, (2.8) x , f (x )
w() Rm
+ . , (2.8).
,
(2.8):
max w().

Rm
+

(2.17)

(2.8)
. Rm
+ , w() >
, .
(2.17) ,
.
, , ,
.
2.6 ( ). x
(2.8)
(2.17) ,
w( ) f (x ).

(2.18)

2.3.1.
,
.
2.7 ( ). x
(2.8) (2.17) , w( ) = f (x ) ,
(x , ) L(x, ).

2.3.

33

. . w( ) = f (x ),

f (x ) = w( ) = min L(x, ) L(x , ) = f (x ) +


xS

m
X

i gi (x ).

i=1

Pm
i=1 i gi (x ) 0.
(i 0, gi (x ) 0),
i gi (x ) = 0 i = 1, . . . , m. 2.2
, (x , ) .
. (x , ) , 2.3 x
(2.8), 2.2 :
f (x ) = f (x ) +

m
X

i gi (x ) = L(x , ) = min L(x, ) = w( ).


xS

i=1

,
w( ) = f (x ) w() Rm
+,
(2.17).

2.4
.
2.2.
x21 x1 + x22 min,
2x1 + 4x2 1,
.
. S = R2
f (x1 , x2 ) = x21 x1 + x22

g1 (x1 , x2 ) = 2x1 + 4x2 + 1

. , 2.4
L(x, ) = L(x1 , x2 , 1 ) = x21 x1 + x22 + 21 x1 + 41 x2 + 1
(x , ) f (x ) = w( ).

34

2.

x L(x, )
:

L(x, ) = 2x1 1 + 21 = 0
x1

L(x, ) = 2x2 + 41 = 0

x2

x1 = 1/2 1 ,
x2 = 21 .

x1 = 1/21 x2 = 21 L(x, ),

w(1 ) = (1/2 1 )2 (1/2 1 ) + 421 + 21 (1/2 1 ) 821 + 1
= 521 + 21 1/4.
, . :
w0 (1 ) = 101 + 2 = 0.
, 1 = 1/5
x1 = 1/2 1 = 1/2 1/5 = 3/10,

x2 = 21 = 2/5.

w(1 ) = 5/52 + 2/5 1/4 = 1/5 1/4 = 1/20,


f (x1 , x2 ) = (3/10)2 3/10 + (2/5)2 = (9 30 + 16)/100 = 1/20,
w(1 ) = f (x1 , x2 ).

2.3.2.
, , , ,
f (x ) w( ), x (2.8) (2.17) . ,
. ,
. ,
(
(2.8), S Zn ).

2.3.

35

2.3. :
2x1 + x2 + 3x3 min,
2x1 + 2x2 + 3x3 3,
x1 , x2 , x3 {0, 1}.

(2.19)

. S = {0, 1}3
f (x) = 2x1 + x2 + 3x3 ,
g1 (x) = 2x1 2x2 3x3 + 3.
:
L(x, ) = 2x1 + x2 + 3x3 + (3 2x1 2x2 3x3 ).

w() =

min L(x, ) = min wi (),

x{0,1}3

1i8

def

xi wi () = L(xi , )
:
i
1
2
3
4
5
6
7
8

xi
(0, 0, 0)
(0, 0, 1)
(0, 1, 0)
(0, 1, 1)
(1, 0, 0)
(1, 0, 1)
(1, 1, 0)
(1, 1, 1)

wi ()
3
3
1+
4 2
2+
5 2
3
6 4

w() . 2.4. . wi () (8
), , . 2.4 .
w().
w()
w3 () w8 (). w3 () = w8 () :
1 + = 6 4

= 1.

36

2.

w() 6
5

w1

w5

w3

A AC


@ 4A AC

@ A CA
w2
@ A CA 

3 @ AC A

w( ) @AC A
AC A
@
 CCA@A
1  CC A @
C A

CC A A@

C A A@

4 3 2 1 
5
CC 2 A A 3 @ 4
C
 1
CC A A @

@
CC A A

@
A A
CC
2

w7
A
A
CC

A A
@

w8

w4 w6

. 2.4. (2.19)
w( ) = w3 ( ) = 1 + = 2.
(2.19) : x = (1, 1, 0) x0 =
(0, 0, 1) f (x ) = f (x0 ) = 3.
(2.19) f (x ) w( ) = 1 > 0.
2

2.3.3.

, x ,
f (x) = c(x), c(x) ,
x. gi (x) = ri (x) bi 0, i I = {1, . . . , m}
(, ,
. .), ,
(, ).
, , (2.8), x S () . x ,

2.3.

37

f (x ) .
, : x,
i i gi (x), i 0 i. i, gi (x) > 0,
i gi (x). i , gi (x) < 0,
i gi (x). , gi (x) 0
, i
;
,
.

,
Pm
x, L(x, ) = f (x) + i=1 i gi (x).
, x(),
w() = min{L(x, ) : x S}.
, w() , ,
, .
, :

, ,
,
.

(
), ,
.
, f (x ) = w( ), (2.17). ,
. .

i gi (x ) = 0,

i = 1, . . . , m,

38

2.

,

.
, gi (x ) < 0, i gi (x ) = 0 , i = 0.

2.4.

.
.

2.4.1.
n n
. j (j = 1, . . . , n) fj :
xj = fj (xj1 , . . . , xjm ),
xj j, j- , xji
i (i = 1, . . . , m), j- . ai i, i = 1, . . . , m. p = (p1 , . . . , pn )T
. x =
(x1 , . . . , xn )T , pT x .
:
pT x max,

(2.20a)

fj (xj1 , . . . , xjm )

j : xj
n
X
i :
xji ai 0,

0,

j = 1, . . . , n,

i = 1, . . . , m,

(2.20b)
(2.20c)

j=1

j : xj 0,

j = 1, . . . , n,

(2.20d)

ji

i = 1, . . . , m, j = 1, . . . , n.

(2.20e)

xji

0,

2.4.

39


.
. , (2.20b)
, .
, pj > 0, x
(2.20b) .
(2.20) :
pj + j + j = 0,

j = 1, . . . , n,

(2.21a)

i = 1, . . . , m, j = 1, . . . , n,

(2.21b)

j = 1, . . . , n,

(2.21c)

i = 1, . . . , m,

(2.21d)

j xj = 0,

j = 1, . . . , n,

(2.21e)

ji xji

i = 1, . . . , m, j = 1, . . . , n,

(2.21f)

j 0,

j = 1, . . . , n,

(2.21g)

ji

i = 1, . . . , m, j = 1, . . . , n.

(2.21h)

fj j
(x1 , . . . , xjm ) + ji = 0,
xji


j xj fj (xj1 , . . . , xjm ) = 0,

n
X
i
xji ai = 0,

i j

j=1

= 0,
0,

j (xj > 0),


(2.21e) , j = 0, (2.21a) ,
j = pj , . .
,
, .
i j- (xji > 0), (2.21f)
, ji = 0, j (xj > 0)
(2.21b) :
fj
i = pj j (xj1 , . . . , xjm ).
xi
P

n
j
i
j=1 xi < ai , (2.21d)
, i = 0. , i
- j, pj > 0

40

2.
f

xjj (xj1 , . . . , xjm ) > 0, i > 0, . . i i

.
,
:
, , , ;
i , j,
i c j i.

2.4.2.
n ( ).
x Rn+ , xj j x. U : Rn+ R,
) n ;
) :

U (x)
xj

0 j = 1, . . . .n;

) : x Rn++
2 U (x) .
, ), U , ,
, j
2
: 2 xUj (x) < 0.
Rn+ p
Rn++ () I:
max{U (x) : pT x I, x 0}.

(2.22)

x0 (2.22).
0 0 Rn+ ,
U (x0 ) = 0 p + ,
T

0 (I p x ) = 0,
j x0j

= 0,

(2.23)
(2.24)

j = 1, . . . , n.

(2.25)

2.4.

41

(2.23) (2.25) ,
1 U (x0 )
= 0 ,
pj xj

j, x0j > 0,

(2.26)

. . Ux(xj ) pj
j. ,
, (2.26) , 0
. (2.24) ,
: I pT x0 = 0.
,
( , ).
(2.23)(2.25)
U (x0 ) 0 p = 0,

I pT x0 = 0.


(2.27) n = 2 . 2.5.
, x0
pT x = I
U (x) = U (x0 ).
,
:
, 1 ?

(2.27)

x2 6....
..
I/p2

... U (x) = U (x0 )


...
...
...
H ......... 0
HH
..... x
......s...
H......H
.................
.......................

HH

I/p1 x1

. 2.5.

2.4.3.
n m .
, bj j, i ai , Ui : Rn+ R
, .
, p = (p1 , . . . , pn )T Rn+ ,

X
x
i arg max Ui (x) :
pj xj ai , x Rn+ , i = 1, . . . , m, (2.28)

j=1

42

2.


n
X

pj x
ij = ai ,

i = 1, . . . , m,

(2.29)

j=1


m
X

x
ij = bj ,

j = 1, . . . , n.

(2.30)

i=1

,

:
m
X
ai log Ui (xi ) max,
(2.31a)
i=1
m
X

xij bj ,

i=1
xij

0,

j = 1, . . . , n,

j = 1, . . . , n, i = 1, . . . , m,

(2.31b)
(2.31c)

def

xi = (xi1 , . . . , xin )T , xij


j, i.
, . (2.31)
, .
2.8. Ui (x) (Ui (tx) = tUi (x) x Rn+ ) ,
 j
 Ui (x) -

xj Uxi (x)
> 0 x Rn+ ,
j
.

. x
1 , . . . , x
m
(2.31). , , (2.31b), pj ( pj j ), (2.31c) ij :
ai
Ui (
xi )

= pj ij ,
i
Ui (
x)
xij

j = 1, . . . , n, i = 1, . . . , m,

(2.32a)

2.4.

pj

m
X

43

!
x
ij

bj

= 0,

j = 1, . . . , n,

(2.32b)

i=1

ij x
ij = 0,

j = 1, . . . , n, i = 1, . . . , m,

(2.32c)

pj 0,

j = 1, . . . , n,

(2.32d)

ij

j = 1, . . . , n, i = 1, . . . , m.

(2.32e)

0,

i j- (2.32a) x
ij
n .
n

xi ) X
ai X i Ui (
x
j
=
(pj ij )
xij ,
i
Ui (
x ) j=1
xij
j=1
Ui (xi ) =

Pn

j=1

i = 1, . . . , m.
i

i (x )
,
xij Ux
i
j

Ui , :
ai =

n
X

pj x
ij ,

i = 1, . . . , m,

j=1

, .
x i:
n
X

pj xj ai .

j=1

, Ui (x) Ui (
xi ). Ui ,
(2.32a),
T
Ui (x) Ui (
xi ) Ui (
xi ) (x x
i )
n
Ui (
xi ) X
=
(pj ij )(xj x
ij )
ai j=1

n
Ui (
xi ) X
=
(pj xj ij xj ) ai
ai
j=1

n
Ui (
xi ) X

pj xj ai 0.
ai
j=1

44

2.

, , x
i
i.
, .
(2.32b) ,P pj > 0
n
: j=1 x
ij = bj . , ,
Pm i
- j , . . i=1 x
j < bj ,
pj = 0. i ,
xij i

Pm i , i
bj i=1 x
j j. , x
i.
2

, 2.8

def

Ui (x) =

n
X

uij xj ,

i = 1, . . . , m,

j=1

uij i j,
, j
i (uij > 0).

2.5.
X Rn x X Rm px : Rm [0, 1]. y Rm
px (y) x X,
.
: l(x) = ln px (y).
x y.
, , x
xML arg max l(x).
xX

(2.33)

2.5.

45

2.5.1.


y = Ax + v, A m
n-, y Rm , x X Rn
, v Rm (
). , vi
p : R [0, 1].
:

px (y) =

m
Y

p yi

i=1

n
X

aij xj ,

j=1

m
n
X
X
l(x) = ln px (y) =
ln p yi
aij xj ,
i=1

j=1

x , :

max

m
X

i=1

ln p yi

n
X

aij xj : x X

j=1

(2.34)

.
. vi
0 2 ,
p(z) =

2
2
1
ez /2 .
2

, X =

46

2.
Rn , :

2
m
n
X
X
1
yi
aij xj =
l(x) = (m/2) ln(2 2 ) 2
i=1
j=1
1
kAx yk22 .
2
x

xM L arg min kAx yk2 .


= (m/2) ln(2 2 )

. vi

1 |z|/
e
,
p(z) =
2
> 0, , X = Rn , :



n
m
X

1 X
l(x) = m ln(2)
aij xj =
yi
i=1

j=1
1
kAx yk1 .

xM L = arg min kAx yk1 .


= m ln(2)

. vi [, ],
1
z [, ].
p(z) =
2

l(x) = m ln(2)
x X = [, ]n . x x,





n
X


yi
aij xj , i = 1, . . . , m.



j=1

2.5.

47

2.5.2.
y {0, 1} c
P(y = 1) = p,

P(y = 0) = 1 p (0 p 1).

, p
u Rn . , y = 1 ,
. p u, , , ,
.

p=

exp(aT u + b)
,
1 + exp(aT u + b)

(2.35)

a Rn b R , .
a b
(ui , yi ) (i = 1, . . . , m), yi {0, 1}
y, u ui Rn .
a b .

.
, ,
y1 = = yk = 1, yk+1 = = ym = 0. :

pa,b (y1 , . . . , ym ) =

k
Y

!
pi

i=1

m
Y

!
(1 pi ) ,

i=k+1

pi =

exp(aT ui + b)
,
1 + exp(aT ui + b)

i = 1, . . . , m.

48

2.


l(a, b) =

k
X

ln pi +

i=1

k
X
i=1

k
X
i=1

m
X

ln(1 pi ) =

i=k+1

ln

m
X
exp(aT ui + b)
1
ln
+
=
T
i
1 + exp(a u + b)
1 + exp(aT ui + b)
i=k+1

(aT ui + b)

m
X

ln(1 + exp(aT ui + b)).

i=1

l(a, b) a b,
, .
, a b. ,
, uj , , aj , .

2.6.
, ,
.

2.6.1.
f : Rn++ R,
def

n
1 2
f (x) = cx
1 x2 . . . xn ,

(2.36)

.
, i (i =
1, . . . , n) , c . ,
, , i .

2.6.

49


def

f (x) =

K
X

k1 k2
kn
ck x
. . . x
n
1 x2

(2.37)

k=1

. , .

2.6.2.

f (x) min,

(2.38a)

gi (x) 1,

i = 1, . . . , p,

(2.38b)

hi (x) = 1,

i = 1, . . . , q,

(2.38c)

xj > 0,

j = 1, . . . , n,

(2.38d)

f, g1 , . . . , gp , h1 , . . . , hq , .
, (2.38)
. :
) vi (x) ui (x), vi (x) , ui (x) ,
(2.38b)
def

: gi (x) = vi (x)/ui (x) 1;


) vi (x) = ui (x), vi (x) ui (x) ,
(2.38c) :
def

hi (x) = vi (x)/ui (x) = 1;


) f(x),
def
f (x) = 1/f(x), .
,
y 2 /x max,

x2 + 2y 2 / z y,
x3 /y = z 2 ,
2 y 5,
x > 0, z > 0

50

2.

(2.38) :
xy 2 min,
x2 y 1 + 2yz 1/2 1,
x3 y 1 z 2 = 1,
2y 1 1, (1/5)y 1,
x > 0, z > 0.

2.6.3.

(2.38).
f (x) =

k0
X

c0k x1 k1 x2 k2 . . . xnkn ,

k=1

gi (x) =

ki
X

cik x1 k1 x2 k2 . . . xnkn ,

i = 1, . . . , p,

k=1

hi (x) = ci x1 1 x2 2 . . . xnn ,
def

bik =

log cik ,

i = 1, . . . , q,

k = 1, . . . , ki ; i = 0, . . . , p,

def

i
i
aik = (log k1
, . . . , log kn
)T ,

bi def
= log ci ,

k = 1, . . . , ki ; i = 0, . . . , p,

i = 1, . . . , q,

def

a
i = (log
1i , . . . , log
ni )T ,

i = 1, . . . , q.

yi = log xi , xi = eyi , i = 1, . . . , n.
yi (2.38) :
k0
X

ea0k y+b0k min,

k=1
ki
X

eaik y+bik 1,

i = 1, . . . , p,

k=1
T

eai y+bi = 1,

i = 1, . . . , q.

2.7.

51

,

!
k0
X
T
def
a
y+b
e 0k 0k min,
(2.39a)
f(x) = log
k=1
def

gi (x) = log

ki
X

!
e

aT
ik y+bik

0,

i = 1, . . . , p,

(2.39b)

k=1

i (x) def
h
= a
Ti y + bi = 0,

i = 1, . . . , q.

(2.39c)

f gi ,
(2.39) .

2.7.
2.1. y = x2 2x + 1 (x0 , y 0 )T ,
(1, 1)T .
2.2.
(x1 2/3)(x2 1/2)(x3 1/3) min,
x21 + x22 + x23 1,
x1 0, x2 0, x3 0.
) x1 = (0, 0, 0)T x2 = (0, 0, 1)T
-;
) x1 x2 ?
2.3.
ex1 +x3 + x42 + 4x2 (x1 + x3 ) min,
x21 + x22 + x23 = 1,
x21 x2 = 1.
) 3 ( ) x3 = 0;
) 3- -,
?

52

2.

2.4. .
x = (x1 , x2 )T ( ):
f (x) = (4x1 + 3x2 ) e(x1 +x2 )/500 .
300
1 400 2.
( ) x = (x1 , x2 )T .
2.5.
(
). 1
$3, 2 $5. 18
, $10 .
x1 1, 30
x1 ; x2 2,
50 x2 .

, ?
2.6. ,
. 200 .
p1 1 p2 2
:
1 :

q1 = 400 2p1 + p2 ,

2 :

q2 = 200 + p1 p2 .

1 2 , 2
3 2 .
1000 .
,
?
2.7. $100
. 1 $2, 2 $3.
x1 x2 1 2 ,
U (x1 , x2 ) = 2 ln(x1 )+
3 ln(x2 ).
2.8. . def
i
i (i = 1, 2) ui = ui (xi1 , xi2 ) = xi1i x1
,
i2

2.7.

53

xij j (j = 1, 2), i- . aj j, j = 1, 2.

x11 , x12 , x21 , x22 ,

11 2 12
W (x11 , x12 , x21 , x22 ) = u1 (x11 , x12 ) u2 (x21 , x22 ) = x111 x12
x21 x22

.
. (, 0 < 1 , 2 < 1.)
2.9.
(x1 2)2 + (x2 2)2 min,
x21 + x22 1,
x1 + x2 a,
x1 , x 2 0
a.

() .
.
.
:
max{cT x : Ax b},

(3.1)

A m n, c Rn , b Rm ,
x = (x1 , . . . , xn )T . , (3.1)
, . . rank A = n.
:
max{cT x : Ax = b, x 0},

(3.2)

A, c, b x ,
. ,
A , . . rank A = m.
:
max{cT x : Ax b, x 0},

(3.3)

A, c, b x ,
A.

55

, (3.1), (3.2) (3.3), ,
.
(3.1)(3.3). x = x+ x x+ , x Rn+ .
 +
 
x
c
x
=
, c =
, A = [A | A],
x
c
(3.1) (3.3):
x b, x
max{
cT x
: A
0}.
(3.3)(3.2). s = (s1 , . . . , sm )T .

 
 
x
c
x
=
, c =
, A = [A|I],
s
0
(3.3) (3.2):
x = b, x
max{
cT x
: A
0}.
(3.2)(3.1).

b
b = b ,
0

A
A = A ,
I

(3.2) (3.1):
b}.
max{cT x : Ax
-
- - :
cT x + d
min,
uT x + v
Ax b,
Gx h,
uT x + v > 0.

(3.4)

56

3.

, (3.4) : u = 0 v = 1,
(3.4) . ,
(3.4) :
cT x + dt min,
Ax bt = 0,
Gx ht = 0,

(3.5)

u y + vt = 1,
t 0,
y = (y1 , . . . , yn )T t.
(3.4) (3.5), x
(3.4),

(y, t) =


1
x, 1
uT x + v

(3.5), : (cT x + d)/(uT x + v) = cT y + vt.


, (3.5)
(3.4).
, (y, t) (3.5) c t > 0,
x = y/t (3.4), (cT x + d)/(uT x +
v) = cT y + vt. (y, 0) (3.5), x

(3.4), x() = x
+ y
(3.4) 0. , uT y = 1,


+ d + cT y
cT x
cT x() + d
= lim
= cT y + d 0.
lim
(uT x
uT x() + v
+ v) + uT y
, (3.4)

(y, 0) (3.5). , (3.5)
(3.4).

3.1.

57

3.1.



.

cT x min,
Ax b,

(3.6)

x 0,
c Rn , b Rm , A m n,
x = (x1 , . . . , xn )T n- .
S = Rn+ , (3.6)
L(x, ) = cT x + T (Ax b) = bT + (AT c)T x,

w() = infn L(x, ) = bT + inf (AT c)T x.
xR+

q T x Rn+ , q 6 Rn+ , 0,
q 0.
(
bT , AT c 0,
w() =

.
, (3.6) :
T
T
max{w() : Rm
+ } = max{b : A c, 0}.

,
max{cT x : Ax b, x 0}

()

:
min{bT y : AT y c, y 0},

()

58

3.

3.1


max cT x
Ai x bi , i R1
Ai x = bi , i R2
Ai x bi , i R3
xj 0 , j C1
xj R , j C2
xj 0 , j C3


min bT y
yi 0 , i R1
yi R , i R2
yi 0 , i R3
y T Aj cj , j C1
y T Aj = cj , j C2
y T Aj cj , j C3

() () , , . () xj
(j = 1, . . . , n) , yi (i = 1, . . . , m)
. , , . .
( !).

. 3.1. , :
2x1 4x2 +3x3 max,
x1 + x2 x3 = 9,
2x1 + x2

5,

x1

3x3 4,

x1

0,

9y1 +5y2 +4y3 min,


y1

2y2 +y3

y1

+y2

y1

2,
= 4,

3y3

x3 0,

3,
0,

y2
y3

0.

3.1 (). .
1. ( ) ( )
max{cT x : Ax b, x 0} =
min{bT y : AT y c, y 0}.

(3.9)

2. ( ) ( ) ,
, .

3.1.

59

3. ( ) ( ) .
x y ( ) ( ) ,
:
(b Ax )T y = 0

(c AT y )T x = 0.

(3.10)

. 1 2 ( 2.7).
3,
, :
max{x : 0x 1},

min{y : 0y = 1, y 0}.

, (3.10)
(2.10c) 2.2.
2

3.1.1.
n ,
m : j-
aij i- . j- cj .
bi i- . , . xj
j- (j = 1, . . . , n),
:
n
X

cj xj max,

j=1
n
X

aij xj bi ,

i = 1, . . . , m,

j=1

xj 0,

j = 1, . . . , n,


def

z(b) = max{cT x : Ax b, x 0}.

(3.11)

x (3.11), y .

60

3.

 > 0
z(b + ei ) z(b) = max{cT x : Ax b + ei , x 0}
max{cT x : Ax b, x 0}
= min{(b + ei )T y : AT y c, y 0}
min{bT y : AT y c, y 0}
= (b + ei )T y bT y = yi .

z(b + ei ) z(b)
y
z
(b) = lim
= lim i = yi .
0
0 
bi


z(b + ei ) z(b) yi ,
, i
yi . yi .
yi i , i-
. yi (bi Ai x ) = 0 ,
yi (Ai x < bi )
.
, cT x = bT y : .
xj ( j)

m
X
cj = cj
aij yi ,
i=1

j , .
.
y
max{bT y : y T A c, y 0}
(3.11), .

3.2. -

61

Pn
xj (cj i=1 aij yi ) = 0 , j (xj >
0) , , (
cj < 0 xj = 0).

3.2. -
(3.2).
def

J N = {1, . . . , n} m (|J| = m) (rank AJ = m) . ,


B = AJ , x = (xJ = B 1 b, xN \J = 0),
Ax = b .
J x =
(xJ = B 1 b, xN \J = 0) , B 1 b 0. , (3.2).
J ,
B = AJ y = (B T )1 cJ , (3.2). x =
(xJ = B 1 b, xN \J = 0) .
3.1, (3.2)
,
.
- .
J = {j1 , . . . , jm }
P
j N \ J
m
cj = cj i=1 aij yj , y = (B T )1 cJ B = AJ .

jk arg min{xjk /(B 1 Aj )k : (B 1 Aj )k > 0, k = 1, . . . , m},
,
.
- , :
) ;
) hj = B 1 Aj .
) x , , .

62

3.
)
def

x(t) = (x(t)J = B 1 b thj , x(t)j = t, x(t)N \(J{j}) = 0)


t > 0.
cT x(t) = (cJ )T (B 1 (b tAj ) + tcj = y T b + t(cj y T Aj )
cj = cj y T Aj > 0, limt cT x(t) = . , ) , .

3.2.1. -
:
5x1 + 2x2 + 3x3 max,
2x1 + 3x2 + x3 10,
4x1 + 2x2 + 2x3 12,
2x1 + x2 + 2x3 8,
x1 , x2 , x3 0.

(3.12)

x4 , x5 x6 , :
5x1 + 2x2 + 3x3
max,
2x1 + 3x2 + x3 + x4
= 10,
4x1 + 2x2 + 2x3
+ x5
= 12,
(3.13)
2x1 + x2 + 2x3
+ x6 = 8,
x1 , x2 , x3 , x4 , x5 , x6 0.
, c , J 0 = {4, 5, 6},
x0 = (0, 0, 0, 10, 12, 8). cT x0 = 0. (3.13)
cT x = 0, :
5x1 + 2x2 + 3x3 + 0x4 + 0x5 + 0x6 = 0,
2x1 + 3x2 + x3 + x4 + 0x5 + 0x6 = 10,
4x1 + 2x2 + 2x3 + 0x4 + x5 + 0x6 = 12,
2x1 + x2 + 2x3 + 0x4 + 0x5 + x6 = 8,
x1 , x2 , x3 , x4 , x5 , x6 0.

(3.14)

3.2. -

63

,
(3.14), , .
, , , .
1. 1 x1 , x2 x3 , 5, 2 3. ,
x1 . . 2, 3 4 ( ), x1
, : x4
2, x5 4, x6 2. ,
x4 , x5 x5 ,
:  = min{10/2, 12/4, 8/2} = 3. x5 .
5 1,
J 1 = {4, 1, 6}.
, :
( )
; ( ); , .
-, ,
(3.14) , .
3 ( 2) 4,
1) 5 1, 2) 2
2, 3) 2 4.
:
0x1 21 x2 + 12 x3 + 0x4 54 x5 + 0x6 = 15,
0x1 + 2x2 + 0x3 + x4 12 x5 + 0x6 = 4,
1x1 + 12 x2 + 12 x3 + 0x4 + 14 x5 + 0x6 = 3,
0x1 + 0x2 + x3 + 0x4 12 x5 + x6 = 2,
x1 , x2 , x3 , x4 , x5 , x6 0.
, : x1 = (3, 0, 0, 4, 0, 2)T .

64

3.

2.
x3 , x1 x6 . b x2 : 3/(1/2) = 6 2/1 = 2.
2 4,
. : J 2 = {4, 1, 3}. : 1) 4 1/2 1, 2) 4 1/2
3. :
0x1 21 x2 + 0x3 + 0x4 x5 12 x6 = 16,
0x1 + 2x2 + 0x3 + x4 12 x5 + 0x6 = 4,
1x1 + 21 x2 + 0x3 + 0x4 + 12 x5 12 x6 = 2,
0x1 + 0x2 + x3 + 0x4 12 x5 + x6 = 2,
x1 , x2 , x3 , x4 , x5 , x6 0.
: x2 = (2, 0, 2, 4, 0, 0)T .
3. ,
x2 . , x = (2, 0, 2)T
(3.12).

3.2.2. -
1. (3.14) :

z
x4

b
0
10

x1
5
2

x2
2
3

x3
3
1

x4
0
1

x5
0
0

x6
0
0

x5

12

x6

10
2

=5

12
4

=3

8
2

=4

x1 5, , 1 . . , , b ( ) -

3.2. -

65

. -. . - . x5 . x5 , x1 .
- .
, .
- .
. .
2.
b
-15

x1
0

x2
12

x3

1
2

x4
0

x5
45

x6
0

x4

21

1
2

1
2

1
4

21

x1

x6

b
-16

x1
0

x2
12

x3
0

x4
0

x5
-1

x4

12

21

1
2
12

3.

x1

1
2

x3

x6
21

,
.
z - , .
:
) x = (2, 0, 2)T ,
) y = (0, 1, 1/2)T .

66

3.
:
2x1 + x2 + x3 max,
4x1 + 2x2
8,
x1 + x2 + x3 5,
x2 + 2x3 5,
x1 , x2 , x3 0.
- .

1.

b
0

x1
2

x2
1

x3
1

x4
0

x5
0

x6
0

x4

x5
x6

5
5

1
0

1
1

1
2

0
0

1
0

0
1

b
-4

x1
0

x2
0

x3
1

x4
12

x5
0

x6
0

x1

1
4
14

x5

1
2
1
2

3
5
2

2.

x6

b
z

13
2

x1
0

x2
12

x3
0

x4
12

x5
0

x6
21

x1

1
2

x5

1
2
5
2

1
0

21
1
2

3.

x3

1
4
14

1
2

:
a) x = (2, 0, 5/2),
b) y = (1/2, 0, 1/2).

3.3.

67

3.3.


, .
.

3.3.1.

(), . .
. ,
175 ,
150 . 200 ,
100 .
: , .
.

$0.15
$0.25
$0.10

50
150
90

0
100
50

70
10
0

30
80
200

, .
:
E ;
C ;
S .

68

3.

:
0.15E + 0.25C + 0.1S min,
50E + 150C + 90S 175,
100C + 50S 150,
70E + 10C
200,
30E + 80C + 200S 100,
E, C, S 0.

()
()
()
()

3.3.2.
. 3.1
,
, .

.-

. 3.1.

,
.
,

3.3.

69

.
6.5 AG + 4.6 M F + 3.5 JF + 2.5 F O + 0.8 LO
1.5 HC 1.7 LC 0.4 LN 0.4 HN
0.9 O 0.3 HO 0.3 R 0.4 CG 0.3 CO max,

(3.15a)

LC 10,

(3.15b)

HC + LC 25,

(3.15c)

O 8,

(3.15d)

0.12 HC + 0.17 LC = LN,

(3.15e)

0.23 HC + 0.28 LC = HN,

(3.15f)

0.41 HC + 0.34 LC = O + HO,

(3.15g)

0.24 HC + 0.21 LC = R + LO,

(3.15h)

CG = 0.65 O,

(3.15i)

CO = 0.35 O,

(3.15j)

AG + M F = LN + HN + CG,

(3.15k)

JF + F O HO + R + CO,

(3.15l)

AG 1.5 LN,

(3.15m)

AG 1.2 LN + 0.3 HN,

(3.15n)

AG 0.5 M F,

(3.15o)

JF 4,

(3.15p)

HC, LC, LN, HN, O, HO, R, CG, CO, AG, M F, JF, F O, LO 0. (3.15q)
. :
AG ;
M F ;
JF ;
F O ;
O ;
HC ;
LC ;
HN ;
LN ;
O ;

70

3.

HO ;
R ;
CG ;
CO .
(3.15) , . ,
(3.15b), .
(3.15), , , (3.15b) , 10 ( 1000 ). (3.15c) (3.15d) ,
25 ,
8 .
(3.15e)(3.15h) ,

. , (3.15e) , 0.17 ,
0.12 . ,
(3.15e).
(3.15f)(3.15h) .
, , . . .
( , , ,
) .
. ,
(3.15m) , 23 , (, ,
).
, MIPCL, 3.2.

3.3.

Objective Value = 51.6683


Variables:
Name
Value
Lube O
0.000000
Fuel O
6.050000
Jet Fuel
4.000000
Motor Fuel
9.966667
Aviation Gasoline
4.983333
Cracked O
2.800000
Cracked Gasolines
5.200000
R
5.700000
Heavy O
1.550000
O
8.000000
Heavy Naphthas
6.250000
Light Naphthas
3.500000
Light Crude 10.000000
Heavy Crude 15.000000

71

Reduced Cost
-1.400000
0.000000
1.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.811667
0.000000
0.000000
0.063333
0.000000

Constraints:
Name
Sales limit (av.gas)
Octane number
Quality
Fuel-oil blending
Gasoline blending
Cracking->O
Cracking->Gasoline
Dist->R
Dist->O
Dist->HevyNaphthas
Dist->LN
Dist. capacity

Shadow price
1.266667
0.000000
0.000000
2.500000
5.233333
2.200000
4.833333
2.200000
2.200000
-4.833333
-4.833333
1.621667

3.2.

72

3.

3.3.3.
n , j-
pj . j vj . ,
m (). vj
. vij vj , i. vij m n- V .
x = (x1 , . . . , xn )T :
xj > 0, xj j, xj < 0, xj
j . ,
( ):
pT x < 0,

(3.16a)

V x 0.

(3.16b)

(3.16a) ,
Pn
, . j=1 vij xj 0
(3.16b) , x
m .
, . ,
.
3.2. .
) ,
V T y = p,

y 0.

) p1 , . . . , pj1 , pj+1 , . . . , pn ,

pmin
= min{pj : V T y = p, y 0, pj 0},
j
pmax
= max{pj : V T y = p, y 0, pj 0},
j
,
pmin
pj pmax
.
j
j

3.3.

73

. (3.16) :
min{pT x : V x 0},

(3.17)

, , (3.17) . (3.1)

max{0T y : V T y = p, y 0}
. ,
a).
) a). 2

3.3.4. DEA
DEA (Data Envelopment Analysis) ( , , , ,
). DEA
. , n , 1, . . . , n. i (i = 1, . . . , n)
rij j (j = 1, . . . , m) sik k (k = 1, . . . , l). i

Pl
sik uk
def
Ei (u, v) = Pk=1
m
j=1 rij vj
, uk vj , .
i0 , - :
max{Ei0 (u, v) : Ei (u, v) 1, i = 1, . . . , n; i 6= i0 ; u Rl+ , v Rm
+ }.

74

3.

:
l
X

si0 k uk max,

k=1
m
X

(3.18a)

ri0 j vj = 1,

(3.18b)

j=1
l
X
k=1

sik uk

m
X

rij vj ,

i = 1, . . . , n; i 6= i0 ,

(3.18c)

j=1

uk 0,

k = 1, . . . , l,

(3.18d)

vj 0,

j = 1, . . . , m.

(3.18e)

(u , v ) (3.18).
Ei0 (u , v ) < 1, i0 , ,
i, Ei (u , v ) = 1.

, .
, , .
DEA, ,
. DEA 3.3.4.
1, :
E1 = 1600u1 max,
32v1 + 3200v2 = 1,
400u1 16v1 600v2 0,
600u1 24v1 600v2 0,
400u1 24v1 400v2 0,
200u1 16v1 160v2 0,
80u1 8v1 40v2 0,
u1 , v1 , v2 0.

3.3.

75

3.3
DEA


() ()
1
32
3200
1600
2
16
600
400
3
24
600
600
4
24
400
400
5
16
160
200
6
8
40
80

3.3.5.
x [0, 1]n , xi
i . , , 1. x1
x2 , x1 x2 ,
x2 x1 , x1 x2 .
, u : [0, 1]n R, u(x)
, x.
, ,
. , u (
) (

) .
,
x1 , . . . , xm , .

1) P {1, . . . , m}2 : (i, j)
P xi xj ;

76

3.
2) Pweek {1, . . . , m}2 :
(i, j) Pweek , xi xj .

u :
u(xi ) > u(xj ),
i

u(x ) u(x ),

(i, j) P,
(i, j) Pweek .

(3.19)

u tu (t > 0)
, (3.19) :
u(xi ) u(xj ) + 1,
i

u(x ) u(x ),

(i, j) P,

(i, j) Pweek .

(3.20)

def

ui = u(xi ) g i u
xi . (3.20) A.6 (u )

ui uj 1,
ui uj 0,

(i, j) P,

(3.21a)

(i, j) Pweek ,

(3.21b)

i T

ui uj (g ) (x x ),
g1i , . . . , gni

0,

i, j = 1, . . . , m,

i = 1, . . . , m.

(3.21c)
(3.21d)

(3.21c) , u .
, (3.21d),
, u .
(3.21), ,
P
Pweek .
(3.21) u1 , . . . , um ; g 1 , . . . , g m , 4.1


def
u(x) = min ui + (g i )T (x xi ) .
1im

(3.21) , ,

P Pweek .
, (3.21) .
(k, l) 6 P Pweek . , (xk , xl ) . ,

3.3.

77

. ,
uk ul (3.21), , , xl xk . ,
(3.21) ul uk ,
, xk xl .

3.3.6.
X {1, . . . , n} ,
{1, . . . , m}. X m n m P pkj = P(X = k| = i). , i-
P X , = i.
()
X. ,
X m (
), ( ). , ,
m , .

X ,
1, . . . , m.
mn- T tik = P( = i|X = k).
X = k, = i tik .
mm- D = T P dij = P( = i| = j),
. . dij = i, = j.
,
1 dii =

dij = P( 6= i| = i),

i = 1, . . . , m,

j6=i

78

3.

:
m
X

dii min,

(3.22a)

i=1
n
X

pkj tik dij = 0,

i, j = 1, . . . , m,

(3.22b)

tik = 1,

k = 1, . . . , n,

(3.22c)

tik 0,

i, . . . , m; k = 1, . . . , n.

(3.22d)

k=1
m
X
i=1

(3.22b) D = T P . (3.22c) (3.22d) , tik , : tik = P( = i|X = k).

3.4.
. m n
. i ai ,
j bj . i j cij .
xij ,
i j. X = [xij ], .

:
m X
n
X

cij xij min,

i=1 j=1
n
X
j=1
m
X

(3.23a)

xij ai ,

i = 1, . . . , m,

(3.23b)

xij = bj ,

j = 1, . . . , n,

(3.23c)

i = 1, . . . , m; j = 1, . . . , n.

(3.23d)

i=1

xij 0,

(3.23a)

3.4.

79

. (3.23b) , .
(3.23c) , , .

3.4.1.
-,
(3.23) , :
m
X

exc =

i=1

ai

n
X

bj = 0.

(3.24)

j=1

,
exc < 0, (m + 1)-
am+1 = exc cm+1,j = 0,
j = 1, . . . , n;
exc > 0, (n + 1)-
bn+1 = exc ci,n+1 = 0, i = 1, . . . , m.
(3.24), (3.23b)
. (3.23):
m
X
i=1

ai i +

n
X

bj j max,

(3.25a)

j=1

i + j cij ,

i = 1, . . . , m; j = 1, . . . , n.

(3.25b)

i j . , (, ) (3.25)
def

cij = cij i j .
.
3.3. x (3.23) ,
(, ),
cij 0,
cij xij = 0,

i = 1, . . . , m; j = 1, . . . , n,
i = 1, . . . , m; j = 1, . . . , n.

(3.26)
(3.27)

80

3.

() x (3.23) ,
) IJ m + n 1 xij ,
, (i, j) IJ xij > 0;
) IJ
Km,n (. C.1).
IJ , xij (i, j) IJ
.
. , m + n 1 ,
(m + n) (3.23). , m + n 1,
( )
() .
x (, ), (3.27). ,
, 3.3 x .
, xij , .

. 3.2. , ,
. (3.24)
m + n 1, m + n 1.
,
xij = 0 .
. , ,
cij = 0 .
:
-

x ( (3.23)). : - .

3.4.
c11

c11 c12
x11

c1j

c12

x12
c21 c22

c21

81

x21
..
.

xi1
..
.

x22
..
.

..
.

cm1 cm1 cm2 cm2

x2j
..
.
cij
xij
..
.
cmj

c1n

cmj

xmj
i

c1n

x1n
c2n

c2n

x2n
..
.

..
.

cij

xi2
..
.
xm2

c2j

..
.
ci2

xm1

x1j
c2j

c22

ci1 ci2

ci1

c1j

cin

..
.

1
2
..
.

cin
xin
..
.

cmn cmn
xmn

i
..
.
m

. 3.2.
. a
= a, b = b, x = 0.
k = 1, . . . , m + n 1 (i, j) ()
xij = min{ai , bj },

a
i := a
i xij ,

bj := bj xij .

a
i = 0, i- ;
j- .

()
. , 1 = 0. ,
(i, j), , i j . i +j = cij .
i j ,
(i, j) :
cij = cij i j .

82

3.

(k, l) ckl .
ckl 0,
.
(k, l) = (i0 , j0 ), (i0 , j1 ), (i1 , j1 ), . . . , (is1 , js ), (is , js ) = (i0 , j0 ),
(k, l),
(i0 , j1 ), (i1 , j1 ), . . . , (is1 , js )
. , (i0 , j0 ) = (k, l)
i0 (i0 , j1 ),
(i1 , j1 ).
(i1 , j2 ), ,
(is , js ) = (k, l).

( )
 = min{xi0 ,j1 , xi1 ,j2 , . . . , xis1 ,js }
  :
xit1 ,jt := xit1 ,jt ,

xit ,jt := xit ,jt + ,

t = 1, . . . , s.

3.4.2.
, , . 1,2 3
: 26 1, 43
2, 31 3. 4,5,6 : 32
4, 28 5, 26 6.

1
2
3

4
120
156
225

5
70
240
160

6
350
75
145

3.4.

83

. .
, ()
1,2 3, 5,6 7.
.
26 + 43 + 31 = 100
32 + 28 + 26 = 86, 14. - .
.
1.
32
120
26
156
6
225 -1

26
43
31

70
240
28
160

120

28
-134

-150
+
204

26
350

311

75
9
145
17

14
106

70

0
36

+
0
-

106

14
-106

39

(3, 2)
, . , -,  = min{17, 28} = 17. , +, , -.
, 2.
2.
120
26
156
6
225

70
+
149

120

240
11
160
17

-134
+
-

204

350

311

75
26
145

150
39

-44

-80

0
14

0
36
-44

44

84

3.

(1, 3)
, . , -,  = min{26, 11} = 11. , +, , -.
, 3.
3.
120
15
156
17
225

70
11
240
15

120

350
134

160
17
70

311

75
26
145

16
39

90

54

0
14
-90

0
36
90

,
.
:
1: 15 4 11 5;
2: 17 4 26 6;
3: 17 5.

3.4.3.
, , , .
100 . 440 :
1,4: 60 20 .
2,3: 100 40 .
40 (2 (60 + 20 + 100 + 40) 4 100),
20 .
10 .

3.4.

85

3.4

0
10
150
60
200
20
200
10
250


2
3
4
5
10
15

170

205

210

215

220

155

160

165

210

215

155
30
205
40
150
30
200

160

210

155
20
205

250

200

100

20

165

He.
.

160

205
30
150
70
200

155

150
90
200
10
200

100

250
100

100

20

.
.
10
60
20
100
40
100
40

10
0
20
30

60
20
450

$150,
$200.
$5.
. $50.


, ( + ).

, . 3.4. -
. .

86

3.

3.5.
3.1. . 3.1, :
a)

2x1 4x2 + 3x3 max,


x1 + x2 x3 = 9,
2x1 + x2
5,
x1
3x3 4,
x1
0,
x3 0.

) 5x1 x2 + 4x3 max,


x1 + x2 + x3 = 12,
3x1
2x3 1,
x2 x3 2,
x1 , x3 0;

3.2. 250
: 1) , 2) 3) $2.60, $2.50 $2.30 .
: . 1 80 %, 2 50 %, 3
30 %. 200 . ,
$3.60 ., 300 . , $2 .
, $0.30.

, .
3.3.
5 , :

Moodys

M1
M2
G1
G2
A

Aa
Ba
Aaa
Aaa
Aaa

2
5
1
1
1

9
2
4
3
3

(% )
4.3
4.5
5.0
4.4
4.4

(%)
0
0
50
50
50

:
1) 60 %;
2)
1.4 (,
, );
3) ,
, .

3.5.

87

x = (xM1 , xM2 , xG1 , xG1 , xA )


( ). xM1 , xM2 , xG1 , xG1 , xA ,
M1 , M2 , G1 , G1 , A.
a) .
) ,
M1 , G2 A, .
3.4. , .
:

1
2
3

1
1
3
1

2
2
2
0

3
1
0
2

80 1, 200 2 70
3.
, 15 , 1 $350 $200 , $50.
, 20 , 2
$250 $150 , $80.
10 3 $450 ,
5 3 $300
,
$170.
, ,
,
.
3.5. F1 F2
P1 P2 .
C1 C2 .

88

3.

C1
C1
C2
C2

1
()
100
250
200
300

P1
P2
P1
P2

2
()
100
150
100
150


$90 P1 $50 P2 . ,
, 10 %.
, :

F1
F2

( )
.

60
80

30
40

.
( )
. 1

. 2

2
3

5
5

. .
($ )
.

100
100

150
150

( ) :
F1
F2

C1
10
5

C2
5
15

.
3.6. :
a) 5x1 + 3x2 + 4x3 max,
2x1 + x2 + x3 4,
x1 + x2 + 2x3 3,
x1 + 3x2 + x3 9,
x1 , x2 , x3 0,

) 3x1 + x2 + 4x3 max,


x1 + x2 + x3 = 8,
3x1
2x3 1,
x2 x3 2,
x1 , x2 , x3 0.

3.7.
5x1 + 3x2 + x3 max,
4x1 + 2x2 x3 8,
3x1 x2 + 2x3 5,
x1 + 2x2 + 2x3 6,
x1 , x2 , x3 0,

3.5.

89

, : y = (1, 0, 1)T .
3.8.
5x1 + 6x2 + 3x3 max,
x1 + 2x2 + x3 7,
2x1 + x2 2x3 0,
x1 + x2 + 3x3 9,
x1 , x2 , x3 0,
, : x = (1, 2, 2)T .
3.9. $2, $1 $3 .
.
:

$1
$2
$4

$2
$3
$4

$2
$1
$1

?
3.10. : 1) (, ) r (r > 1) , 2) XYZ,
S , 3) XYZ. ,
, , XYZ
K.
,
. XYZ u (u > r),
d (d < 1).
:

p1 = 1, p2 = S, p3 = ?;

V =

r
r

uS
dS

max{0, uS K}
max{0, dS K}


.

p3 ?
3.11.
. , ,

90

3.

1
2
3

35
110
80

()
1 2
3
290
380
220
410
340
370
350
390
440
70

90

50

, , , , .
3.12. ,
. ( ) . , ,
.
, .

1
2
3
4
.

1
2
15
20
10
9

3
9
1
7
5
8
7
3
140 180

3
13
12
-
5
4
3
8
150

80
110
150
100

34
32
31
30

3.13.
.
.
$2.
:


($)

1
2
3

100
100
65

20
12
18

14
18
18

18
21
21

( )

( )

91

3.5.

60
80
140

3.14. . .
, 1 10
:

1
2
3

C1
8
6
4

C2
10
9
8

C3
7
8

C4
3
5
5

C5
8
7
9

1 , , 10
, . ,
.
,
( ) .
3.15. . n n . i j tij , i, j = 1, . . . , n.
( ),
.
1) .
2) , , n = 4, :

4 3 1 12
5 8 6 2

5 10 1 6 .
7 3 4 11

92

3.

3.16. 4 100, 100 :


(), (),
(), ().
,
:

1
2
3
4
5

C
54
52
56
53
53


54
51
57
52
53
54
54
55
55
53

53
49
50
55
50

, , .
3.17. A B B A. :

301
302
303
304

A B
-

6:30
9:30
8:00
11:00
13:30
16:30
18:00
21:00

401
402
403
404

B A
-

7:00
10:00
9:30
12:30
12:30
15:30
20:00
23:00


( ). () ,
, , , . , A
A B, B
A. , B B
A, A B. ()
.

,
.

3.5.

93

, , A, 302 404, 20:0011:00=9:00


. , B,
402 303, 402 (12:30) 303 (13:30) ,
303 . ,
13:30+24:0012:30=25:00 .

.
3.18.

n
n

X
X
aj xj b, 0 xj uj , j = 1, . . . , n
max
cj xj :

(3.28)

j=1

j=1

c cj , aj > 0 j = 1, . . . , n. : {1, . . . , n}
{1, . . . , n} ,
c(1)
c(2)
c(n)


,
a(1)
a(2)
a(n)

r1
X

a(j) u(j) b,

j=1

r
X

a(j) u(j) > b.

j=1

, (3.28) :
x(j) = u(j) , j = 1, . . . , r 1,
Pr1
b j=1 a(j) u(j)

x(r) =
,
a(r)
x(j) = 0,

j = r + 1, . . . , n.

3.19. . m n A b Rm . m > n, Ax = b
.
x, Ax b . l2 , l1 l .

94

3.

:
kAx bk2 =

m
X

(Ai x bi )2 min,

i=1
m
X

(3.29)

|Ai x bi | min,

(3.30)

kAx bk = max |Ai x bi | min .

(3.31)

kAx bk1 =

i=1
1im

(3.29) : AT Ax = AT b ( !). A
(rank A = n), (3.29) 1 T
x = AT A
A b ( ,
. 4.8 = 0).
, , . (3.30) (3.31)
.
3.20. ,
max,
m
X

tij = 1,

i = 1, . . . , n,

aijk tij = ,

k = 1 . . . , q,

i=1
m X
n
X
j=1 i=1

tij 0,

i = 1, . . . , m; j = 1, . . . , n,

. . . .
q . n , m .
i j aijk
k (k = 1, . . . , q). tij i
j,
.
3.21. .
def

Xr, = {x Rn :

r
X
i=1

xx (i) },

3.5.

95

r (1 r n), , x x :
xx (1) xx (2) xx (n) .
, x
(xi , i), , 10 %
80 % ,
x Xd0.1ne,0.8 .
, Xr, x
r +

n
X

yi ,

i=1

xi yi 0,

i = 1, . . . , n,

yi 0,

i = 1, . . . , n,

c 2n + 1 ( R, x, y Rn ) 2n + 1 .
. , x Xr, ,

)
( n
n
X
X
vi = r, 0 vi 1, i = 1, . . . , n .
max
xi vi :
i=1

i=1

.
3.22. : ,
. , , $1.
- t , t 1, , . 3.5 ).
, , t 1, t
t + 1 (. . 3.5 )).

; . ( 0)
. 3.5 ).

96

3.

3.5
3.22

t 1

t 1

0.1
0.2
0.2
0.5

t

0.4
0.3
0.1
0.2
0.3
0.2
0.2
0.3

1 . t + 1

0.0
0.6
0.8
0.1
0.2
0.2
0.2
0.1
0.2
0.3
0.2
0.1

120
90
80

0
.
250
300
200

500 .
() 50 , 60 , 40
.
H , .
, .

()

1
Q(x) = cT x + xT Dx min,
2
Ax b,

(4.1)

x 0,
A m n, D
n n, c Rn , b Rm . D , Q(x)
D
= 1 (D + DT ).
Q(x) = cT x + 12 xT Dx,
2

4.1.

(4.1):
c + Dx AT y u = 0,
y 0, u 0,
T

y (Ax b) = 0, uT x = 0,

(4.2)

Ax b 0, x 0.
, Q(x) (D
), (4.2) .
v = Ax b, (4.2)

98

4.

:
  
   
u
c
D AT x

=
,
v
y
b
A
0
   
   
 T  
u
0
x
0
u
x

,
= 0.
v
0
y
0
v
y

(4.3)

(4.3) .

4.2.

, .
M n, q Rn .
()
w = (w1 , . . . , wn )T z = (z1 , . . . , zn )T ,
:
w M z = q,

(4.4a)

w z = 0,

(4.4b)

w, z 0.

(4.4c)

4.2.1.
(4.4),
(wj , zj ), -. ( ) , . , 1-,
- ,
:
) ( )
, ;
) , , , -.

4.2.

99

(4.3) :

u
v

c
b

In
0

0
Im

D
A

AT
0

4.2.2.
:
1
6x1 + 3x2 x21 x1 x2 x22 max,
2
x1 + x2 4,

(4.5)

x1 2,
x1 , x2 0.
(4.1):
1
6x1 3x2 + (x21 + 2x1 x2 + 2x22 ) min,
2
x1 x2 4,
x1 2,
x1 , x2 0.

 
 
6
4
c=
, b=
,
3
2




1 1
1 1
D=
, A=
.
1 2
1 0
, D , (4.5) -

100

4.

. (4.3):

1
u1
u2 1

v1 1
1
v2


6
1 1 x1
x2 3
1 0
= ,
0 0 y1 4
0 0
2
y2

1
2
1
0

(4.6)

u1 , u2 , x1 , x2 , y1 , y2 , v1 , v2 0,
u1 x1 = 0, u2 x2 = 0, v1 y1 = 0, v2 y2 = 0.
(4.6) :

u1
u2
v1
v2

q
-6
-3
4
2

u1
1
0
0
0

u2
0
1
0
0

v1
0
0
1
0

v2
0
0
0
1

x1
-1
-1
1
1

x2
-1
-2
1
0

y1
-1
-1
0
0

y2
-1
0
0
0

-
, z .
-
.
1. -
, ,
s:

u1

u2

v1

v2

x1

x2

y1

y2

u1

-6

-1

-1

-1

-1

-1

u2
v1
v2

-3
4
2

0
0
0

1
0
0

0
1
0

0
0
1

-1
1
1

-2
1
0

-1
0
0

0
0
0

-1
-1
-1

t = 1 qt = 6 s 1, u1 , .

4.2.

101

q
6

u1
-1

u2
0

v1
0

v2
0

x1
1

x2
1

y1
1

y2
1

s
1

6
1 =6

u2
v1

3
10

-1
-1

1
0

0
1

0
0

0
2

-1
2

0
1

1
1

0
0

v2

-1

8
2

10
2

=5

= 4 (min)

x1 4.
.
-,
a)
;
) ( );
) s .
(u1 , x1 ).
2. x1 ( u1 ,
). , . ,
q x1 .
4, 4 (v2 ).
4 x1 ,

q
2

u1
12

u2
0

v1
0

v2
12

x1
0

x2

y1

y2

1
2

1
2

1
2

s
1

2
=4
1/2

u2

-1

-1

3
1

v1
x1

2
4

0
12

0
0

1
0

-1

0
1

1
2

1
2

0
0

1
2

1
2

= 3 (min)

4
1/2

=8

3. v2 ,
y2 . q y2 .
2, u2 , . 2
y2 ,

102

4.

u1

u2

v1

v2

1
2

21

12

y2
v1

3
2

-1
0

1
0

0
1

x1

5
2

21

x1

x2

y1

y2

1
2

1
2

0
-1

0
0

-1
1

0
0

1
0

0
0

2
=2
1

1
2

1
2

5
2

(min)

4. u2 ,
x2 . q x2 .
1, s, . 1
x2 ,

x2

v1

1
2
7
2
3
2

x1

y2

u1
0

u2
12

v1
0

v2
12

x1
0

x2
1

y1

-1

12

1
2
1
2

12

1
2
1
2
12

y2
0

s
1

-1

-1

s, v1 = 3/2,
x1 = 2, x2 = 1/2 y2 = 7/2.
: x = (2, 1/2)T (4.5).

4.3.

. (H. Markowitz) 1990
6 ,
,
() .
B n (,
. .). pi i , . . pi
6 H. Markowitz. Portfolio Selection: Efficient Diversification of Investments, 1959,
Wiley, New York.

4.3.

103

, (
). x = (x1 , . . . , xn )T ,
xi
Pn ( ), i
(i = 1, . . . , n), i=1 xi = B, xi 0, i; xi < 0,
(. . i
xi ) i.
, ,
(,
). , p1 , . . . , pn
, p = (p1 , . . . , pn )T
() p . x
pT x () pT x () xT x.
. :
xT x min,

(4.7a)

p x rmin ,
n
X
xi B,

(4.7b)
(4.7c)

i=1

xi 0,

i = 1, . . . , n.

(4.7d)

, . , rmin ( (4.7b)). ,
(4.7c). ( (4.7d)).
, (4.7) (4.7d)
:
xli 0, xsi 0, xi = xli xsi ,
n
n
X
X
xsi
xli .
i=1

i = 1, . . . , n,

(4.8a)
(4.8b)

i=1

(4.8b) (, = 0.25)
.

104

4.

, . x0 , , x, .
fib fis i 1
(i = 1, . . . , n). i yib
yis ,
x, :
xi = x0i + yib yis , yib 0, yis 0,

i = 1, . . . , n.

Pn
, i=1 xi B
n
n
X
X
(1 + fib )yib = B +
(1 fis )yis ,
i=1

i=1

, ,
, B (, B = 0),
, ,
.

4.3.1.
4- .

1
2
3
4

pi
1.12
1.1
1.07
1.03

i
0.2
0.1
0.05
0

4 3 %.
:
12 = 0.03, 13 = 0.04 23 = 0.

4.4.

105

ii = i2 , ij = ij i j , 4 = 0,
:

0.04
0.0006
=
0.0004
0

0.0006
0.01
0
0

0.0004 0
0
0

0.0025 0
0
0

(4.7):
0.04x21 + 0.01x22 + 0.0025x23 + 0.0012x1 x2 0.0008x1 x3 min,
1.12x1 + 1.1x2 + 1.07x3 + 1.03x4 rmin ,
x1 + x2 + x3 + x4 = 1,
x1 0, x2 0, x3 0, x4 0.
, , B = 1, xi , i (i = 1, . . . , n).

4.4.

,
, .
:
Nt t = 1, . . . , T ;
qit t, i,
i = 1, . . . , m, t = 1, . . . , T .
i , i = 1, . . . , m,

106

4.

T X
m
X

(qit i Nt ) min,

t=1 i=1
m
X

i = 1,

i=1

i 0,

i = 1, . . . , m.

4.5.

.
4.1. , x1 , . . . , xm
R y1 , . . . , ym R,
, g 1 , . . . , g m Rn ,

n

(xj xi )T g i yj yi ,

i, j = 1, . . . , m.

(4.9)

g 1 , . . . , g m (4.9),
def

f (x) = max

1im

yi + (g i )T (x xi )

.
. f ,
Rn . A.6, xi g i
Rn f ,
f (x) f (xi ) (g i )T (x xi ) x Rn , i = 1, . . . , m.

(4.10)

x xj ,
(4.9).
2
: f , x1 , . . . , xm Rn y1 = f (x1 ), . . . , ym = f (xm ), y1 , . . . , ym .

4.6.

107

, 4.1
:
m
X
(yi yi )2 min,
(4.11)
i=1
(xj xi )T g i yj yi ,

i, j = 1, . . . , m.

, (4.11) y1 , . . . , ym
g 1 , . . . , g m , m(n + 1) .

4.6.


: , .
. ,
: , ,
. , ,
600 000 750 000 .
:

1
2

4
80
35
25

9
2
30
40

87
18
35
35

(1000 )
($ )

4820
594

320
1440

1
210
2100

2
70
1630

108

4.

EA A

. A
B - EAB A
B
A B.
-
, .

EM

EB

1
EC1

2
EC2

1/ 2
EC1 ,C2

2/ 1
EC2 ,C1

0.4

2.7

1.1

0.4

0.1

0.4

,
,
,
, . . ,

, ,
. ()
?

4.6.1.
xM , xB , xC1 , xC2 pM , pB , pC1 , pC2 (= ) ( ) (
) , , 1 2.
pM xM + pB xB + pC1 xC1 + pC2 xC2 max,

(4.12a)

0.04xM + 0.8xB + 0.35xC1 + 0.25xC2 600,

(4.12b)

0.09xM + 0.02xB + 0.3xC1 + 0.4xC2 750,

(4.12c)

4.82pM + 0.32pB + 0.21pC1 + 0.07pC2 3.87898,


dpM
dxM
= EM
,
xM
pM
dxB
dpB
= EB
,
xB
pB
dxC1
dpC1
dpC2
= EC1
+ EC1 ,C2
,
xC1
pC1
pC2

(4.12d)
(4.12e)
(4.12f)
(4.12g)

4.6.
dxC2
dpC2
dpC1
= EC2
+ EC2 ,C1
,
xC2
pC2
pC1
xM 0, xB 0, xC1 0, xC2 0,
pM 0, pB 0, pC1 0, pC2 0.

109

(4.12h)
(4.12i)
(4.12j)

(4.12a)
, . (4.12b)
(4.12c) : . (4.12d) :
,
0.594 4 820 000 + 1.440 320 000 +
2.100 210 000 + 1.630 70 000 = 3 878 980 . .
(4.12e)(4.12h) .
(4.12e)(4.12h),
x p . (4.12a) (4.12b),
(4.12c), .
,
:
xM x
M
pM pM
= EM
,
x
M
pM
xB x
B
pB pB
= EB
,
x
B
pB
xC1 x
C1
pC pC1
pC pC2
= EC1 1
+ EC1 ,C2 2
,
x
C1
pC1
pC2
xC2 x
C2
dpC2
pC pC1
= EC2
+ EC2 ,C1 1
,
x
C2
pC2
pC1

(4.13)

x
M , x
B , x
C1 , x
C2 pM , pB , pC1 , pC2 ( ) ( ) , , 1 2
. ,
x p
x
p.

110

4.

(4.13), x p (4.12a)
(4.12b), (4.12c):
6492p2M 1200p2B 220p2C1 34p2C2 + 53pC1 pC2 +

(4.14a)

6748pM + 1184pB + 420pC1 + 70pC2 max,

(4.14b)

260pM + 960pB + 70.25pC1 0.6pC2 782,

(4.14c)

584pM + 24pB + 55.2pC1 + 5.8pC2 35,

(4.14d)

4.82pP + 0.32pB + 0.21pC1 + 0.07pC2 3.87898,

(4.14e)

pM 1.039, pB 0.987,

(4.14f)

220pC1 26pC2 420, 27pC1 + 34pC2 70,

(4.14g)

0.9
pM pM 1.1
pM , 0.9
pM pM 1.1
pM ,

(4.14h)

0.9
pC1 pC1 1.1
pC1 , 0.9
pC2 pC2 1.1
pC2 .

(4.14i)

(4.14f) (4.14g) xM 0,
xB 0, xC1 0 xC2 0 pM , pB , pC1 pC2 .
(4.14h) (4.14i) , .
1 (4.14)
. , , ,
. , - ,
.
()
, (4.14) (4.14e),
. .

4.7.
4.1. , x = (1, 1/2, 1)T
:
6.5x21 + 9.5x22 + 6x23 + 12x1 x2 2x1 x3 +6x2 x3 22x1 14.5x2 + 13x3 min,
0 x1 1, 0 x2 1, 1 x3 1.

4.7.

111

4.2.
2x1 + x21 + x22 x1 x2 min,
x1 + x2 = 2,
x1 1, x2 0.

4.3. x0 = (1, 1)T , :


2x1 + x2 2,
x2 1,
x1 , x2 0.
4.4. , x = (1, 1/2, 1)T
:
13x21 + 17x22 + 24x23 + 24x1 x2 4x1 x3 + 12x2 x3
44x1 29x2 + 26x3 min,
3 x1 1, 1 x2 1, 1 x3 4.
4.5. . p1 1 150 5p1 , p2
2 350 10p2 . 1 2 20 30.
1 2 . 20 , 8 .

, ?
4.6. ,
10 %, 12 %, 15 %,

300 100
0
100 800 200 .
0
200 1600
, ( ) 12 %?

112

4.

4.7. B
n.
:
a) :
min{cT x : xT Bx 1};
)
x 0 Rn :
min{cT x : (x x0 )T B(x x0 ) 1};
)
:
min{xT Dx : xT Bx 1},
D n.
4.8. . , x, Ax b
. minx (kAx bk, kxk)T .
k k2 ,
:
kAx bk2 + kxk2 min .

(4.15)

, (4.15) :
1 T
x = AT A + I
A b.

- () :
max{cT x : b1 Ax b2 , d1 x d2 , xj Z j S},

(5.1)

b1 , b2 Rm , c, d1 , d2 Rn , A m n-, x
n- (), S {1, . . . , n} .
() (|S| = n).
()
, . ,
. , . ,
, , , .
.

5.1.
x . , .

114

5. -

, x ( : 0 1),
x2 x = 0.
.
, ( )
min{cT x : Ax = e, x {0, 1}n },
c Rn , A m n- 0 1, e
m, 1, x = (x1 , . . . , xn )T ,
:
cT x min,
Ax = e,
x2i

xi = 0 ,

i = 1, . . . , n.

, x , . . 0 x d, d . d k = blog dc + 1 .
x {0, 1, . . . , d} :
x=

k1
X

2i si ,

i=0

s2i = si ,

i = 0, . . . , k 1.

, , , , .
, .
,
.

5.1.

115

5.1.1.
(.
5.1)

ax + b, 0 < l x u,
def
c(x) =
0, x = 0.


, 


, , , . .
q
u x
l
y . 5.1. ly x uy,

c(x) c(x, y) = ax + by.
c(x) 6

5.1.2.
x v1 , . . . , vk . ,
x , , :
1.4, 1.6, 1.9 2.0 .
x , y1 , . . . , yk

x v1 y1 v2 y2 . . . vk yk = 0,

(5.2a)

y1 + y2 + . . . + yk = 1,

(5.2b)

yi Z+ ,

i = 1, . . . , k.

(5.2c)

5.1.3.
y = f (x) [a, b].

a=x
1 < x
2 < < x
r = b

116

5. -
f (x) 6

q
@
@q

J

q
J
q


J



JJ

q
q


f (
x3 )
f (
x4 )
f (
x6 )
f (
x2 )
f (
x5 )
f (
x1 )

a=x
1

x
2

4
x
3 x

x
5

x
6 = b

. 5.2. -

[a, b]. (
xk , yk = f (
xk )) (
xk+1 , yk+1 = f (
xk+1 ))
, - f(x)
f (x) (. 5.2),
:
k k ,

k = 1, . . . , r,

k 0, k {0, 1},

(5.3a)

k = 1, . . . , r,

i + j 1, j = 3, . . . , r; i = 1, . . . , j 2,
r
r
r
X
X
X
x=
k x
k , y =
k yk ,
k = 1,
k=1

k=1

(5.3b)
(5.3c)
(5.3d)

k=1

(5.3a)(5.3b) , 1 , . . . , r
, , j1 j2 ,
, . . |j1 j2 | = 1. (5.3d) ,
(x, y)T (
xk , f (
xk ))T , k = 1, . . . , r.
(5.3a)(5.3d) , (x, y)T
f(x).

5.1.4.
f (x) , y = f (x) .
, f [a, b]
- f a = x
1 < x
2 < <
x
r = b (. 5.3).

5.1.

f (x) 6
f (
x5 )

f (
x1 )
f (
x2 )
f (
x4 )
f (
x3 )

117

@P
r

PP

Pr
-

a=x
1

x
3

x
2

x
4

x
5 = b

. 5.3.

k = 1, . . . , r 1
dk = x
k+1 x
k ,
qk =

f (
xk+1 ) f (
xk )
.
dk

f q1 q2 qr1 . xk (k = 1, . . . , r1)
x=

r1
X

xk ,

k=1

y = f (a) +

r1
X

(5.4)
q k xk ,

k=1

0 xk dk ,

k = 1, . . . , r 1.

.
5.1. y (,
), (5.4) y = f(x).

118

5. -

5.1.5.

.
: . (), () (x
x) ,

. ,
(x1 x2 ) (x1 x3 )

(5.5)

. ,
, ,
. 5.1 5.2.
5.1

x

5.2

x1

x2

x1 x2

x1 x2

,
(x1 , x2 , x3 ) = (,,)
(5.5) .

5.1.

119

n
():
m
^

i=1

i
xj j ,

(5.6)

jSi

Si {1, . . . , n} (i = 1, . . . , m) ji {0, 1}. def

def

: x1 = x x0 = x. ,
(5.5) .
(5.6)

,


W
ji

(jSi xj
) .
c 0, 1, x 1 x.
, (5.6) , :
X
jSi1

xj +

(1 xj ) 1,

i = 1, . . . , m,

xj {0, 1},

j = 1, . . . , n.

(5.7)

jSi0

def

{0, 1} Si = {j Si : ji =
}. ,
(x1 x2 x3 ) (x1 x2 ) (x2 x3 ) (x3 x1 )
,

x1 + x2 + x3 1,
x1 + (1 x2 ) 1,
x2 + (1 x3 ) 1,
x3 + (1 x1 ) 1,
x1 , x2 , x3 {0, 1}.

120

5. -

5.2.

, m
Ai x bi ,

i = 1, . . . , m,

q ( ). ,
i j ,
:
ei sj 0 ej si 0,
si ei i.

(
1, Ai x bi ,
yi =
0 ,
:
Ai x bi + M (1 yi ) ,
m
X

i = 1, . . . , m,

yi q,

i=1

yi {0, 1},

i = 1, . . . , k.

M , , Ai x
bi + M x
.
,
:
x1 a x2 b.
, x1 a
x2 b.
x1 x2 , ,
y,
x1 ay,

x2 b(1 y).

5.2.

121

5.2.1.
W H
n , i wi hi .
O ,
Ox, , Oy, .
xi , yi
i, i = 1, . . . , n.

0 xi W wi ,

i = 1, . . . , n,

0 yi H hi ,

i = 1, . . . , n.

(5.8)

i j , :
xi + wi xj

(i j),

xj + wj xi

(i j),

yi + hi yj

(i j),

yj + hj yi

(i j).

l
r
b
a
zij
, zij
, zij
zij
,
l
xi + wi xj + W (1 zij
),
r
xj + wj xi + W (1 zij
),
b
yi + hi yj + H(1 zij
),

yj + hj yi + H(1

(5.9)

a
zij
),

l
r
b
a
zij
+ zij
+ zij
+ zij
1.

90 .
i , 1, i (i = 1. . . . , n). i

(1 i )wi + i hi ,
(1 i )hi + i wi .
(5.8) (5.9)
:
0 xi W ((1 i )wi + i hi ),

i = 1, . . . , n,

122

5. -
0 yi H ((1 i )hi + i wi ),

i = 1, . . . , n,

l
zij
),
r
zij ),
b
zij
),
a
zij ),

i = 1, . . . , n 1; j = i + 1, . . . , n,

l
r
b
a
zij
+ zij
+ zij
+ zij
1,

i = 1, . . . , n 1; j = i + 1, . . . , n,

xi + (1 i )wi + i hi xj + W (1
xj + (1 j )wj + j hj xi + W (1
yi + (1 i )hi + i wi yj + H(1
yj + (1 j )hj + j wj yi + H(1
l
r
b
a
zij
, zij
, zij
, zij

{0, 1},

i {0, 1},

i = 1, . . . , n 1; j = i + 1, . . . , n,
i = 1, . . . , n 1; j = i + 1, . . . , n,
i = 1, . . . , n 1; j = i + 1, . . . , n,
i = 1, . . . , n 1; j = i + 1, . . . , n,
i = 1, . . . , n.

5.2.2.
(4.4)
(4.2). , (4.4) ,
(4.4a), ,
w z,
wi zi = 0,

i = 1, . . . , n.

wi zi = 0 : wi 0 zi 0.
, wi gi zi hi 7 ,
wT z = 0 :
wi gi xi , zi hi (1 xi ) , xi {0, 1},

i = 1, . . . , n.

(5.10)

, (4.4) :
cT w + pT z max,

(5.11a)

w M z = q,

(5.11b)

wi gi xi , zi hi (1 xi ),
n

w, z 0, x {0, 1} .

i = 1, . . . , n,

(5.11c)
(5.11d)

7 M w z i
i
:
wi , zi (A) i = 1, . . . , n, (A)
A = [I M |q].
.

5.2.

123

, c p .

(5.11). c p, (4.4) ,
.

5.2.3.

(4.1) 4. (4.1) (4.3),
. , .
x (4.1), ,
, y Rm ,
:
x 0, y 0,
Ax b,
c + Dx AT y 0,

(5.12)

y T (Ax b) = 0,
T
c + Dx AT y x = 0.
(x, y) (5.12), x ( ) (4.1). D , ,
, ,
(4.1).
:
z max,
0 Au bz e ,
0 Du AT v + cz e ,

(5.13)

0 u , 0 v ,
0 z 1, {0, 1}m , {0, 1}n .
z
(5.13). .

124

5. -
x2

x2
x(0)

6
2 r

dr
J
J
J
J
Jr -

P0

r
0

x1

6 (1)
x
r
dr r
2
@
@ J
@J
P1
1
@J
@J
@
r
Jr 0

x1

. 5.4.
1. z = 0, (4.1) .
2. z > 0 (u , v , z ) (5.13),
x = (1/z ) u , y = (1/z ) v ) (5.12), , , x (4.1).

5.3.
:
x1 + 2x2 max,
3x1 + 2x2 9,
(5.14)
x2 2,
x1 , x2 Z+ .
(5.14).
, .
x(0) = (5/3, 2)T (. 5.4, a). , (5.14).
, x(0)

X = {x Z2+ : 3x1 + 2x2 9, x2 2}


(5.14). ,
(5.14) , x(0) X. () .

5.4.

125

x(0) , ,
3x1 + 2x2 9 x2 2 X.
3x1 + 2x2 + x2 9 + 2 1,

3x1 + 3x2 10

X, x(0) (3 (5/3) + 3 2 = 11 > 10).


,
3, :
x1 + x2 b10/3c = 3.
, x1 + x2 3
(5.14). P0 ,
X ( . 5.4, ). P1
x(1) = (1, 2)T ,
(5.14).

5.4.
(5.1).
. ( ) .
, ,

. .
. ,
: .
(),
. , ,
. . , .

126

5. -

, ,
k (k)
.
( ) R
. .
(k) R, k .
(5.1) 5.1. branch_and_bound
( c, b1 , b2 , d1 , d2 , A
S), xR R = cT xR .
, R = . branch_and_bound
R = , .
xR .
(
dj ,
d(i, ) =
,
def

j 6= i,
j = i.

,
. ,
-
.

, .
.
,
,
0.5.
, branch_and_bound
. ,
( ) , .
.

5.4.

branch_and_bound (c, b1 , b2 , A, d1 , d2 , S; xR , R);


{
x0 arg max{cT x : b1 Ax b2 , d1 x d2 };
if (x0S ZS ) { //
R = cT x0 ; xR = x0 ; return;
}
(x0 , d1 , d2 );
while ( ) {
N = (x0 , d1 , d2 ) ;
if (cT x0 R)
continue;
x0i i S;
x1 arg max{cT x : b1 Ax b2 , d1 x d2 (i, bx0i c)};
if (cT x1 > R) {
if (x1S ZS ) { //
R = cT x 1 ; x R = x 1 ;
}
else
(x1 , d1 , d2 (i, bx0i c)) ;
}
x2 arg max{cT x : b1 Ax b2 , d1 (i, dx0i e)) x d2 };
if (cT x2 > R) {
if (x2S ZS ) { //
R = cT x 2 ; x R = x 2 ;
}
else
(x2 , d1 (i, dx0i e), d2 ) ;
}
}
}
5.1.

127

128

5. -
5.1.
1:
2:
3:
4:

x1 + 2x2 max,
2x1 + 3x2 4,
2x1 + 2x2 11,
1 x1 4,
1 x2 5,
x1 , x2 .

. . 5.5. ,
,
() . ,
, 0 ( ,
) 5.
, R =
.
, (k)
cT x(k) , bcT x(k) c. x(k) k.
0, . P0
. 5.6, . x(0) =
(5/2, 3)T , (0) = b5/2 + 2 3c = 8.
x(0) ,
0 x1 . P0 {x R2 : 2 < x1 < 3},
. , P0 P1 P2 (. . 5.6, ),
1 2.
P1
x(1) = (2, 8/3)T , (1) = b2 + 2 8/3c = 7. x(1)
, (1) = 7 > = R, 1
.
P2
x(2) = (3, 5/2)T , (2) = b3 + 2 5/2c = 8.
x(2) , (2) = 8 > = R, 2
.
( ) 2
(). 2 -

5.4.

129

0 (0) = 8
x(0) = (5/2, 3)
1 x1 4
1 x2 5

1 (1) = 7
x(1) = (2, 8/3)

2 (2) = 8
x(2) = (3, 5/2)

1 x1 2
1 x2 5

3 x1 4
1 x2 5

3 (3) = 7
x(3) = (7/2, 2)
3 x1 4
1 x2 2

3 x1 4
3 x2 5

5 (5) = 7
x(5) = (3, 2)
3 x1 3
1 x2 2

. 5.5. 5.1

130

x2

6
3
2
1

5. -

x2

HH 14 c


x(0) rd HH
H
H

 @

@
r
@
P0
@r
r
r

x(1) rd@ x(2)



dr


r

P1

@
@
P2@r
r
r

x1

x2

x2

r
@
r rd
Y
@H
H (3)
@r x
P3
r
r

2
1

3
x(5) rd r

P5
1

@
@r
r
r P6

x1

x1

. 5.6.

x1

5.5. M

131

x2 . P2 {x R2 : 2 < x2 < 3}.


, P2 P3
P4 = (. . 5.6, ),
3 4.
P3
x(3) = (7/2, 2)T , (3) = b7/2 + 2 2c = 7. x(3)
, (3) = 7 > = R, 3
.
P4 , 4
, 4 ( . 5.5 ).
1 3
7. 3
.
3 x1 . P3
{x R2 : 3 < x1 < 4}. , P3
P5 P6 ( . 5.6, P5 P6
, ).
P5 x(5) = (3, 2)T , (5) = b3 + 2 2c = 7.
(5) = 7 R = ,
, R = 7 xR = (3, 2)T .
( 5 . 5.5 ).
, .
1 3.
, 6, 3 . , (6)
6 (3) = 7.
(
), xR = (3, 2)T .
2

5.5. M
,
( ) .

132

5. -

, . .
- . 5.7.
(
) ()
(
) .
.
,
,
.
( )
.
, ,
. , , ,
, .
,
.
, .
, . , ,
.
, .
( )
, .
, , .
, , , . ,
, , .
, , .
, .
, ,

5.5. M

133

?
-
?
HHH
HHH


 ? H - 
? H
HH

H


H

HH
HH
?

? 

?
HH


H


H
H
? 
H

HH

?
HH
HH



H
-  HH

H

>
R?
? 
HH
HH


HH
HH
?
6
HH


H
?
H -
H

H

HH
?

?
HH

 HH
H

H?

HH

. 5.7. -

134

5. -

, , . .
. , , ,
(, ) ( xj ()d),
.
,
.
.

(). . ,
. ,
, , ,
, .
( , ),
.
,
X = {x {0, 1}n :

n
X

aj xj b},

j=1

aj (j = 1, . . . , n) b .P
I {1, . . . , n} , jI aj > b.
, I
X

xj |I| 1

(5.15)

jI

X, . . X . (5.15)
CI-.

5.5. M

135

(0) = 3
(5)

x1 = 0 


1 1 1 1 T
, , ,
2 2 2 2


1




(1) = 3

x(6) = (0, 0, 1, 1)T

Q x1 = 1
Q
Q
Q

(2) = 3

x(7) = (1, 0, 0, 1)T

. 5.8. 5.2
5.2. :
x1 + 3x2 + x3 + 2x4 max,
4x1 + 7x2 + 3x3 + 5x4 10,
5x1 + 4x2 + 6x3 + 2x4 9,
x1 , x2 , x3 , x4 {0, 1}.

(5.16)

. CI-.
,
, . 5.8.
0. (5.16).
x(1) = (0, 1, 0, 3/5)T .
x2 + x4 1,
C11 = {2, 4} .
,
x(2) = (1/3, 1, 5/9, 0)T ,
x1 + x2 1
C21 = {1, 2} .
, x(3) = (0, 1, 5/6, 0)T ,
x2 + x3 1
C12 = {2, 3} . , x(4) = (5/9, 4/9, 5/9, 5/9)T ,
x1 + x3 1

136

5. -

C22 = {1, 3} .
: x(5) = (1/2, 1/2, 1/2, 1/2)T , CI- . , x1 .
1. 1 (x1 = 0). x(6) = (0, 0, 1, 1)T xR = (0, 0, 1, 1)T , R = cT xR = 3.
2. x(7) = (1, 0, 0, 1)T 2 (x1 = 1)
. 3.
, x(6) x(7) (5.16).
2

5.6.
5.6.1.
G =
(V, E). v V dv
. dv > 0, v
dv ; dv < 0, v
dv ;
P dv = 0. , : vV dv = 0. e E
ue > 0, xe > 0
fe + ce xe . ,
(xe = 0), .
,
.
, ,
,
.
:
xe ( ) e
E;

5.6.

137

ye = 1, e E ye = 0 .
:
X
(fe ye + ce xe ) min,
(5.17a)
eE

X
eE(V,v)

xe

xe = dv ,

v V,

(5.17b)

0 xe ue ye ,

e E,

(5.17c)

ye {0, 1},

e E.

(5.17d)

eE(v,V )

S, T V E(S, T ) , S T .
(5.17a)
. (5.17b) ,
, . (5.17c) ,
,
, -
(ye = 0),
(xe = 0).

5.6.2.
n m () q (1 q m)
(, c, . .).
i = 1, . . . , m fi
( ) bi . cij j i, j = 1, . . . , n, i = 1, . . . , m.

,
.
cij . q = n
,
. ,

138

5. -

, bi = n, , ,
. , , ,
.
:
yi = 1, i, yi = 0
;
xij = 1, j i, xij = 0
.
:
n
m X
X

cij xij +

m
X

fi yi min,

(5.18a)

i=1

i=1 j=1
m
X

yi q,

i=1
m
X

xij = 1,

i=1
n
X

(5.18b)
j = 1, . . . , n,

xij bi yi ,

i = 1, . . . , m,

(5.18c)
(5.18d)

j=1

xij yi ,

i = 1, . . . , m; j = 1, . . . , n,

yi {0, 1},
xij {0, 1},

(5.18e)

i = 1, . . . , m,

(5.18f)

i = 1, . . . , m; j = 1, . . . , n.

(5.18g)

(5.18b) q .
(5.18c)
. (5.18d) , bi
i, .
(5.18e) . , (5.18e) (5.18) .
,
(5.18) (5.18e). , (5.18e),
.

5.6.

139

5.6.3. :



.
: .
. , , . , ,
. .
.
,
. . q ,
q .
/.
nn- [ij ],
ij i j (ij
). , ij
T .
Ri (t) ( ) i t.

ij =

T
X

pT t (Ri (t) Rj (t))2 ,

t=1

0 < p < 1 ,
.
, .
. :
yi = 1, i , yi = 0
;

140

5. -
xij = 1, i j, xij = 0
.

:
n X
n
X
i=1 j=1
n
X

ij xij min,

(5.19a)

yi q,

(5.19b)

i=1
n
X

xij = 1,

j = 1, . . . , n,

(5.19c)

xij yi ,

i, j = 1, . . . , n,

(5.19d)

xij {0, 1},

i, j = 1, . . . , n,

(5.19e)

i = 1, . . . , n.

(5.19f)

i=1

yi {0, 1},

(5.19a) , . (5.19b) q
. (5.19c) ,
. (5.19d)
.
, , (5.19)
(5.18), m = n, cij = ij , bi = n, fi = 0. ,
, ,
.
(5.19) I = {i : yi = 1},
.
def

wi =

n
X

Vj xij

j=1

i I, Vj
j . , wi , i .

5.6.

141

,
P i I ,
wi /( kI wk ).

5.6.4.

. , ,
. .
,
.
, T ; T + 1 . n .
s n, si 0
i . C
i t csit cbit , . , csit cbit
, i.
(
) k . l ul . , .
, flt
l t: flt , ( ), .
() dt , t =
1, . . . , T . dt > 0 ( dt < 0), dt ( dt ) t. C,
d1 .
t = 1, . . . , T qt .
,
(
)
.
:
xit i t;

142

5. -
xsit i, t;
xbit i, t;
yt t;
zlt , l t.

yT +

n
X

csi,T +1 xi,T

n
X

csi1 xsi1 +

i=1

dt + yt1 +

n
X

k
X

zl1 = y1 +

csit xsit +

k
X

zlt = yt +

cbi1 xbi1 ,

(5.20b)

n
X

cbit xbit ,

t = 2, . . . , T,

(5.20c)

i=1

l=1

si + xbi1 xsi1 = xi1 ,


xi,t1 + xbit xsit = xit ,
T
X

n
X
i=1

l=1

i=1

(5.20a)

t=1 l=1

i=1

d1 +

k
T X
X
(1 + flt )zlt max,

i = 1, . . . , n,

(5.20d)

i = 1, . . . , n; t = 2, . . . , T, (5.20e)

zlt ul ,

l = 1, . . . , k,

(5.20f)

yt q t ,

t = 1, . . . , T,

(5.20g)

t=1

xit ,

xsit ,

xbit

Z+ ,

i = 1, . . . , n; t = 1, . . . , T, (5.20h)

y t R+ ,

t = 1, . . . , T,

(5.20i)

zlt R+ ,

l = 1, . . . , k; t = 1, . . . , T.

(5.20j)

(5.20a) . (5.20c) (5.20e)


2, . . . , T . (5.20b) (5.20d) 1. (5.20f) ,
. (5.20g) ,
.

5.6.

143

5.6.5. :

( )
. T . t = 1, . . . , T :
dt ;
ft ;
ct ;
ht .

s0 .
,
, .
t = 1, . . . , T :
xt t;
st , t;
yt = 1, t ,
yt = 0 .
PT
Dt = =t dt , :
T
X
(ft yt + ct xt + ht st ) min,

(5.21a)

t=1

st1 + xt = dt + st ,

t = 1, . . . , T,

(5.21b)

0 xt Dt yt ,

t = 1, . . . , T,

(5.21c)

yt {0, 1},

t = 1, . . . , T.

(5.21d)

(5.21a)
T , . (5.21b) : ,
t 1, t
, t.
(5.21c) yt = 0 xt = 0.
ft , (x , y ) (5.21)

144

5. -


yt = xt /Dt ,

t = 1, . . . , T.

, t, (xt > 0), ,


yt , yt = xt /Dt dt /Dt < 1. , .
,
(5.21) (l, S)-:
X
X
xt +
dtl yt d1l , S {1, . . . , l}, 1 l T.
(5.22)

tS

tS

Pj
S = {1, . . . , l} \ S dij = t=i dt . (5.22)

: t S
P
( tS xt ) , P t S
l ( tS dtl yt ),
(d1l ) l .
,
(5.21) . (5.21) ,
PT
xt : xt = =t xt , xt
, t = 1, . . . , T
= t, . . . , T .
st . sk1 + xk = dk + sk k = 1, . . . , t,
st = s0 +

t
X

xk

k=1

t
X

dk .

k=1

, (5.21a)
!
t
T
t
X
X
X
(ft yt + ct xt + ht s0 +
xk
dk =
t=1

T
X
t=1

k=1

(ft yt + wt xt ) + K =

T
X
t=1

ft yt +

k=1
T X
T
X
t=1 =t

wt xt + K,

5.6.

145



PT
Pt
wt = ct + ht + + hT K = t=1 ht s0 k=1 dk . xt (5.21) :
T
T X
T
X
X
ft yt +
wt xt min,
t=1

t=1 =t

xt = d ,

= 1, . . . , T,

(5.23)

t=1

0 xt d yt ,
yt {0, 1},

t = 1, . . . , T ; = t, . . . , T,
t = 1, . . . , T.

,
(5.23) (x , y ), y xt > 0 , xt = d , . .
, ,
. (5.23)
.

. (5.21) 3T
2T 8
(5.23) T (T + 1)/2 2T . ,
T = 100 300 ,
5050. ! ,
.

5.6.6. :
n
m , T . Mj ,
j. :
fit i t;
8
.

146

5. -
cijt j i
t;
hjt j t;
djt j t;
Titmin , Titmax i t;
ijk j, k i Mk ;
ij j i Mj ;
sj0 j .

,
,
.
:
xijt j, t i;
sjt j, t;
yit = 1, i t, yit = 0
.
:

T X
n
T X
m
X
X
X
hjt sjt +

cijt xijt +
fit yit min,
t=1 j=1

sj,t1 +

xijt = djt + sjt +

iMj

n X
X

ijk xikt ,

k=1 iMk

j = 1, . . . , n; t = 1, . . . , T,
X

Titmin yit

(5.24a)

t=1 i=1

iMj

ij xijt Titmax yit ,

i = 1, . . . , m; t = 1, . . . , T,

(5.24b)
(5.24c)

j:iMj

sjt 0,

j = 1, . . . , n; t = 1, . . . , T,

yit {0, 1},


xijt 0,

i = 1, . . . , m; t = 1, . . . , T,

j = 1, . . . , n; i Mj ; t = 1, . . . , T.

(5.24d)
(5.24e)
(5.24f)

5.6.

147

(5.24a)
. (5.24b) :
t 1 , t,
() t , , ,
. (5.24c) ,
, i t,
( xijt ).

5.6.7.
,
. ,
.
. , .
, . .
. . .

, .
, T = {1, . . . , n}. tj
j T . G = (T , E), (j1 , j2 ) E , j1 j2 .
, C ( C ,
).
C.
. 5.9.
,

148

5. -

13

25

2m

16

1m

 9m
:


- 4m - 7m
XXX 8 @
z 8m @
X
HH@
7
13
R15
@
H
j
H
m
- 3m - 6m
:

 10
HH


8 
H
j m
H
5 
9

11

- 11m

. 5.9.
.
, , , .
,
m .
, - .
, (
) 1,
2 . . ,
. . 5.9,
C = 45, :
1 2 1,
3, 4, 5 6 2,
7, 8 9 3,
10 11 4.
, m = 4.
, ,
, :
1, 3, 5 6 1,
2, 4 7 2,
8, 9, 10 11 3.
:
yi = 1, i (), yi = 0
;

5.6.

149

xij = 1, j i, xij = 0
;
zj = i, j i.
:
m
X

yi min,

(5.25a)

i=1
m
X

xij = 1,

j = 1, . . . , n,

(5.25b)

Cyi ,

i = 1, . . . , m,

(5.25c)

i xij = zj ,

j = 1, . . . , n,

(5.25d)

zj1 zj2 , (j1 , j2 ) E,

(5.25e)

yi1 yi ,

(5.25f)

i=1
n
X

tj xij
j=1
m
X
i=1

i = 2, . . . , m,

xij yi ,

i = 1, . . . , m; j = 1, . . . , n,

(5.25g)

xij {0, 1},

i = 1, . . . , m; j = 1, . . . , n,

(5.25h)

yi {0, 1},

i = 1, . . . , m,

(5.25i)

zj R+ ,

j = 1, . . . , n.

(5.25j)

(5.25a) . (5.25b) ,
. (5.25c) ,
. (5.25d)
x z. (5.25e): (j1 , j2 ) E j1 , j2 ;
, j1 j2 . . 5.7. (5.25f) , ( )
. (5.25g)
. 0, 1- (5.25c)

150

5. -

(5.25g),
(5.25c), (5.25g).

5.6.8.

( ) ( )
, . . , .
. ,
/,

.
(, ,
). ,
, /.
, , ,
, , , .
(,
)
,
.
, , .
. T . , 1 T . dt
t. ,
( )
q .
n , i- -

5.6.

151

:
li , ui ;
ri , ri+ ( ( ) ri ( ri+ );
gi ;
fi , pi (
v, fi + pi v).
:
xit = 1, i- t, xit = 0 ;
zit = 1, i- t, zit = 0
;
yit , i
t.
:
T
n X
X
(gi zit + fi xit + pi yit ) min,
i=1 t=1
n
X

(5.26a)

yit = dt ,

t = 1, . . . , T,

(5.26b)

ui xit q dt ,

t = 1, . . . , T,

(5.26c)

i = 1, . . . , n; t = 1, . . . , T,

(5.26d)

i = 1, . . . , n,

(5.26e)

i = 1, . . . , n; t = 2, . . . , T,

(5.26f)

i = 1, . . . , n,

(5.26g)

i = 1, . . . , n; t = 2, . . . , T,

(5.26h)

i=1
n
X
i=1

li xit yit ui xit ,

ri yi1 yi,T ri+ ,


ri yit yi,t1 ri+ ,
xi1 xi,T zit ,
xit xi,t1 zit ,
xit , zit {0, 1},

i = 1, . . . , n; t = 1, . . . , T,

(5.26i)

yit 0,

i = 1, . . . , n; t = 1, . . . , T.

(5.26j)

(5.26a)
. (5.26b) , -

152

5. -

, . (5.26c)
: q .
(5.26d) , , , .
(5.26e) (5.26f)
. , (5.26g) (5.26h)
x z:
t (zit = 1) , (xi,t1 = 0) (xit = 1). gi = 0,
zit
. gi > 0, zit 1 ,
xit xi,t1 = 1, . . , .

5.7.
5.1. ,
:
a)

x1 + x2 max,
2x1 + x2 5,
x1 + 2x2 3,
x1 , x2 Z+ ,

x1 + x2 max,
3x1 + x2 6,
x1 + 2x2 6,
x1 , x2 Z+ .

5.2. 5.1 , 2.
5.3. . , $1000.
( ) 5 %
;
X 2 ,
12 % , 11 % ;
Y 3 ,
18 %;
Z 4 ,
24 %.

5.7.

153

,
?
.
5.4. , ,
, . , , , .
. , , ,
. ,
.

.

.

. . .

1
$3.5 .
$2 .
20 %
4

2
$2 .
$3 .
40 %
2

3
$0.25
$1
20 %
5

.
(
) . , . . ,
.
,
, (
)
.
.
5.5. . , n

154

5. -

. . , i ki ,
i j tij . 1)
,

T . 2) q , ,
T . .
5.6. (5.24)
, . ,
djt j djt t + 1, . . . , T . j, , ( ) ,
rj .
5.7. , (5.25)
, (5.25e),
,

k
X
i=1

xi,j1

k
X

xi,j2 ,

k = 1, . . . , n 1; (j1 , j2 ) E.

i=1

5.8. . m . i bi .
Pk = (ik , jk , A1k , A2k , Sk ) (k = 1, . . . , n). Pk
: c A1k ik Sk A2k jk . ()
, , (
) . , A1k A2k
.
5.9. C . ,
, : .
n1 , n2 .
T . 2 k
2 q .

5.7.

155

5.3.

1
2
3
4
5

1
0
11
8
12
15

2
3
11
8
0 10
10
0
7
9
13
9

(.)
4
5
12 15
7 13
9
9
0
6
6
0

-
()
10
8
20
12
14

. ,
.
.
5.10.
.
. 5.3.
40 .
( , ). .
,

.
, .
5.11. , 100 . ,
.
120 , 100 , 20 . ,
10 0 ( ) 11 .

1 , 2/3 . , .
, $50 -

156

5. -

. ,
$60, ,
. 12 ,
$180. 5 %
3 % .
$600. 125 .
$300. 0.7 0.8 .
. 0.6 1.5 .
$150 $125 . ,
$100 $80.
( ) :

15

60

1 .

10

1 .

30

(, , , . .) :

$150

$75

1 .

$50

1 .

$40

3 , . $6000
, 2000 .
$1.5 .
(
) 10 15 % .
10-
.
25 % (100 ).
, ,
.
5.12. , , , ,

5.7.

157

5.4

1
0.5
0.1
0.2
0.05

0.1

2
0.7
0.2

0.03

0.1

3
4
5

0.3

0.3

0.8

0.07 0.01
0.01

0.05
0.1
0.1
0.1

6
0.2
0.6

0.1

7
0.5

0.6
0.08
0.05
0.15

5.5

19
19
22
22
21
21

1
500
600
300
200
0
500

2
1000
700
600
300
100
500

3
4
5
300 300 800
200
0
400
0
0
500
400 500 200
500 100 1000
100 300 1100

6
200
300
400
0
300
500

7
100
150
100
100
0
60

, - , . 5 7 :
5 1 3, 7 1
6. ( ) . 5.4. ,
.
.
: .
. 5.5.
.
. 5.5.

158

5. -

5.6

.
.

.-.

500
450
450
550
1000
400

6
3
5
2
1
2

5
3
3
2
2
2



5
6
5
2
2
3
5
5
5
1
2
1
2
1
2
2
2
2

5
3
5
2
2
2

5.7

,
,

1
17
16.3

2
19
17.1

3
4
5
16.5
8
9
14.9 7.2 8.1

6
16
14.4

7
25
22.5

. , , . ,
.
. 5.6.

. (,
) 10 %, (,
). . 5.7.
.
100 ,
$1. ,
50 .
-

5.7.

159

, ?
, .

, ,
, . , ( )
, .
, ,
, . 9
.
.
6.5 ,
.


.

9 , ( ) .

6.1.

161

6.1.
G = (V, E), () c(v, w). C
.
1. : G
P = {s = v0 , v1 , . . . , vk1 , vk = t}
s V t V ( )
def

c(P ) =

k
X

c(vi1 , vi ) .

i=1

2. : G
s V .
3. : G
t V .
4. : G
s, t V .
, ,
. ,
2 3 .

6.1.1.
G = (V, E) s V , (v, w) E c(v, w).
.

162

6.
P = (s = v0 , v1 . . . , vk = t)
s t G. 0 < i < k
Ps,vi = (s = v0 , v1 . . . , vi )
s vi , Ps,vi
P s vi
P s t;
Pvi ,t = (vi , vi+1 , . . . , vk = t)
vi t, Pvi ,t
P vi t
P s t;

G s v V (s, v) ( ,
(s, v) = +). G ,

,
:
(s, s) = 0,
(s, v) =

min

((s, w) + c(w, v))

v V \ s.

(6.1)

(w,v)E(V,v)

, , . p : V R.
cp : V R p :
cp (v, w) = c(v, w) + p(v) p(w).

. cp (v, w), v p(v) c(v, w)
w
p(w).
6.1. G = (V, E) , c, p.
P v w G cp (P ) = c(P ) + p(v) p(w). , P ,
cp (P ) = c(P ).

6.1.

163

. P = (v = v0 , v1 , . . . , vk1 , vk = w).
cp (P ) =

k
X

cp (vi1 , vi ) =

i=1

k
X
i=1

k
X
(c(vi1 , vi ) + p(vi1 ) p(vi ))
i=1

c(vi1 , vi ) +

k
X
i=1

p(vi1 )

k
X

p(vi )

i=1

= c(P ) + p(v) p(w).


2
T s d :
V R :
d(s) = 0, d(v) = d(parent(v)) + c(parent(v), v) v V \ s ,
parent(v) ( ,
v) v T . T c e
s , v
T s v
s v G, . . d(v) = (s, v).
6.1. G = (V, E)
s V . G
, .
T s , d :
cd (v, w) 0 (v, w) E.
(6.2)
. G ,
s .
D . , G0 =
(V, D) T ,
.
, d (6.2). . d T (6.2). 6.1
G c() = cd () 0. s = v0 , v1 , . . . , vk = v
s v. G , s s 0 =

164

6.

d(s). , d(vk1 ) = (s, vk1 ). (6.2)


d(v) d(vk1 ) + c(vk1 , v) = (s, v) d(v), d(v)
s v.
2
6.1. G = (V, E) ,
p : V R, cp (v, w) 0 (v, w) E.
. (6.2) 6.1. .
Gaux = (Vaux , Eaux ) = (V {s}, E ({s} V )),
G s ,
s .
. , G ,
Gaux . 6.1 Gaux , d (6.2). p = d.
2

6.1.2.
. d : V R {} parent : V
V {nil}, ,
(
0,
v = s,
d(v) =
, v V \ {s},
parent(v) = nil,

v V.

:
(v, w)
cd (v, w) < 0, parent(w) = v d(w)
d(v) + c(v, w).
.
, , . d(v) = (s, v) v V , parent
.

6.1.

165

,
s, , , (parent(v), v) parent(v) 6= nil, .
,
.

6.1.3.
. ,
. 6.1.
, ) d(v) s v, parent(v) 6= nil; ) G
s v, d(v) = parent(v) = nil.
,
(V, E),
def

E = {(parent(v), v) : v V, parent(v) 6= nil},


G.
i (s, v) s v
, i . ,
i (s, v) = . di (v), S i d(v) S
i. ( 1 2) 0- .
6.2. :
) di (v) = min k (s, v) v V ,
0ki

) di (v) = i (s, v) < i1 (s, v) v S i .


. ,
0- . , (i 1)- (
i-)
di1 (v) =

min

0ki1

k (s, v) v V ,

di1 (v) = i1 (s, v) v S i1 .

166

6.

: G = (V, E), c : E R, s V .
: parent : V V {nil}, d : V R {}:
a) e parent ,
d(v) s v;
) , ,
parent, .
1. v V \ {s} d(v) = parent(v) =nil.
2. d(s) = 0 S = {s}.
3. i = 1, . . . , n 3.13.4:
3.1. Q = , d = d.
+ c(v, w),
3.2. (v, w) E(S, V ), , d(w) > d(v)
+ c(v, w), parent(w) = v, Q := Q {w}.
d(w) := d(v)
3.3. Q = , ; S = Q.
4. .
6.1.
w V s = v0 , v1 , . . . , vi1 , vi = w i (s, w)
G. di1 (vi1 ) = i1 (vi1 ). vi1 S i1 ,
di1 (w) > di1 (vi1 ) + c(vi1 , w) = i (s, w), i-
di (w) = i (s, w), w S i .
2
6.3.
S = , d (6.2).
. , di (v) di+1 (v) v V .
(v, w) E. S = , d(v) = di (v) 1 i n 1.

d(w) di+1 (w) di (v) + c(v, w) = d(v) + c(v, w).


2
6.4. G
,
S .
. S = , 6.1 6.3 G
. S 6= , 6.2

6.1.

167

v S
dn (v) = n (s, v) < i (s, v) 0 i < n.
, s v n n (s, v) .
2
6.2. O(nm)
,
.
. 6.3
6.4.
O(m), n,
O(nm).
2
6.1. , . 6.1, 1

2l
5l
7 S
7 S


S 4
S 4
4
3 
S
S


SS
SS

w l
w

3
5
j
- 4l
1l
7

oS
S
 S

S

1S
7S

1
1
S

SS

6
w l
/

S l
/

3
6
. 6.1. 6.1

1 .
. 6.1. 0. d d , Q S . parent
5- . . 6.1 . 2

168

6.

6.1

0
1
2
3
4
5

1
2, 3, 4
3, 5, 6, 7
2, 6, 7
6

d
1
0
0
0
0
0
0

parent

4
4
3
3
3

7
6
6
6
6

5
5
5
5
5

1
1
1
1
1

8
6
6
6

1
4
4
4
4

13
9
7
7

1
1
5
5
5

2
2
2
2

4
4
4
4

3
7
7
7

4
5
5
5

.
d , ) ) 6.2. , ,
d d. , .

G = (V, E), (v, w) E c(v, w), c() < 0,


.
, , . , G s
(s, v) v V .
G0 1) s
2) G0 G ( s
, s ). G0 s, ,
G , .

6.1.

169


, , v V G = (V, E). (v, w) E,
v w,
(v, w): v (v, w) w. = (v0 , v1 , . . . , vk = v0 ) G
, Q
k
: i=1 (vi1 , vi ) > 1.
G, c(v, w) = ln((v, w)). ,
= (v0 , v1 , . . . , vk = v0 ) G
c() =

k
X
i=1

c(vi1 , vi ) =

k
X

ln((vi1 , vi )) = ln

i=1

c() < 0 ,

k
Y

!
(vi1 , vi ) .

i=1

Qk

i=1

(vi1 , vi ) > 1.

6.1.4.
, . , .
( ) , 6.2.
V : S V \ S. v S,
d(v).
w V \ S d(w),
S, (w, v) E(w, V \S)
:
d(v) = min{d(v), d(w) + c(w, v)}.

6.5. :
) d(v) d(w) v S, w V \ S;

170

6.

: G = (V, E), c : E R, s V .
: parent : V V {nil},
, d : V R {},
d(v) s v.
1. v V \ {s} d(v) = parent(v) = nil.
2. d(s) = 0 S = .
3. |S| < n 1 3.1 3.2:
3.1. w arg min{d(v) : v V \ S} S := S {w}.
3.2. (w, v) E(w, V \ S), , d(v) > d(w) + c(w, v),
d(v) = d(w) + c(w, v) parent(v) = w.

6.2.

) d(v) + c(v, w) d(w) (v, w) E(V, S).


. |S|. . 2

6.3. ,
O(n2 ) .
. 6.5. . O(n) . O(n). n 1, O(n2 ).
2

6.2. , . 6.2,
1 .
. 6.2. ,
S i w,
1, . . . , i. (parent(v), v) . 6.2.
2

6.1.

171

6
- 5l
2l
7 S
7 S


S 2
S 2
3 
5
S
S


SS
SS
w

w l

5
6
- 4l
1l
7
7

S
 S

S

S
4
3
1
9 S
S

SS

SS
w l
/

w
1

3
6l
. 6.2. 6.2

6.1.5.

G = (V, E) c : E R .
, G . ,
Gaux , 6.1,
p : V R, , cp (v, w) 0 (v, w) E.
G cp ,
s V s. O(n3 ).

6.1.6.
G = (V, E). c(v, w)
((v, w) E) : , . 6.1 .
G , , . . l : V {1, . . . , n}
, (v, w) E l(v) < l(w). : G
v1 , ,
1 (l(v1 ) = 1); v1 -

172

6.

6.2

0
1
2
3
4
5
6

1
2
4
6
3
5

1
0
0
0
0
0
0
0

d
4

3
3
3
3
3
3

9
9
8
7
7
7

5
5
5
5
5
5

9
9
9
9
9

6
6
6
6

11
10
10
10

1
-

2
1
1
1
1
1
1

3
1
1
4
6
6
6

parent
4 5
- 1 1 2
1 2
1 2
1 2
1 2

6
4
4
4
4

7
4
6
6
6

; v2 ,
, 2 (l(v2 ) = 2);
, .
, V = {1, . . . , n} i < j (i, j) E.
d(j) G
1 j = 2, . . . , n. :
d(1) = 0,
d(j) = min (d(i) + c(i, j)) ,

j = 2, . . . , n.

(6.3)

(i,j)E

, +.
d(j),
, :
parent(j) {i : (i, j) E d(j) = d(i) + c(i, j)},

j = n, n 1, . . . , 2,

parent(1) = nil.
. , ()
.
(6.3) :
d(1) = 0,
d(j) = max (d(i) + c(i, j)) ,
(i,j)E

j = 2, . . . , n.

(6.4)

6.2.

173

, .

6.2.
:
:
max{cT x : aT x b, x Zn+ },

(6.5)

max{cT x : aT x b, x {0, 1}n }.

(6.6)

0, 1- :
c Rn++ , a Zn++ , b .
- . , , ,
b. , n ,
j cj . , , ,
.
. ,
0, 1-.
, , 0, 1. , b, , n ,
, j aj ,
cj .
, (
(6.5), (6.6)) NP- (. D). ,
.

6.2.1.
(6.5).
, , a1 , . . . , an . , {j : aj = }

174

6.

, .
G = (V, E) :
V = {0, 1, . . . , b},
E = {(v, w) : v, w V, w v {a1 , . . . , an }}.
c(v, w) (v, w) E w v = aj j .
P = (v0 = 0, v1 , . . . , vk = ) G 0
( b) xP
def

F () = max{cT x : aT x = , x Zn+ }.

(6.7)

:
xP
j = |{i : vi vi1 = aj }|,

j = 1, . . . , n.

, P G 0
(6.7). ,
P F ().
(6.4)
, :
F (0) = 0,
F () = max F ( aj ) + cj ,
j: aj

= 1, . . . , b.

(6.8)

, ,
.
F () (6.8) . F () , x (6.5) ,
.
arg max F (q) xj = 0 j = 1, . . . , n.
0qb

> 0, :
j, F () = F ( aj ) + cj , xj := xj + 1, := aj .
.
6.3.
4x1 + 5x2 + x3 + 2x4 max,
5x1 + 4x2 + 2x3 + 3x4 7,
x1 , x2 , x3 , x4 Z+ .

6.2.

175

.
F (0) = 0,
F (1) = ,
F (2) = F (0) + 1 = 1,
F (3) = max{F (1) + 1, F (0) + 2} = max{, 2} = 2,
F (4) = max{F (0) + 5, F (2) + 1, F (1) + 2} = max{5, 2, } = 5,
F (5) = max{F (0) + 4, F (1) + 5, F (3) + 1, F (2) + 2} =
= max{4, , 3, 3} = 4,
F (6) = max{F (1) + 4, F (2) + 5, F (4) + 1, F (3) + 2} =
= max{, 6, 6, 4} = 6,
F (7) = max{F (2) + 4, F (3) + 5, F (5) + 1, F (4) + 2} = max{5, 7, 5, 7} = 7.
x . F (7) = max F (q),
0q7

= 7 x = (0, 0, 0, 0)T . F (7) =


F (7 a2 ) + c2 , x2 = 0 + 1 = 1 = 7 a2 = 3.
F (3) = F (3 a4 ) + c4 , x4 = 0 + 1 = 1 = 3 a4 = 0.
, x = (0, 1, 0, 1)T . 2

6.2.2. 0,1-
(6.6) 0,1-. G =
(V, E),
V =V0 V1 Vn ,
Vk ={0, 1, . . . , b},

k = 0, 1, . . . , n,

E =E1 . . . En ,
Ek ={(, ) Vk1 Vk }
{( ak , ) : ak Vk1 , Vk },

k = 1, . . . , n.

(, ) Vk1 Vk ,
Ek ck .
Fk () G

176

6.

s = 0 V0 Vk . ,

k
k

X
X
aj xj = , x1 , . . . , xk {0, 1} .
Fk () = max
cj xj :

j=1

j=1

(6.4) , k = 1, . . . , n :
(
Fk1 (),
= 0, . . . , ak 1,
Fk () =
(6.9)
max{Fk1 (), Fk1 ( ak ) + ck }, = ak , . . . , b,

F0 (0) = 0

F0 () = ,

= 1, . . . , b.

= 1, . . . , b F0 () =
, G 0 V0
V0 .
n b Fk ()
, (6.9) O(n b), O(n b) .
Fk (), (6.6) max Fn (). Fk (), 0b

x ,
.
arg max Fn (q). k = n, . . . , 1 xk = 0,
0qb

Fk () = Fk1 (), Fk () = Fk1 ( ak ) + ck ,


xk = 1 := ak .
(6.9) . , cj . C Z (6.6). k = 1, . . . , n
z = 0, . . . , C

k
k
X

X
def
Gk (z) = min
a j xj :
cj xj = z, xj {0, 1}, j = 1, . . . , k .

j=1

j=1

6.2.

177

k = 1, . . . , n c :

Gk1 (z), z = 0, . . . , ck 1,
Gk (z) =
(6.10)
min{Gk1 (z), Gk1 (z ck ) + ak }, z = ck , . . . , C,

G0 (0) = 0,
G0 (z) = ,

z 6= 0.

(6.6)
max{z : Gn (z) b}.
Gk (z), x ,
.
z arg max{q : Gn (q) b}. k = n, . . . , 1,
Gk (z) = Gk1 (z), xk = 0, , Gk (z) = Gk1 (z ck ) + ak ,
xk = 1 z := z ck .
(6.10) O(n C),
O(n C) .
, : (6.9) , b < C, (6.10).
6.4.
10x1 + 7x2 + 25x3 + 24x4 max,
2x1 + 1x2 + 6x3 + 5x4 7,
x1 , x2 , x3 , x4 {0, 1}.
. ,
b = 7. (6.9). . 6.3.

max F4 (q) = F4 (7) = 34.

0q7

x , (6.9), = 7:
F4 (7) = max{F3 (7), F3 (7 5) + 24} = max{32, 10 + 24} = 34

178

6.

6.3
6.4

0
1
2
3
4
5
6
7

F0
0

F1
0

10

F2
0
7
10
17

F3
0
7
10
17

25
32

F4
0
7
10
17

24
31
34

x4 = 1 = 7 5 = 2;
F3 (2) = F2 (2) = 10
x3 = 0 = 2;
F2 (2) = max{F1 (2), F1 (2 1) + 7} = max{10, 0 + 7} = 10
x2 = 0 = 2;
F1 (2) = max{F0 (2), F0 (2 2) + 10} = max{, 0 + 10} = 10
x1 = 1 = 0.
, x = (1, 0, 0, 1)T
.
2
6.5.
2x1 + x2 + 3x3 + 4x4 max,
35x1 + 24x2 + 69x3 + 75x4 100,
x1 , x2 , x3 , x4 {0, 1}.
. . ,
, , [0, 1]. (. . 3.18).
1. cj /aj :
2
c4
4
c3
3
c2
1
c1
=

=
.
a1
35
a4
75
a3
69
a2
24

6.2.

179

6.4
6.5
z
0
1
2
3
4
5

G0
0

G1
0

35

G2
0
24
35
59

G3
0
24
35
59
93
104

G4
0
24
35
59
75
99

2. x
:
x
1 = 1, x
4 = (100 35)/75 = 13/15, x
3 = x
2 = 0.

C = bcT x
c = b2 + 4 (13/15)c = 5.
C = 5 < 100 = b, (6.10).
. 6.4.

5, G4 (5) = 99 < 100 = b.
x , (6.10),
z = 5:
G4 (5) = min{G3 (5), G3 (5 4) + 75} = min{104, 24 + 75} = 99
x4 = 1 z = 5 4 = 1;
G3 (1) = G2 (1) = 24
x3 = 0;
G2 (1) = max{G1 (1), G1 (1 1) + 24} = max{, 0 + 24} = 24
x2 = 1 z = 0;
G1 (0) = G0 (0) = 0
x1 = 0.
, x = (0, 1, 0, 1)T .
2

180

6.

6.3. :


5.6.5. T .
t = 1, . . . , T :
dt ;
ut ( ) ;
ft ;
ct ;
ht ;
St .

s0 , sT . ,
, .

6.3.1.
(s0 , {dt , ut , ft , ct , ht , St }Tt=1 , sT )
G = (V, E),
V = {[s, t] : s = 0, . . . , St ; t = 0, 1, . . . , T },
E = {([
s, t 1], [s, t]) V V : 0 dt + s s ut , t = 1, . . . , T },
([
s, t 1], [s, t]) E
(
ft + ct (dt + s s) + ht s, dt + s > s,
def
c([
s, t 1], [s, t]) =
0,
dt + s = s.
P = ((s0 , 0), (s1 , 1), . . . , (sT , T )) G (s0 , 0) (sT , T ) xP , :
xP
t = dt + st st1 ,

t = 1, . . . , T.

, P . ,
P G (s0 , 0) (sT , T ) -

6.3. :

181

x = xP ,
s0 , ( ) sT .
t = 0, 1, . . . , T Ht (s)
G [s0 , 0] [s, t]. , Ht (s)

(s0 , {d , u , f , c , h , S }t =1 , s),
t , s0 , s.
, :
H0 (s0 ) = 0,
H0 (s) = ,
Ht (s) =

s S0 \ {s0 },
min

0
sSt1 ,

{Ht1 (
s) + ft sign(dt + s s)

(6.11)

0dt +s
sut

+ ct (dt + s s) + ht s},

s St , t = 1, . . . , T.

6.6. (6.11), :
t
1
2
3
4
5

d
3
3
3
5
4

u
7
7
6
3
5

f
6
6
8
10
8

c
1
1
1
1
1

h
1/4
1/4
1/4
1/4
1/4

St
3
3
3
3
3

s0 = s5 = 1.

. (6.11) . 6.5.
Ft (s)
s, .
. 6.5 .
F5 (1) = 51 21 , s = 0, x5 = 4 + 1 0 = 5.
F4 (0) = 38 41 , s = 2, x4 = 5 + 0 2 = 3.
F3 (2) = 25 41 , s = 0, x3 = 3 + 2 0 = 5.
F2 (0) = 11 43 , s = 3, x2 = 3 + 0 3 = 0.
F1 (3) = 11 43 , s = 1, x1 = 3 + 3 1 = 5.

182

6.

6.5
6.6
s\t
0
1

2
11 34
18 14
19 12
20 34

9 14
10 21
11 43

1
1

20 34

24

25 14
26 12

50 41
51 21
53 41

38 14
39 34

0
1

: x = (5, 0, 5, 3, 5)T .
2

6.3.2.
,
t = 1, . . . , T
:
ut dt,T + sT

St dt,T + sT ,

t = 1, . . . , T,

def Pt
dt1 ,t2 = 2=t1 d .
,
, . . s0 = sT = 0.
,
s0 T sT .

6.1. s0 = sT = 0, ut dt,T St dt,T t =


1, . . . , T , x = (x1 , . . . , xT )T ,
, . xt1 , xt2 , . . . , xtk , t1 < t2 < < tk ,
x . xti = dti ,ti+1 1
def

i = 1, . . . , k, tk+1 = T .
x = (x1 , . .P
. , xT )T t
t st = =1 x d1t , x

6.3. :

183

T
X
(ft sign(xt ) + ct xt + ht st )
t=1

T
X

ft sign(xt ) +

t=1

T
X

ct xt + ht

t=1

t
X

!!
x d1t

=1

T
T
X
X
(ft sign(xt ) + wt xt )
ht d1t ,
t=1

t=1

PT
def
wt = ct + =t h .
{dt , ft , ct , ht }Tt=1
t = 0}T ,
{dt = dt , ft = ft , ct = wt , h
t=1
.
6.1

G = (V, E)
:
V = {0, 1, . . . , T },
E = {(, t) : = 0, . . . , t 1; t = 1, . . . , T }.
(, t) E d +1,t
:
def

c(, t) = f +1 + w +1 d +1,t .
P = (t0 = 0, t1 , . . . , tk = T ) G 0
T xP ,
:
xP
ti = dti1 +1,ti ,

i = 1, . . . , k.

, P . ,
P G 0 T

x = xP .
t = 0, 1, . . . , T Ht
G 0 t. , t > 0
Ht

184

6.

= 0}t ,
{f , c = w , h
=1
t .
(6.3)
, :
H0 = 0,
Ht = min {H 1 + f + w d t },

t = 1, . . . , T.

1 t

(6.12)

6.7. (6.12), :
t
1
2
3
4

d
2
4
4
2

f
10
20
16
10

c
3
2
2
3

h
1
2
1
1

w
8
6
4
4

, w P
4
, wt = ct + =t h , t = 1, . . . , 4.
. Ht , ,
t = 1, 2, 3, 4 t , Ht .
H0 = 0,
H1 = H0 + f1 + w1 d11 = 0 + 10 + 8 2 = 26,

1 = 1,

H2 = min{H0 + f1 + w1 d12 = 0 + 10 + 8 6 = 58,


H1 + f2 + w2 d22 = 26 + 20 + 6 4 = 70}
= 58,

2 = 1,

H3 = min{H0 + f1 + w1 d13 = 0 + 10 + 8 10 = 90,


H1 + f2 + w2 d23 = 26 + 20 + 6 8 = 94,
H2 + f3 + w3 d33 = 58 + 16 + 4 4 = 90}
= 90,

3 = 1,

H4 = min{H0 + f1 + w1 d14 = 0 + 10 + 8 12 = 106,


H1 + f2 + w2 d24 = 26 + 20 + 6 10 = 106,
H2 + f3 + w3 d34 = 58 + 16 + 4 6 = 98,
H3 + f4 + w4 d44 = 90 + 10 + 4 2 = 108}
= 98,

4 = 3.

6.4. ,

185

x =
= 3, x4 =

(x1 , x2 , x3 , x4 )T . H4 4
0, x3 = d34 = d3 + d4 = 6. , H2
= 1, x2 = 0, x1 = d12 = d1 + d2 = 6.

T
, : x = (6, 0, 6, 0) .

6.4. o ,

, , n . .
B 1 .
, .
. pi
i. (
) ( ). ,
.
, .
,
- , .
:
i i ;
fij j, ,
i;
gij j,
, i.
j , . i,
,
i + 1, i + 2, . . . , j. j,

186

6.

c i,
def

c(i, j) = fi,j + B(i)gij + (B(i) B(j))

j
X

k ,

(6.13)

k=i+1

Qi
def
B(i) = B k=1 (1pk ) i. (6.13)
j, c i,

i + 1, i + 2, . . . , j .
G = (V, E), V = {0, 1, . . . , n} E = {(i, j)
V V : i < j}. (i, j) E c(i, j). P =
(0, i1 , i2 , . . . , ik = n) G ,
i1 , i2 , . . . , ik .
G 0 n .
F (j)
, 1, 2, . . . , j. , F (j)
G 0 j. G
, F (j) :
F (0) = 0,
F (j) = min (F (i) + c(i, j)),
0i<j

j = 1, . . . , n.

(6.14)

6.5.

U : R R. , ,
. . U (ct ) t = 0, 1, 2, . . .
ct t,
, , . U (ct+1 ) t + 1 t
U (ct+1 ), (0 < < 1) .

6.5.

187

, 0 , , k, y = f (k). ,
f , , . , ( ).
kt , t.
, yt = f (kt ) t. yt t,
t + 1:
f (kt ) = ct + kt+1 .
, :

t U (ct ) max,

(6.15a)

t=0

f (kt ) = ct + kt+1 ,

t = 0, 1, 2, . . . ,

(6.15b)

k0 .
, (6.15) , , .

6.5.1.
, , ( ) .
, , , , . ,
, ( )
kt
t = 1, 2, . . .

188

6.

def

v(q) = max

{kt }t=1

t U (ct ),

t=0

f (kt ) = ct + kt+1 ,

t = 0, 1, 2, . . . ,

k0 = q.

v(k0 ) = max

{kt }t=1

= max

{kt }t=1

!
t U (ct ) : f (kt ) = ct + kt+1 , t = 0, 1, 2, . . .

t=0

U (c0 ) +

!
t

U (ct ) : f (kt ) = ct + kt+1 , t = 0, 1, 2, . . .

t=1

= max (U (c0 ) + v(k1 ) : f (k0 ) = c0 + k1 )


k1

= max (U (f (k0 ) k1 ) + v(k1 )) .


k1

(6.16)

(6.16), :
U 0 (f (k0 ) k1 ) = v 0 (k1 ).

(6.17)

, 0 c0 = f (k0 ) k1 k1 .
(6.17),
, U f ,
v. , (6.16) k1 = g(k0 ).
v(k0 ) = U (f (k0 ) g(k0 )) + v(g(k0 )).
k0 ,
v 0 (k0 ) = U 0 (f (k0 ) g(k0 ))(f 0 (k0 ) g 0 (k0 )) + v 0 (g(k0 ))g 0 (k0 ).
(6.17),
v 0 (k0 ) = U 0 (f (k0 ) g(k0 ))f 0 (k0 ) (U 0 (f (k0 ) g(k0 )) v 0 (g(k0 ))) g 0 (k0 ))
= U 0 (f (k0 ) k1 )f 0 (k0 ).

6.5.

189

kt k0 ,
v 0 (kt ) = U 0 (f (kt ) kt+1 )f 0 (kt ),

t = 0, 1, 2, . . .

v 0 (k1 ) (6.17):
U 0 (f (k0 ) k1 ) = U 0 (f (k1 ) k2 )f 0 (k1 ).
, kt k0 ,
U 0 (f (kt ) kt+1 ) = U 0 (f (kt+1 ) kt+2 )f 0 (kt+1 ),

t = 0, 1, 2, . . .

(6.18)

6.5.2.
(6.15) f (k) = k U (c) = ln c. (6.18) :
1
kt+1
1
=

.
k
kt kt+1
kt+1
t+2

f (kt ) = kt = ct + kt+1
k
kt+1
= t+1
ct
ct+1

k
kt
kt+1
=1+
= 1 + t+1 .
ct
ct
ct+1
, , :


k
k
kt
= 1 + t+1 = 1 + 1 + t+2 .
ct
ct+1
ct+2

,
1
kt
= 1 + + ()2 + ()3 + =
.
ct
1

ct = (1 )kt ,

kt+1 = kt ,

t = 0, 1, 2, . . . .

190

6.

6.6.
6.1. , , 1 .
1

2j
6j
7 S

7 S

4 
S 4 3 
S4


S
S
2 
wj
S
wj
S

3
4
7
1j

S
S
 o
S

1
1S
5S
 1
S

6
w j
S
Sj
/

/

3
5

3 - j
2j
5
7

S
6
2  6 1 2 S2

S
?
4 - j 3 5- j
wj
S
j
1
3
6
8
7

S

6

8
4
3S 1
6
S
?

wj
S
- 7j
4
10

6.2. G =
(V, E), (v, w) E ()
c(v, w), s V t V
.
6.3. , , () (v, w)
p(v, w). p(v, w) . 1 7.
, ,
, .

1
3

3i
7 S


S

1
4
1
3

- 6i
7 S


0
S4
 1
1
S
S

wi
S
wi
S
3

3
i
1
4
7
o
S
S
7

7


S
1
1
1S
0
3
4S
4
SS
0
wi

Si

2
5


6.4.

6.6.

191


3
P2

Q
Q
450
Q




7
8
-W H
- DC2
- M2


3

 300
 QQ

J

Q 

J
10

Q


J
Q
 Q
Q 13

Q

J

Q
Q

J
Q
Q
Q 16
Q
J 9

4

Q
Q

15
Q
Q J
Q

Q J


250
400
Q 
Q J



Q
Q
s
s^
P1
DC1
M1

 9

11
, , P1 P2 ,
W H, DC1 DC2 . M1
M2 .
, P1 250
, P2 450 . M1
400 , M2 300 .
. .
. , ,
500 ,
200
?
6.5.
b
Pn
n

b
=
x
,
,


i
i=1
Qn
i=1 xi . fn (b) . fn (b)
fn (b).
6.6. :
)

15x1 + 19x2 + 24x3 + 27x4 max


2x1 + 3x2 + 4x3 + 5x4 7,
x1 , x2 , x3 , x4 Z+ ;

12x1 + 5x2 + 17x3 + 9x4 + 7x5 max


3x1 + 5x2 + 2x3 + 4x4 + 6x5 10,
x1 , x2 , x3 , x4 , x5 {0, 1};

192

6.
x1 + 2x2 + 3x3 + 2x4 + 3x5 max
12x1 + 9x2 + 15x3 + 11x4 + 6x5 29,
x1 , x2 , x3 , x4 , x5 {0, 1}.

6.7. 10
.
5 , :

1
2
3
4
5

1
- .

1
5
2
6
0
0
3
8
0
0

2
- .

2
8
3
10
4
12
0
0
2
5

3
- .

1
4
0
0
0
0
2
5
1
3

, 2 1 2,
1 $2 ., 2 $3 .;
1 $6 ., 2 $10 .
,
?
6.8. . 3.18,
:
)

16x1 + 6x2 + 14x3 + 19x4 max,


6x1 + 3x2 + 7x3 + 9x4 13,
x1 , x2 , x3 , x4 {0, 1};

16x1 + 9x2 + 20x3 + 7x4 max


9x1 + 12x2 + 14x3 + 8x4 22,
x1 , x2 , x3 , x4 {0, 1}.

6.9.
max{cT x : Ax b, x Zn+ },

(6.19)

A b .
x {0, 1}n , 0, 1-.

6.6.

193

) (6.8) (6.9)
. ( )
.
) :
)

9x1 + 5x2 + 7x3 + 4x4 max


2x1 + 3x2 + 2x3 + 1x4 4,
2x1 + 1x2 + 1x3 + 2x4 3,
x1 , x2 , x3 , x4 Z+ ;

8x1 + 7x2 + 4x3 + 5x4 max


x1 + x2 + 2x3 + x4 2,
3x1 + 3x2 + 1x3 + 2x4 5,
x1 , x2 , x3 , x4 {0, 1}.

6.10. .
n
X

aij xj = bi ,

i = 1, 2,

(6.20)

j=1

aij , b1 b2 .
.
6.4. 1 2 ,
1 b2 , 2 b1 . 1 > b2 amin 2 > b1
amin , amin aij ,
(6.20)

n
X
(1 a1j + 2 a2j )xj = 1 b1 + 2 b2 .
j=1

6.11. :

t
1
2
3
4
5

dt
2
4
4
2
3

ft
10
20
16
10
8

ct
3
2
2
3
1

ht
1
2
,
1
1
2

t
1
2
3
4
5

dt
4
2
3
4
3

ft
10
12
20
10
10

ct
2
3
2
3
2

ht
1
2
.
2
1
2

194

6.

6.12. 10 - .
:

1
2

2
1

3
5

4
.
2

.
, , .
1 . ( ).
.
( )
0.25 . .
, ,
.
6.13. n .
j = 1, . . . , n tj cj ,
dj , . ,
( : 30 , ). ,
.
.
,
? .
6.14. ,
T ,
. ,
, n (n < T ) . 1) 0 , 2)
p, 3) t (t = 1, . . . , n),
ct (c1 < c2 < < cn ),
rt (r1 > r2 > > rn , r1 > 0, rn < 0).

6.6.

195

, q .
E(, t) t , = 0, . . . , n, t = 0, . . . , T .
: E(, 0) = 0 = 0, . . . , n. E(, t).
6.15. n T . ,
t kt
.
t ct . - ,
( , . .) ft ( ).
E(k, t) k t , k = 0, . . . , n, t = 0, . . . , T . :
E(0, 0) = 0, E(k, 0) = k = 1, . . . , n.
1. E(k, t).
2. , ,
n = 8, T = 6, :
t
1
2
3
4
5
6

kt
1
2
4
6
7
8

ct
5.4
5.6
5.8
5.7
5.5
5.2

ft
1.5
1.2
1
1
1
1

7.1.
,
, . ,
.

7.1.1.
G = (V, E),
, .
, . , . () (i, j) E . .

im

- jm

i- A, j-
A. . , G B C, E
B, C. . 7.1, a , ,

7.1.
3m

E
3


q
1m
2m
........................
...............
.................................1
Q
C
Q
s m
GQ
4
B

...............................................
.
........................

197
2m

B
3


1m
X
Q
Q
s ?
CQ
0
2m

E - m
4

- 4m

. 7.1. ,

E C, .
X
0 (. . 7.1, ).
.
7.1. 1 2 4, 3 4 .
3 2, 3 , 2. . 7.1.
. 7.2.
2
.
1. (,
) (,
).
2. . , ()
.
, V = {1, . . . , n} , (i, j) E,
i < j.
, , .
,
1.

198

7.

7.1
7.1

.
A
B
C
D
E
F
G
H
I

1
2
3
1
2
4
3

.
(.)

.
.

5
3
10
7
10
5
9
4
2

A
B
D, E
B, C
F, G
H

. ,
2. , .
.

7.1.2.

,
.


Tjp j , 1
j. , Tjp 1 j, .

7.1.

199


2
5@ 7
@
2@
7

S

S 7
A 5
DS

S

S 



w
S
1
3
B - @
E - @5
0@ 0
3
4
13 14
3
10
@
@
@
0@
1@
1@



S
S
10
K 0
F 5
CS
S
S 
?

 
?
w 4
S
6
G - @
H - @7
I - @8
@
10 10
19 19
23 23
25 25
@
@
@
9
4
2
@
@
@
@
0
0
0
0@
   
. 7.2.
Tjp :
T1p = 0,
Tjp = max {Tip + tij },

j = 2, . . . , n.

(i,j)E

. 7.2 .
n
, 1 n.
, , T . . 7.2
.
Tj j
j, ( ).
, j ,

Tj = T Ljn ,

200

7.

Ljn j n.
Tj :
Tn = T ,
Tj = min {Tip tij },

j = n 1, . . . , 1.

(j,i)E

. 7.2 .
Rj j ,

, ..
Rj = Tj Tjp .
.

. , j,
Rj
, , . . 7.2
.

1. Tp (i, j) (i, j) Tip
i, (i, j) ,
i.
2. T (i, j) (i, j)
(i, j) :
Tp (i, j) = Tj .
3. Tp (i, j) (i, j)
Tp (i, j) = Tjp + tij .
3. T (i, j) (i, j)
T (i, j) = Tj tij .


(, )

7.1.

201

,
.
1. R (i, j) (i, j) (i, j) :
R (i, j) = Tj Tip tij .
R = 0. (i, j)
, , (i, j).
2. R (i, j) (i, j)
(i, j), ,
. . :
R (i, j) = Tjp Tip tij .
3. R (i, j) (i, j) (i, j),
, :
R (i, j) = Tj (Ti tij ).
4. R (i, j) (i, j) (i, j), ,
:
R (i, j) = max{0, Tjp Ti tij }.
7.1. . 7.2. : R ,
R , R , R .
. 7.2 , Ox ,
Oy . 7.1
. 7.3.
2

202

7.

7.2
. 7.2
.

A
B
C
D
E
G
F
H
I
K

(1, 2)
(1, 3)
(1, 4)
(1, 5)
(3, 5)
(4, 6)
(5, 6)
(6, 7)
(7, 8)
(3, 4)

5
3
10
7
10
9
5
4
2
0

A
B
C
D
E
F
G
H
I
0

.
0
0
0
5
3
10
13
19
23
3

.
5
3
10
12
13
19
19
23
25
3


.
.
2
7
1
4
0
10
7
14
4
14
10
19
14
19
19
23
23
25
10
10

(2, 0, 2, 0)
(1, 0, 1, 0)
(0, 0, 0, 0)
(2, 1, 0, 0)
(1, 0, 0, 0)
(0, 0, 0, 0)
(1, 1, 0, 0)
(0, 0, 0, 0)
(0, 0, 0, 0)
(7, 7, 0, 0)

10

15

20

25

. 7.3. 7.1

7.2.

203

7.2.
, , . ( ) (i, j):
mij ;
aij ;
bij .
, tij
(i, j) - (. B,
. 275),
ij = (bij aij )/6. ( (i, j)) tij
:
E(tij ) ij = (aij + 4mij + bij )/6.
( ) T , . T
.
E(T ) . (i, j)
ij . E(T )
, . ,
, 2 (T ) T ,
.
,
, , T

p
= E(T ) = 2 (T ).
1
P(T T) =
2

e(x)

/(2 2 )

dx

T. , P(T T)
. -

204

7.
def

Z = (T )/sigma


T
P(T T) = P Z
.

7.2. . 7.3. 58 .

7.3
7.2

. .

A
B
C
D
E
F
G
H
I
J
K

A
A
B,C
A
C
C
D,E,F
D,E,F
G,H
I,J

2
6
6
1
8
3
4
5
6
3
5

5
9
7
4
8
12
7
14
8
6
8

8
12
8
7
8
21
13
17
12
9
11

5
9
7
4
8
12
7 12
13
8 13
6
8

1
1
1/3
1
0
3
1 21
2
2
1
1

1
1
1/9
1
0
9
2 41
4
4
1
1

. . 7.4, () , . 7.3.
( ) ,
P = (1 2 3 5 6 7 8)

7.2.

205


3
@12
12
@
0 H

@ HH 7 12

C
X 0
@F GHH
7
12
H   
?
  
@
H
R
@
j
H
1
7
8
A- 2
B- 4
D- 5
H- 6
- 51
@37 J6 - 43
@
@
@43 K
@51
37
0@ 0
5@ 5
14
20
24
24
5
4 ..
13 
8
@
@
@
@
@
......
. @
0
0
0 ......... 9
6
0
0
0
.. @
.
.
.
.





.
.
.
......
.
.
......
......
......
......
.......
.......
.......
.......
.......
........
.......
.......
.......
...
........
........
.
..........
................ E ........................
...............

.
..........
................ I ........................
...............
1
83

. 7.4. . 7.3
T = 51. = E(T ) = 51
2 (T ) = 1 + 1/9 + 9 + 4 + 1 + 1 = 16

1
9

2 (T ) 4.014.

, 58 :


58 51
P(T 58) = P Z
= P(Z 1.74) = 0.9591.
4.014

.
2

7.2.1.
,
E(T ) ,
() , .
.
, A B, . tA A
5, tB B
,
3 7.

206

7.

E(tA ) = E(tB ) = 5, E(T ) = 5. T = max{tA , tB } ,


5
7. E(T ) = 21 5 + 21 7 = 6 > 5.
,
-, ,
.

7.3.

( ). ( , , , . .). , , . .

.

, , ,
,
. , .
.
q r . Rkr k.
q n . Rkn
k. ,
.
n . j :
lj , uj : (
[lj , uj ]);
pj : ;
rjk : k {1, . . . , q r };

7.3.

207

njk : k {1, . . . , q n }.

def
G = (J = {1, . . . , n}, E): (j1 , j2 )
E j2 job j1 .

7.3.1. ,

. , , . . : t t
t + 1.
xjt , t = lj , . . . , uj pj , j = 1, . . . , n. xjt 1, j t;
xjt = 0. sj (j = 1, . . . , n),
sj j. , ,
T , .
:
T min,

(7.1a)

uj pj

xjt = 1,

j = 1, . . . , n,

(7.1b)

t=lj
n
X

min{t,uj pj }

rjk xj Rkr ,

t = L, . . . , U ; k = 1, . . . , q r ,

(7.1c)

j=1 =max{tpj +1,lj }


j pj
n uX
X

njk xjt Rkn ,

k = 1, . . . , q n ,

(7.1d)

j=1 t=lj
uj pj

sj =

X
t=lj

t xjt ,

j = 1, . . . , n,

(7.1e)

208

7.

sj2 sj1 pj1 ,

(j1 , j2 ) E,

(7.1f)

T sj pj ,

j = 1, . . . , n,

(7.1g)

xjt {0, 1},

t = lj , . . . , uj pj ; j = 1, . . . , n.

(7.1h)

(7.1b) , . (7.1c) ,

. , j t,
, , t + pj . (7.1d) ,
. L = min1jn lj
U = max1jn uj pj . (7.1e) xjt sj .
(7.1f) , (7.1g) ,
(7.1a) .

(7.1) :
Pn
j=1 (uj lj pj + 1) + n 3n + (U L + 1)q r + q n + |E|
. , , (7.1)
.

7.4.

7.1. , :

7.4.

209

.
.

.
.

A
B
C
D
E
F
G
H
I
J

10
6
7
5
6
8
4
10
5
7

B,C
A,B,C
A
F
E
H,D
F

A
B
C
D
E
F
G
H
I
J

8
6
5
7
9
8
3
2
10
7

A,C
A,B,C
B
F
D,E,G
A,C
F

a)

.
.
.

A
9

B
10

C
7

D
5

E
13

F
3

G
8

H
10

I
4

J
17

K
3

L
6

A,B,C

E,F

E,F

I,H

7.2. :

.
A
B
C
D
F
E
G
H
H

.
(.)

.
.

2
1
4
2
1
3
1
1

A
A
B, C
D
D
E
F, H

210

7.

. ?
7.3. .
.

. .

A
B
C
D
E
F
G
H
I
J
K
L
M
N

A
B
A
D
D
F
E
C,E
A
K
K
G,H,I,L,
M

2
2
3
1
4
2
1
4
3
5
2
3
1
2

3
6
4
3
5
5
1
5
5
7
3
4
1
3

5
10
5
4
6
7
1
6
6
8
4
4
1
4

) .
) ,
.
) , 30, 40
50 ?

. .
,
.
, , .
,
, .
, , ,
, .
, .

8.1.

: . , --: .
, , , . -

212

8.

, , :
cT x + E(h()T y()) max,
A() x +
G() y() b(),
x
X,
n
y() R+y .

(8.1)

x X ,
X Rnx (, X = Rn+x , X = Zn+x
X = P (A0 , b0 ; S)). x X ,
(, A, P). y()
. y
. A()x + G()y() b() . (8.1) : cT x, x,
E(h()T y()) h()T y(),
y().
(8.1) :
max{f (x) : x X},

(8.2)

f (x) = E(f (x, )), f (x, ) (. . 8.2) :


def

f (x, ) = cT x + max h()T y(),


G()y() b() A()x,
y()

(8.3)

n
R+y .

, f (x) . ,
. , ,
. ,
= {1 , . . . , K } p = (p1 , . . . , pK )T , . . () k pk . k = 1, . . . , K : hk = h(k ), wk = pk hk ,

8.2.

213

Ak = A(k ), Gk = G(k ), bk = b(k ), yk = y(k ), nk = ny . (8.1) :


cT x +

K
X

wkT yk max,

k=1

Ak x +
x

Gk yk bk ,
X,
yk Rn+k ,

k = 1, . . . , K,

(8.4)

k = 1, . . . , K.

(8.4), x . x ,
. ,
k ,
cT x + hTk yk max,
Ak x + Gk yk bk ,
x
X,
yk Rn+k ,
. , , (8.4)
Ak x + Gk yk bk k = 1, . . . , K.

8.2.
. , ,
, . , .
.
,
,
.
(8.1), , -

214

8.

x. g(x, ),
x , (, A, P) ( ).
, ,
1990 . . . ( ):
var(g(x, )) = E((g(x, ) E(g(x, )))2 ).
. , :
, ,
. ,
() .
VaR (Valueat-Risk) J. P. Morgan.
def
G(x, ) = P{ : g(x, ) }
g(x, ).
0 < < 1 VaR
def

VaR (x) = min{ : G(x, ) }.


= {1 , . . . , K }, VaR (x),
def

1) gk (x) = g(x, k ) :
g(1) (x) g(2) (x) g(K) (x);
2) j ,
VaR (x) = g(j) (x).

Pj

i=1

p(i) , -

,
= {0, 1, 2, 3, 4, 5, 6, 7, 8, 9},
5 (0, 1, 2, 3, 4) 1/20,
(5, 6, 7, 8, 9) 3/20. = 0.9
g(x, ) = x x Z+ . k = k 1, x = 5
gk (5) = g(5, k 1) = 6 k, k = 1, . . . , 10. gk (5):

8.2.
i
(i)
g(i) (5)
p(i)

1
10
4
3
20

2
9
3
3
20

215
3
8
2
3
20

4
7
1
3
20

5
6
0
3
20

6
5
1
1
20

7
4
2
1
20

8
3
3
1
20

9
2
4
1
20

10
1
5
1
20

8
X

p(i) = 5

i=1

3
1
+3
= 0.9,
20
20

j = 8 VaR0.9 (5) = g(8) (5) = g3 (5) = 3.


VaR ,

. , VaR . , , VaR (x). VaR , VaR (x) (VaR (x + y) VaR (x) +
VaR (y)).
, . VaR , VaR (x) , .
VaR .
, CVaR (x) (Conditional-Value-at-Risk) () , ,
VaR (x). , CVaR (x)
g(x, ) c -

0,
< VaR (x),
def
G (x, ) = G(x, )

, VaR (x).
1
R
CVaR (x) = dG (x, ). .
.
8.1.
CVaR (x) = min g (x, ) = g (x, VaR (x)),
R

216

8.

1
g (x, ) = +
1
def

Z
max{g(x, ) , 0}P(d).

,
. , = {1 , . . . , K } p = (p1 , . . . , pK )T .

K
1 X
pk max{gk (x) , 0},
(8.5)
g (x, ) = +
1
k=1

def

gk (x) = g(x, k ).
, VaR0.9 (5) =
3,
CVaR0.9 (5) = g0.9 (5, VaR0.9 (5)) = g0.9 (5, 3)
1
1
3
=3+

(2 + 1) = 3 + = 4.5.
1 0.9 20
2

8.2.1.
(8.1).
, CVaR (x) r, r
. zk
max{gk (x) , 0} (8.5), (8.4) (8.1) :
cT x +

K
X

wkT yk max,

k=1

Ak x + Gk yk bk ,
+

1
1

K
X

k = 1, . . . , K,
(8.6)

pk zk r,

k=1

gk (x) zk 0,

k = 1, . . . , K,

R, x X,
zk 0, yk Rn+k ,

k = 1, . . . , K.

(8.6) , gk (x) X =
P (A, b; S). , g(x, ) =

8.2.

217

f (x, ) (, f (x, ) ).
(8.6) :
cT x +

K
X

wkT yk max,

k=1

Ak x + Gk yk bk ,
+

1
1

K
X

k = 1, . . . , K,
(8.7)

pk zk r,

k=1

cT x + hTk yk + + zk 0,
R, x X,
zk 0, yk Rn+k ,

k = 1, . . . , K,
k = 1, . . . , K.

(8.6) (8.7) .
,
gk (x) = cT x max{hTk yk : Gk yk bk Ak x}

cT x +

K
X

wkT yk =

k=1

K
X

pk (cT x + hTk yk ),

k=1

) (8.7) (x ; y1 , . . . , yK
; ; z1 , . . . , zK
yk

max{hTk yk : Gk yk bk Ak x}
, , gk (x ) = cT x hTk yk .

8.2.2.
, ,
. -
-
, . , (, , .) ,
. ( ) , ,

218

8.

. CVaR, , .
n (, ). xj
j. x = (x1 , . . . , xn )T . X ()

n
X

xj = 1,

j=1

lj xj uj ,

j = 1, . . . , n.

K . pk k, k
, kj (
PK
k
) j. =
k=1 pk
.
x, k, : gk (x) = (q k )T x, q , ,
.
x CVaR (x)
r. ,
() x
r.
:
T x max,
1
1

K
X

(8.8a)

pk zk r,

(8.8b)

(q k )T x zk 0, k = 1, . . . , K,
n
X
xj = 1,

(8.8c)

k=1

(8.8d)

j=1

lj xj uj ,
zk 0,
R.

j = 1, . . . , n,

(8.8e)

k = 1, . . . , K,

(8.8f)
(8.8g)

8.3. 219

, (8.8) . .
. ,
N = {1, . . . , n} N1 , . . . , Nm , ,
. ,
Ni ni , s
.
:
yj = 1, j , yj = 0
(j = 1, . . . , n);
i = 1, i
, i = 0 (i = 1, . . . , m).
(8.8)
(8.8e) :
lj yj xj uj yj , j = 1, . . . , n,
X
yi ni , i = 1, . . . , m,
jNi

yj i , j Ni , i = 1, . . . , m,
m
X
i s,
i=1

yj {0, 1},

j = 1, . . . , n,

i {0, 1},

i = 1, . . . , m.

8.3.


, .

220

8.

, .
, (). T , t t ,
t = 1, . . . , T . ( 0) x ,
1 . y( 1 , . . . , t ) t, 1 , . . . , t1 , t . y( 1 , . . . , t )
y( 1 , . . . , t1 ), . :
cT x +

T
X

h( 1 , . . . , t )T y( 1 , . . . , t ) max,

t=1

A( 1 )x + G( 1 )y( 1 ) b( 1 ),
A( 1 , 2 )y( 1 ) + G( 1 , 2 )y( 1 , 2 ) b( 1 , 2 ),
A( 1 , 2 , 3 )y( 1 , 2 ) + G( 1 , 2 , 3 )y( 1 , 2 , 3 ) b( 1 , 2 , 3 ),
. . .. . .
.. .
A( 1 , . . . , T )y( 1 , . . . , T 1 ) + G( 1 , . . . , T )y( 1 , . . . , T ) b( 1 , . . . , T ),
x X,
1

y( , . . . , ) R

ny

t = 1, T .
(8.9)

, t = 1, . . . , T t
,
(1 , . . . , t ) 1 t
p(1 , . . . , t ). ,
X
p(1 , . . . , t ) = 1.
(1 ,...,t )1 t

,

(8.9), .
0, 1, . . . , n. 0
. , t , t. t(i) i.

8.3. 221
, . , , , (i, j), i j
parent(j). (i, j)
i,j t(i) .
. 0 X c0 = c. j (1 j n)
:
def

pj = p((0, i1 ), (i1 , i2 ), . . . , (it(j)1 , j)),


def

cj = h((0, i1 ), (i1 , i2 ), . . . , (it(j)1 , j)) pj ,


def

bj = b((0, i1 ), (i1 , i2 ), . . . , (it(j)1 , j)),


def

Aj = A((0, i1 ), (i1 , i2 ), . . . , (it(j)1 , j)),


def

Gj = G((0, i1 ), (i1 , i2 ), . . . , (it(j)1 , j)),


(0, i1 , . . . , it(j)1 , j)
, 0 j. ,
pj :
X
pj = 1,
j: t(j)=k

pj = pi

i 0 , t(i) < T .

j: parent(j)=i

xj , j (x0 = x),

(8.9) :
n
X

cTj xj max,

j=0

Aj xparent(j) + Gj xj bj ,

j = 1, . . . , n,

(8.10)

x0 X,
xj 0,

j = 1, . . . , n.

(8.10), , , x = x0 , . xj . ,

222

8.

, (
1 ). ,
(8.10).
.

8.3.1.

. , , , . , , ,
.
:
n ;
T , t
t 1 t;
z0 ;
xi0 , i ;
R (1 + )
;
rit = ri ( 1 , . . . , t ) ( )
i t;
it i
t; ,
;
qi i .
:
xbi1 , 1 i;
xsi1 , 1 i.
:
xit = xi ( 1 , . . . , t ) , i t,
t = 1, . . . , T ;

8.3. 223
zt = zi ( 1 , . . . , t ) t, t =
1, . . . , T ;
xbit = xbi ( 1 , . . . , t1 ) , t
i, i = 1, . . . , n, t = 2, . . . , T ;
xsit = xsi ( 1 , . . . , t1 ) , t
i, i = 1, . . . , n, t = 2, . . . , T ;
= ( 1 , . . . , T )
( T );
w ()
.
:
w + (1 )E() max,
n
X
1
(1 + it )xbit = zt , t = 1, . . . , T,
(1 it )xsit
zt1 +
R
i=1
i=1
n
X

1
xi,t1 + xbit xsit =
xit ,
rit

n
X
xit qi zt +
xjt 0,

(8.11a)
(8.11b)

i = 1, . . . , n; t = 1, . . . , T,

(8.11c)

i = 1, . . . , n; t = 1, . . . , T,

(8.11d)

j=1
n
X
zT +
(1 iT )xiT = w + ,

(8.11e)

i=1
b
s
xit , xit , xit

i = 1, . . . , n; t = 1, . . . , T,

(8.11f)

t = 1, . . . , T.

(8.11g)

0,

zt 0,

(8.11a) (0 1)
: ( ) w (
) E() . (8.11b)
t: zt . zt1 ,
P
n
s
, i=1 (1
Pnit )xit ,
i=1 (1 + it )xbit . , (8.11c)

224

8.
3h

4h

A
K


A 
Ah


5h

6h

A
K


A 
Ah


@
I
@
@h
0

. 8.1. 8.1
i t: , ,
xit , . ,
, xi,t1 , , xbit , , xsit ,
. (8.11d) . ,
(8.11e) ()
.
8.1. , z0 ,
.
T = 2 . , R .
1 0.5 r1+ r1 ,
2 2/3 r2+ 1/3
r2 . .
.
. , z0 , x0 = 0.
. 8.1. 7 . 1 2 1 1/2,
3 5 1/3, 4 6
1/6. , i (i = 0, 1, 2), :
xbi , i;
xsi , i.

8.3. 225
i = 1, . . . , 6 :
xi , i;
zi i.
, xb0 xs0 ,
.
(8.11) :

w + (1 )

1
1
1
1
3 + 4 + 5 + 6
3
6
3
6


max,

z0 + (1 )xs0 (1 + )xb0 =
x0 + xb0 xs0 =
z0 + (1 )xs0 (1 + )xb0 =
x0 + xb0 xs0 =
z1 + (1 )xs1 (1 + )xb1 =
x1 + xb1 xs1 =
z1 + (1 )xs1 (1 + )xb1 =
x1 + xb1 xs1 =
z2 + (1 )xs2 (1 + )xb2 =
x2 + xb2 xs2 =
z2 + (1 )xs2 (1 + )xb2 =
x2 + xb2 xs2 =

1
z1 ,
R
1
x1 ,
r1+
1
z2 ,
R
1
x2 ,
r1
1
z3 ,
R
1
x3 ,
r2+
1
z4 ,
R
1
x4 ,
r2
1
z5 ,
R
1
x5 ,
r2+
1
z6 ,
R
1
x6 ,
r2

z3 + (1 )x3 = w + 3 ,

z4 + (1 )x4 = w + 4 ,

z5 + (1 )x5 = w + 5 ,

226

8.
z6 + (1 )x6 = w + 6 ,

x1 , z1 , x2 , z2 , x3 , z3 , x4 , z4 , x5 , z5 , x6 , z6 0,
xb0 , xs0 , xb1 , xs1 , xb2 , xs2 0,
3 , 4 , 5 , 6 0.
2

8.3.2.
(yield management) ,
.
1. . .
2.
.
3. .
.
4. . . ,
. c , ,
, .
5. . , ,
, ,
.
.
D
. D T
(, D = 60 T = 4 30, 20, 7 3 ).

8.3. 227
k
, q1 ( 1),
q2 - ( 2) q3 - ( 3).
ri i
, i = 1, 2, 3. f .
i (i = 1, 2, 3) t (t = 1, . . . , T )
cti1 , . . . , ct,i,Ot , Ot t.
. , t
St . s (1 s St ) PSt
pts , s=1
pts = 1,
o i dtsio .
,
, .
, Q.
T
n + 1 = 1 + t=1 St . Vt t, t = 0, 1, . . . , T . ,
0 V0 = {0}. j Vt (t = 1, . . . , T ) ,
t ,
(s1 , s2 , . . . , st ), s {1, . . . , St } ,
. , j,
def Qt
pj = =1 p,s def
o i djio = dt,st ,i,o ,
ctio . parent(j) j Vt1 ,
(s1 , s2 , . . . , st1 ). ,
V1 0.
. v
( ). j Vt1 ,
t = 1, . . . , T , :
xjio i, t o, (t 1)-
, j;
yjio = 1, t i o,
(t 1)- , j, yjio = 0 .

228

8.
j Vt , t = 1, . . . , T , :
zji i, t , , j.


:
f v +

Ot
T
X
X X

(
pj ctio )xjio max,

(8.12a)

t=1 jVt1 o=1


Ot
X

j Vt ; i = 1, 2, 3; t = 0, . . . , T 1,

yjio = 1,

(8.12b)

o=1

xjio djio yjio ,

zji =

O1
X

j Vt ; i = 1, 2, 3; o = 1, . . . , Ot ; t = 0, . . . , T 1,
(8.12c)
j V1 ; i = 1, 2, 3,

x0io ,

(8.12d)

o=1

zji = zparent(j),i +

Ot
X

j Vt ; i = 1, 2, 3; t = 2, . . . , T,

xparent(j),i,o ,

o=1

(8.12e)
zj1 (q1 + br2 q2 /100c) v,

j VT ,

(8.12f)

zj2 (q2 + b(r1 q1 + r3 q3 )/100c) v,


zj3 (q3 + br2 q2 /100c) v,

j VT ,

j VT ,

(8.12h)

zj1 + zj3 (q1 + q3 + br2 q2 /100c) v,


zj1 + zj2 + zj3 (q1 + q2 + q3 ) v,
xjio Z+ ,
yjio {0, 1},
zji Z+ ,

(8.12g)

j VT ,

j VT ,

j Vt ; i = 1, 2, 3; o = 1, . . . , Ot ; t = 0, . . . , T 1,

(8.12i)
(8.12j)
(8.12k)

j Vt ; i = 1, 2, 3; o = 1, . . . , Ot ; t = 0, . . . , T 1, (8.12l)
j Vt ; i = 1, 2, 3; t = 1, . . . , T,

v Z+ , v k.

(8.12m)
(8.12n)

(8.12b) , T
.
(8.12c) ,

. (8.12d) (8.12e)
,

8.4.

229

T . (8.12f)(8.12j) ,

.
(8.12), ,
( x0io ). 1
,
,
2, . . . , T , , 2.
t = 3, . . . , T .

8.4.
8.1. $50 000. XYZ
$20 . $700
( ) 100 XYZ
$15 . ,
$100 $90.
20 .

XYZ: 1) ; 2) $40; 3)
$12.
8.2. , x f (x, ), (8.3), .
, :
a) ;
) , ,
$2000;
) , .
.
8.3. $4 000
. 1 $1, 2 $2, 3 $4. 1

230

8.

$1.20, 2 $2.30, 3 $4.50.


, [0, 3 000].
, .


()
, . : , , , , , . .

( ),
. - (
), .
,
(
, );
.
; , , , ,
, .
, , ,
.

232

9.

9.1.
{X(t)}tR+
( ) , :
(i) X(0) = 0;
(ii) ( ) X(i + ti ) X(i ) [i , i + ti ], i = 1, . . . , k,
;
(iii) () t R+ X(t)
t 10 .
(., , [12]),
.
T1 , T2 , . . . , et , > 0. , T1 , T2 , . . .
, ,
, ,
, . ..
E(Tj ) = 1/,
, , .
N (t) , [0, t]. (., , [12]), {N (t)}tR+ .
,
P(N (t) = k) = P(T1 + T2 + + Tk t) = t (k),

10

k = 0, 1, 2, . . .

Y , def

, , P(Y = k) = (k) =
e k

k!

k Z+ .

9.2.

233

9.2.
.
,
.
, . 9.1. Sk , k.

k1,k
k,k+1
n1,n
......01
......12
......23
....... ............
....... ............
....... ............
........... ............
............. .............
............. ............

..
..
.. ................... .....z
..
..
.................. ....z
.................. ....z
.................. ....z
. .................. ....z
.................. ....z
S0 ..........
S1 ..........
S2 ..........
S
S
k
.
.
.
.
.
.
.
.
. n
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.............................. 
..............................
.............................. 
y

y............................. 
y............................. 
y............................. y
y
10
21
32
k,k1
k+1,k
n,n1
. 9.1.

9.2.1.
pk (t) , t Sk . t > 0
t + t Sk (1 < k < n)
k1,k t, t Sk1 ;
1 (k,k1 + k,k+1 )t, t Sk ;
k+1,k t, t Sk+1 .

pk (t + t) = pk+1 (t)k+1,k t + pk1 (t)k1,k t
+ pk (t) (1 (k,k+1 + k,k1 )t) .
t,
pk (t + t) pk (t)
= k+1,k pk+1 (t) + k1,k pk1 (t) (k,k+1 + k,k1 )pk (t).
t
t 0,
dpk (t)
= k+1,k pk+1 (t) + k1,k pk1 (t)
dt
(k,k+1 + k,k1 )pk (t), k = 1, . . . , n 1.

(9.1)

234

9.
k = 0 k = n:
dp0 (t)
= 10 p1 (t) 01 p0 (t),
dt
dpn (t)
= n1,n pn1 (t) n,n1 pn (t).
dt

(9.2)
(9.3)

, def
pk (t) = pk ( ). p0 , p1 , . . . , pn 11 , k (t)
(9.1)(9.3), , dpdt
= 0
k = 0, 1, . . . , n. S0 :
01 p0 = 10 p1 .

(9.4)

S1 :
(10 + 12 )p1 = 01 p0 + 21 p2 .
(9.4)
12 p1 = 21 p2 .
,
23 p2 = 32 p3
k = 1, . . . , n :
k1,k pk1 = k,k1 pk .
, p0 , p1 , . . . , pn
01 p0 = 10 p1 ,
12 p1 = 21 p2 ,
...
k1,k pk1 = k,k1 pk ,

(9.5)

...
n1,n pn1 = n,n1 pn .
11 p ,
i
Si .

9.3.

235

(9.5) p1 p0 :
p1 =

01
p0 .
10

(9.6)

, (9.6), :
p2 =

01 12
12
p1 =
p0 .
21
21 10

(9.7)

, (9.7), :
p3 =

23
01 12 23
p2 =
p0 .
32
32 21 10

(9.8)

, k = 1, . . . , n :
pk =

01 12 . . . k1,k
p0 .
k,k1 . . . 21 10

(9.9)

, (9.9) , , S0
Sk , ,
, Sk S0 .
, p1 , . . . , pn p0 .
p0 + p1 + p2 + + pn = 1,


p0 =

01 12
01 12 . . . n1,n
01
+
+ +
1+
10
21 10
n,n1 . . . 21 10

1
.

(9.10)

9.3.
, (
) L , (. . ),
W .
( , , , . .) : ,

236

9.

X(t), Y (t)
8

6
4
2

. 9.2. X(t) Y (t)

, , . ,
, , , , . . .
X(t) ,
t, Y (t) ,
t. , X(t)
, Y (t)
, .
X(t) Y (t) . 9.2. def

t Z(t) = X(t) Y (t) ,


. Z(t) = 0, .
T
, .
1
T

Z(t)dt.
0

, . 9.2. , k- ,
, , tk ,
k- . , [0, T ] ,

9.3.

237

, T
1
T

k(T )

Z(t)dt
0

tk ,

k=1

k(T ) , T .

1
T T

L = lim

k(T )
k(T )
1 X
1 X
tk = lim
tk .
T T
T T

Z(t)dt = lim
0

k=1

k=1

T , T .

k(T )
1 X
tk
lim
T T
k=1

W . L =
W ,
1
W = L .
(9.11)

:
, ,
,

,
.
, W
L :
W =

1
L .

(9.12)

(9.12) Y
U , U (t) ,
t ( , , ,
, ,
).

238

9.

9.4.

. 19-
.
n ( ),
.
- , . . , :
A , . . , ;
Q , . .
, ;
P , . . ,
;
k .
(
): Sk
k (k = 1, . . . , n).
. 9.3.

......... 
......... 
.........
......... 
.........
......... 
.................z
.................z
.................z
.................z

.....
.....
.....
.....
.....
.....
.................
.................
.................
.................
..................................z
..................................z
S0 ..........
S
S
S
S
1 ..........
2 ..........
k ..........
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.. n
.
.
.
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.

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.
.
.
.

y.................... 
y.................... 
y....................
y.................... 
y....................
y.................... ...

n
2
3
k
(k + 1)
. 9.3. n-
(9.9) (9.10)
. (9.10) :

p0 =

1

2
3
k
n

+
+
.
.
.
.
1+ + 2 +
2
3!3
k!k
n!n

2
n
, 2 , . . . , n!n

(9.13)

p0

9.4.

239

p1 , . . . , pn :
pk =

k
p0 ,
k!k

k = 1, . . . , n.

(9.14)

/ . , ,
.
, (9.13) (9.14) :
!1
n
X
k
p0 =
,
(9.15)
k!
k=0

k
pk =
p0 ,
k!

k = 1, . . . , k.

(9.16)

.
.
, ( )
n
P = pn =
p0 .
n!
, :
Q = 1 P = 1

n
p0 .
n!

, Q:


n
p0 .
(9.17)
A = Q = 1
n!

k.
k = 0 p0 + 1 p1 + 2 p2 + + n pn ,

k,
(9.16) pk (k = 1, . . . , n) .
k .
, A.

240

9.


. , k = A/,
, (9.17),


n

p0 .
k = 1
n!
9.1. (n = 3), 1.5 ,
2 .
: A, Q, P , k.
, 80 % ?
?
. = 3/2, = 1/2 = (3/2)/(1/2) = 3.
(9.13)
p0 =

1
1++

2 /2

3 /6

1
= 1/13.
1 + 3 + 9/2 + 27/6

P = p3 = (3 /3!)p0 =
(33 /6) (1/13) = 9/26,
Q = 1 P = 1 9/26 = 15/26,
A = Q = (3/2) (15/26) = 45/52,
k = A/ = (45/52)/(1/2) = 45/26.
2

9.5.

, ( , ). , .
, :
L ;
W ;
L ;
W ;

9.5.

241

P , ( ).
,
: Sk k (k = 1, 2, . . . ). ,
. 9.4.
......... 
......... 
.........
......... 
.........
.................z
.................z
.................z
.................z

.....
.....
.....
.....
.....
.................
.................
.................
.................
..................................z

S0 ..........
S
S
S
1
2
k
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.............................................
............................................. y
.............................................
...............................................

y.....................................
y
y
y

. 9.4.
, t
. , .
def
, = / < 1,
, 1 t .
= 1. ,
: ,
, . = 1
, , .
,
.
.
,
.
. (9.9) (9.10)
.
:

p0 =

1+

k
2
+ 2 + + k + ...

1

= (1 + + 2 + + k + . . . )1 .

=
(9.18)

242

9.

(9.18) . < 1 . 1 ,
,
p0 , p1 , . . . , pk , . . . < 1.
< 1 (9.18)
p0 = 1 .

(9.19)

pk = k p0 , p1 , p2 , . . . , pk , . . . :
p1 = (1 ), p2 = 2 (1 ), . . . , pk = k (1 ), . . .

(9.20)

, ,
p0 , 0.
.
0, 1, 2, . . . , k, . . .
p0 , p1 , p2 , . . . , pk , . . .
L =

X
k=0

kpk =

kk (1 ) = (1 )

kk1

k=1

k=1

X
d k
d X k
= (1 )
= (1 )

d
d
k=1

k=1

1
d
= (1 )
= (1 )
d 1
(1 )2

=
.
1
(9.11) :

W =
.
(1 )
.
, . (
), L
L .
(
), ( ).

9.5.

243

, (
P ). , P p0 , :
P = 1 p0 = .
, L = ,

=
.
(9.21)
Lo = L =
1
1
(9.12)
:
2
W =
.
(1 )
9.2. MacDonalds drive-through
. , 15 . ,
, .
.
. : = 15, = 60/3 = 20.
= / = 15/20 = 0.75 (75 %).
1. :
L =

0.75
=
= 3 .
1
1 0.75

2. :
L = L = 3 0.75 = 2.25 .
3. :
W =

1
3
L =
= 0.2 . = 12 .

15

4. :
W =

1
2.25
L =
= 0.15 . = 9 .

15

244

9.

9.6.

n- .
:
Sk k , (k = 0, . . . , n);
Sn+r n , r (r =
1, 2, . . . ).
. 9.5.
, .

............
...........
........... ...............
........... ..............
............
............
..z
.............
..............
... ..........................z
...
...
..
.. ....................z
..
..........................z
... .........z
...................z
....................z
..
..........................z
m
m
S
S
n+1
n+r
S
Sm
S
0...........
n
k
.................................
.y
.......................................
....................................... .y
.......................................
.................................
.y
...............................
................................ .y
y............................. .y
y
y
n

n
n 
n 
n
k (k + 1)
. 9.5. n-
: /n < 1 (, = /). /n 1,
.
, /n < 1 . (9.10) 1/p0 :

2
1
=1+ +
+ +
p0
1!
2!
2

=1+ +
+ +
1!
2!

2
=1+ +
+ +
1!
2!

n
n+1
n+2
n+3
+
+ 2
+ 3
+ ...
n!
n n! n n! n n!


n
n+1
 2
+
1+ +
+ ...
n!
n n!
n
n
n
n+1
+
.
n!
n!(n )

(9.9) :

1

2
n
n+1
p0 = 1 + +
+ +
+
,
1!
2!
n!
n!(n )
p1 =
pn+1

k
n
p 0 , . . . , pk =
p0 , . . . , pn =
p0 ,
1!
k!
n!
n+1
n+r
=
p0 , . . . , pn+r = r
p0 , . . .
n n!
n n!

(9.22a)
(9.22b)
(9.22c)

9.6.

245

.
: k = /.
:
L =

X
r=1

rpn+r

n+1 p0 X rr1
n+r
p0 =
=
=
r r
n n!
n! r=1 nr
r=1

n+1 p0 X d r
n+1 p0 d X  r
=
=
n! r=1 d nr
n! d r=1 n


n+1 p0 d
/n
n+1 p0
=
=
.
n! d 1 /n
n n!(1 /n)2

(9.23)

L
L ,
k = . ,
L = L + .
, :
1
1
Lo , W = L .

9.3. : A,
B. (, ) : A = B = 0.45
( ).
(A = B = 0.5).

( O c ). ,
?
W =

. ;
= 0.45; = 0.5. = / = 0.9 < 1,
. (9.21)
:
L =

0.92
2
=
= 8.1.
1
1 0.9

246

9.

L ,
W =

8.1
L
=
18 ().

0.45

,
. = A + B = 2 0.45 = 0.9. = 0.5. = / = 1.8.
/n = 1.8/2 = 0.9 < 1, .
(9.22a)

1

2
3
p0 = 1 + +
+
1!
2!
2!(2 )


2
1.8
1.83
= 1 + 1.8 +
+
1 0.0525.
2
2(2 1.8)
(9.23):
L =

n+1 p0
1.83 0.0525
=
7.68.
n n!(1 /n)2
2 2(1 1.8/2)2

L ,
W =

7.68
L
=
8.54 ().

0.9

?
, . : , ,
, ,
, ,
, (
).
, , .
( )?
,
. (. . )
, .
.
2

9.6.

247

9.4. ,
. 40 .
.
,
.
. = 40, = 60/3 = 20, = / = 40/20 = 2 (9.22) (9.23) ,
, n 3 4:

1
2
3
4

+
+
p0 (3) = 1 + +
1!
2!
3!
3!(3 )

1
2
3
2 2
2
24
= 1+ +
+
+
1
2
6
6(3 2)
= (1 + 2 + 2 + 4/3 + 8/3)1 = 1/9,
n+1 p0
24 /9
8
+

=
+2=2 ,
n n!(1 /n)2
3 6(1 2/3)2
9


1
2
3
4
5

+
+
+
p0 (4) = 1 + +
1!
2!
3!
4!
4!(4 )

1
2
3
4
2 2
2
2
25
= 1+ +
+
+
+
1
2
6
24 24(4 2)

L (3) =

= (1 + 2 + 2 + 4/3 + 2/3 + 2/3)1 = 3/23,


L (4) =

n+1 p0
25 (3/23)
4
+

=
+2=2 .
2
2
n n!(1 /n)
4 24(1 2/4)
23

4
L (3) L (4) = 2 98 2 23
= 82349
> 0.71 > 0.5,
923
,
, .
,
.
2

248

9.

9.7.
9.1. - .
3 . 15 , .
:
a) ;
) ,
;
) ;
) , .
9.2.
, .
. 20 . )
. ) ,
, , .
9.3.
. 3 .
$16.
: $8
4 , $10
6 . ?
9.4. 4 . .
20/k , k . $8,
$20.
,
(
) ?
9.5. - , , . 10 .

9.7.

249

, . , ,
, .

, ,
, .
:
(i) , ,
1;
(ii) 95 % , , 4;
(ii) 99 % , ,
, 30 .
a) ?
) , -, , ( ) 25
. (i)(iii).
9.6. .
20 .
, n (n = 0, 1, 2, 3, 4) , qn = n/4, 1 qn
, .
3 .

) k = 0, 1, 2, 3, 4 pk k ;
) ;
)
, .


A.1.
X Y
def

X Y = {(x, y) : x X, y Y }
(x, y), x
X, y Y . X X X 2 . n-
X:
def

X n = X n1 X = X X X.
X n
(x1 , x2 , . . . , xn ),
xj X, j = 1, . . . , n.
X = R , Rn
( ) n. n- n 1, . . , ,
:

x1
x2

x = . , xT = (x1 , x2 , . . . , xn ).
..
xn

A.1.

251

ei i- (0, . . . , 1, . . . , 0)T ,
n 1- i. x Rn :
x = x1 e1 + x2 e2 + + xn en =

n
X

xj e j .

j=1

x y Rn :
n
X
xj yj .
xT y = y T x = x1 y1 + x2 y2 + + xn yn =
j=1
def
( ) x Rn kxk = xT x. x, y Rn
x y, . . kx yk.
Rn n- ( ) .
, X
Rn :
( k
X
def
linhull(X) =
i xi : k 0 ;
(A.1)
i=1
i

affhull(X)

def


x X , i R (i = 1, . . . , k) ,
( k
X
i xi : k 1 ;

(A.2)

i=1
i

x X , i R (i = 1, . . . , k) ;

k
X

)
i = 1

i=1

(
convhull(X)

def

k
X

i xi : k 1 ;

(A.3)

i=1
i

x X , i R+

(i = 1, . . . , k) ;

k
X

)
i = 1

i=1

X = linhull(X), X ;
X , X = affhull(X); X =
convhull(X), X ( A.5).

252

A.

L Rn B = {b1 , b2 , . . . , bk } L, , linhull(B) = L.
,
, L.
, A Rn ,
a A L = {x a : x A} . , A
L, a:
def
A = L + a = {a + x : x L}. A L.
, . Rn , .
Rn n
1 . , H(a, b)
{x Rn : aT x = b}, a Rn ,
a 6= 0, b R. H (a, b)
H (a, b),
{x Rn : aT x b} {x Rn : aT x b}.
. ,
.

A.2.
X Rn . x X
X,  > 0, B(x, ) X.
def

B(x, ) = {y Rn : ky xk }  x. X
X intX. X = intX, X .
x intX ,
x.
, x Rn X Rn ,
B(x, ) X 6=  > 0. X X
clX. X , X = clX.
def
bdX = clX \ intX X, bdX
.
X Rn n, intX = .

A.2.

253

A ,
X. rint(X) X
x X, , B(x, )A X  > 0.
X , .

A.2.1. .


x1 , x2 , . . . , xk , . . .
k
Rn {xk }
k=1 {x }. , {xk } x Rn ( x
{xk }, xk x),

lim kxk xk = 0.

X Rn , {xk }
k=1 X i
{xk }
,

X. {k i }
i=1
. ,
Rn X ,
.
.
A.1 (). f X Rn ,
min f (x)

xX

x X (f (x ) f (x) x X).
.
A.1. f Rn , ,
f (x) , kxk .
min f (x)

xRn

x Rn .

(A.4)

254

A.

A.3.
, f Rn , X Rn .
X f dom(f ) f . , f (x) =
x Rn \ dom(f ),
q R :
q < ,
max{q, } = , ,
q + = , + = ,
0 = 0,
t = t > 0 .
def

dom(f ) = {x Rn : f (x) < }.


f : Rn R. x dom(f ) p Rn
lim

0

f (x + p) f (x)
,


p f x
f
p (x). ,
f
p (x)

x, q Rn
2f
def
(x) =
q p
q

f
p


(x).

f
f
i = 1, . . . , n e
(x) x
(x)
i
i
xi . x
f
x
(x) i = 1, . . . , n,
i
, f x. , n f
x.

def

f (x) =

T
f
f
(x), . . . ,
(x)
.
x1
xn

,

. ,
n . , , .

A.3.

255

n2 :



f
(x), i = 1, . . . , n; j = 1, . . . , n.
xi xj
:
2f
(x),
xi xj

i 6= j;

2f
(x),
2 xi

i = j.

f (x)/xi , f (x)/xj 2 f (x)/xi xj 2


f
(x),
, xj x
i
2f
2f
(x) =
(x).
xi xj
xj xi
n2
,
.

2f
2f
(x)
...
(x)
2 x1

x1 xn
def

2
f (x) = . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2f

2f
(x) . . .
(x)
xn x1
2 xn

.
. , , . x Rn , p Rn ,
. h = 0

1
f (x + hp) = f (x) + h(f (x))T p + h2 pT 2 f (x) p + O(h3 ).
2
, f x
p (f (x))T p,
p. , pT 2 f (x) p
p.
f p. pT 2 f (x) p > 0 (< 0), , p () .

256

A.

A.4.

x0 Rn f : Rn
R X, B(x0 , r) x0 ,
f (x0 ) f (x) x B(x0 , r) X. x0
f (x) X, f (x0 ) f (x) x X.
X = Rn ,
f .
f (x) , ,
x Rn
1
f (x + hp) = f (x ) + hpT f (x ) + h2 pT 2 f (x + hp) p,
2
h 0, 0 1, p Rn , :
1. :
(1) x , . . f (x ) = 0;
(2) 2 f (x ) .
2. :
(1) f (x ) = 0;
(2) 2 f (x ) .

A.5.
, X Rn ,
X = convhull(X).
. X Rn ,
x, y X
def

[x, y] = {z() = (1 )x + y : 0 1},


.
:
Rn
def

Rn+ = {x Rn : xi 0, i = 1, . . . , n};

A.5.

257
def

B(x0 , r), x0 Rn , r R++ = { R : > 0};


H(a, b) H (a, b), H (a, b).
, X Y X, Y Rn . ,
, , . , n-

X
def
n = x Rn+ :
xj = 1

j=1

A.5.1.
C Rn , ( x C,
tx C t > 0) ( x, y C
x + y C). C Rn : x C y ,
x y C. x >C y,
x y intC. , x C y (x <C y), y C x
(y >C x). C ,
C , . . C C = {0}.
, a1 , . . . , am Rn ,
def

cone(a1 , . . . , am ) = {x Rn : x =

m
X

yi ai , y Rm
+}

i=1

. C = {x
Rn : Ax 0}, A Mm,n (R) . , C , . , .
C Rn C D

def

C D = {y Rn : y T x 0 x C}.
n D
n
, (Rn+ )D = Rn+ i (SM+
) = SM+
.

258

A.

A.5.2.
X Rn
x X.

L
L
!!
qXx!
+ N (x, X)
X x L!
 XXX


x + T (x, X) 

1
def
S(x, X) = t>0 (X x)
t
, X x, def
T (x, X) = cl(S(x, X)) .
T (x, X)
. A.1.
X x. ,

S(x, X) T (x, X) .
,
X x + S(x, X) x + T (x, X).
def

N (x, X) = T (x, X)D X


x (. . A.1).
x X y clX,

kx yk kx zk z clX.
x Rn pr(x, X)
X.
def
f (y) = ky xk, X.
, X , pr(x, X) =
PX x.
A.2. X Rn x X.

def

pr1 (x, X) = {y Rn : pr(y, X) = x} = x + N (x, X).


, , A.2.
A.3. X, Y
Rn . X Y = ,
H(a, b), ,
aT x b < aT y

x X, y Y.

intXintY = , H(a, b),


,
aT x b aT y x X, y Y.

A.5.

259

A.5.3.

,
:
2x1 + 5x2 + x3 5,
x1 + 2x2
3,
x2
0,
x3 0.
, 2,
, 1, 0 1.
, . ,
,
0 1. , .
A.1. C Ax b
, y 0, y T A = 0
y T b < 0.
. .
.
def

Z = {z Rm : z = b Ax x Rn }.
Ax b , Z Rm
+ = .
A.3 y Rm , ,
yT z 0
T

y (b Ax) < 0

z Rm
+,
n

x R .

(A.5)
(A.6)

T
(A.5) , y Rm
+ . x = tA y (A.6), T
T
T
T
y b < y Ax = ty AA y,
t R. , y T A = 0. y T b < 0.
2

260

A.

f (x) 6
2

f (x )
1

(1 )f (x ) + f (x )
f (x1 )
f ((1 )x1 + x2 )

.
...
...
..
..
...
.
.
...
...
...
..
...
....
...
...
...
.
.
.
...
..
....
....
....
....
....
....
....
....
.
....
.
..
....
....
....
....
....
.....
......
......
.
......
.
.
.
.
.......
..
........
.......
..........
........
...................................................



r 

r



r

r

x1

(1 )x1 + x2

x2 1

. A.2. X = [0, 1]

A.6.
f : X R, X, , x, y X [0, 1]

f ((1 )x + y) (1 )f (x) + f (y).


(A.7)
. A.2 . , (A.7) , ,
, , .
f , f .

. ,
.
f : X R, X, R,
{x X : f (x) }
, . ,
def

arg min f (x) = {x X : f (x) min{f (x) : x X}}


xX

f .
,

A.6.

261

A.4. .
. , x1 , x2 X
f X Rn , f (x1 ) >
f (x2 ). f (x1 ) f (x) x B(x1 , ) X
 > 0. x2 6 B(x1 , ), = /kx2 x1 k < 1
f
f ((1 )x1 + x2 ) (1 )f (x1 ) + f (x2 ) < f (x1 ).
, (1 )x1 + x2 B(x1 , ) ,
, x1 X .
2
(A.7) ,
f . , f X
.
,
.
A.5. ) f : Rn
R ,
f (y) f (x) (f (x))T (y x)

x, y Rn .

(A.8)

) f : Rn R ( ) ,
x Rn () 2 f (x) () 12 .
, A.5 ,
f (x) = cT x + xT Qx ( ) Rn
, Q () .

A.6.1.

.
12 A n , y T Ay 0
y Rn . , A , y T Ay >
0 y Rn \ {0}.

262

A.

1. , (A.7). f (x) = max{x1 , . . . , xn } Rn ,


x, y Rn [0, 1]
f ((1 )x + y) = max ((1 )xi + yi )
1in

(1 ) max xi + max yi
1in

1in

= (1 )f (x) + f (y).
2. , . f (x, y) = x2 /y RR++ ,
 2
 


2 y 
2
y
xy
2
y x
= 3
f (x, y) = 3
2
xy
x
x
y
y
13 .
Qn
1/n
, f (x) = ( i=1 xi ) ,
, R++ . 2 f (x) :
Qn
1/n
( i=1 xi )
2f
(x)
=
(n

1)
, k = 1, . . . , n,
2 xk
n2 x2k
Qn
1/n
( i=1 xi )
2f
(x) =
, k, l = 1, . . . , n, k 6= l.
xk xl
n2 xk xl
y Rn

!2
Qn
n
n
1/n
X
X
x
)
(
i
n
y T 2 f (x)y = i=1 2
(yi /xi )2
yi /xi 0,
n
i=1
i=1
2 f (x) .
- |uT v| kuk kvk ui = 1 vi = yi /xi , i =
1, . . . , n.
3. , . f :
13 A nn ,
m n B, A = B T B.

A.6.

263

X R X Rn ,
def
x X p Rn g(t) = f (x + tp)
{t R : x + tp X}.
def

, f (X) = log det X


Sn++
n. n2 .
X Sn++ , P Sn ( Sn
def

n) t T (X, P ) = {t R : X + tP Sn++ } :
def

g(t) = log det(X + tP )






= log det X 1/2 I + tX 1/2 P X 1/2 X 1/2
=

n
X

log(1 + ti ) + log det X,

i=1

1 , . . . , n X 1/2 P X 1/2 .
g 0 (t) =

n
X
i=1

i
,
1 + ti

g 00 (t) =

n
X
i=1

2i
0,
(1 + ti )2

g T (X, P ) . , f (X)
Sn++ .

A.6.2. ,

()
, ,
()
,
.
1. . f
0, , , f . , f, g : X R ,
X, h(x) = f (x) + g(x) X. , ,

264

A.

Pm
f = i=1 wi fi f1 , . . . , fm w1 , . . . , wn .
.
, f (x, y) x X
y Y w(y) 0 y Y , g,
Z
g(x) =
w(y)f (x, y)dy
Y

X, , .
2. . f : Rn R, A m n b Rn . g : Rm R g(x) =
f (Ax + b). , f (), g
() .
3. . f g
X, h(x) =
max{f (x), g(x)}. , x, y X [0, 1]
h((1 )x + y) = max{f ((1 )x + y), g((1 )x + y)}
max{(1 )f (x) + f (y), (1 )g(x) + g(y)}
(1 ) max{f (x), g(x)} + max{f (y), g(y)}
= (1 )h(x) + h(y),
h.
f1 , . . . , fm X ,

f (x) = max{f1 (x), . . . , fm (x)}


X .
, - f (x) = max1im (ci )T x,
i
c Rn i = 1, . . . , m, Rn . ,
.
4. . f : Rn R g : R R
h = g f : Rn R, : h(x) = g(f (x)).
:
h , f , g ;
h , f , g ;
h , f , g ;
h , f , g .

A.6.

265

n = 1 f g ,
h00 (x) = g 00 (f (x))f 0 (x)2 + g 0 (f (x))f 00 (x).

A.6.3.
f f (x0 )
x0 (A.8).

, .
f : Rn R x0 Rn
Rn ,
f (x) f (x0 ) T (x x0 ).

(A.9)

Rn+1 ,
y T (x x0 ) = f (x0 ),
def

G(f ) = {(x, y) X R : y f (x)}


f (x0 , f (x0 )), . . (x0 , f (x0 ))
.
.
A.6. f : X R,
X Rn ,
x0 rint(X).
f x0 f (x0 )
f x0 .
f x0 , f (x0 ) = {f (x0 )}.
A.7. f : X R , X Rn . x0 X
f , 0 f (x0 ).
. , 0 f (x0 ) ,

f (x) f (x0 ) + 0T (x x0 ) x X;
,
x0 f X.
2

266

A.

...
...
...
..
.
...
...
...
..
.
..............................
...
.......
..
.......
...
.......
....
.......
.
.
.
.
.......
.......
....
...
.....
...
.........
......
..........
.....................................

1
f (
x)

...
...
...
..
.
...
...
...
..
.
..............................
...
.......
..
.......
...
.......
....
.......
.
.
.
.
.......
.......
....
...
.....
...
.........
......
..........
.....................................

6
f (y) = max{f (x), f (y)}

f (x)

. A.3. R

A.7.
f : X R, X, R,
def

Sf = {x X : f (x) }
, . ,
def

arg min f (x) = {x X : f (x) min{f (x) : x X}}


xX

f . ,
.
f X
Rn , R Sf .
f , f .
R . A.3, a.
, Sf 6= , Sf . , Sf 1 =
[a, b], Sf 2 = (, c].
f : R R
, :
f ( ) ;
x
, f (, x
] [
x, ).

A.7.

267

f : X R+ g : X R++ , X Rn ,
f (x) = g(x)/h(x) . , R
Sf = {x X : g(x)/h(x) } = {x X : g(x) h(x) 0}
. ,
,

A.7.1.
A.8. f : X R, X, , , x, y
X 00
f ((1 )x + y) max{f (x), f (y)}.

(A.10)

(A.10) ,

(. . A.3, ).
.
A.9. f : X R,
X, ,
, x, y X
f (y) f (x) (f (x))T (y x) 0.

(A.11)

f (x) 6= 0, (A.11) , f (x)


x {y : f (y) f (x)}. , (A.11)
. : f
f (x) = 0, x f ;
f f (x) = 0 , x
.
A.10. f :
X R, X, ,
, x X y Rn
y T f (x) = 0 y T 2 f (x)y 0.

(A.12)

268

A.

, f (x) = x1 x2 (
) R2++ (
def

) R2 , R = {x
R : x < 0}. , x R2++
 


x2
0 1
f (x) =
, 2 f (x) =
,
x1
1 0
y R2 , , y T f (x) = y1 x2 + y2 x1 = 0,
y1 = (x1 /x2 )y2

 
0 1 y1
y T 2 f (x)y = (y1 , y2 )
= 2y1 y2 = (x1 /x2 )y22 < 0.
1 0 y2
f (x) = x1 x2 R2++ .

A.7.2. ,

1. .
w1 , . . . , wm 0
f1 , . . . , fm f c
f (x) = max{f1 (x), . . . , fm (x)}
.
. Y ,
X Rn , w(y) 0 y Y , g(x, y)
X x y Y .
f (x) = sup (w(y)g(x, y))
yY

X. : R Sf , f
Sy y Y , fy (x) = w(y)g(x, y).
2. . f : Rn , g : R
R , g f .

A.7.

269

f ((Ax + b)/(cT x + d)) f , X Rn , -


(Ax + b)/(cT x + d)
{x Rn : | : cT x + d > 0, (Ax + b)/(cT x + d) X}.
3. . g X
Y , X Rn Y Rm ,
f (x) = inf g(x, y)
yY


, . ,
.
.

B.1.
(, A, P),
,
;
A , , . . A :
def
() A A, A = \ A A;
() A1 , A2 , . . . A,
i=1 Ai A;
P : A [0, 1] , :
(i) A1 , A2 , . . . (Ai Aj = , i 6= j)

B.1.

271

P (
i=1 Ai ) =

P(Ai );

i=1

(ii) P() = 1.
A, B ) ( A B = A B
, ()
e
() A1 , A2 , . . .
A,
i=1 Ai A.
-
, ,
.
A , P(A)
, A A, , A. P
.
A .
, . - A 2
. (,
R [0, 1]) - P.
() . P ()
(, A, P), A 2
P. A , P (A A), .
, -
, . . A = 2 . p P({})
P
. (i) , P(A) =
p

A
A .

(, {p } ), p P
p = 1.
A B A B A B. A B ,

272

B.

P(A B) = P(A) P(B).


A , B P(A|B)
A B. :
P(A B) = P(B) P(A|B).
A B , P(A|B) = P(A).

B.2.
(, A, P). :
R ,
{ : () x} A x R.

(B.1)

,
def

def

F (x) = P( x) = P({ : () x})

(B.2)

, , x.
(B.2) F : R [0, 1]
.
- A ,
a < b
{ : a < () b} = { : () b} \ { : () a}
A,
, (a, b]:
def

P(a < b) = P({ : a < () b}) = F (b) F (a).


, : R ( D R, () < D )
Z

X
def
def
E() =
()P(d) = lim
k P({k < (k + 1)}). (B.3)

0+

k=

(B.3) ,14
14

(18751941) .

B.2.

273

. , , ,
, .
,
, (B.1)
: R. , : R () :
X
E() =
() p ,

, , . .
X

|()| p < .

, , 15 . ,
, .
F (x)
16 , ,
f (x) = F 0 (x)
Z

F (x) =

f (u) du,

(B.4)

Z b

P(a b) =
f (u) du,
a
Z
f (u) du = 1,

Z
E() =
uf (u) du.

(B.5)
(B.6)
(B.7)

15 ,
. , , .
16 , F (x) (, ).

274

B.

, E() , E() , . .
Z
|u|f (u) du < .

: R R (()) ,
Z
E(()) =
(u)f (u) du
(B.8)

, .
k E( k ), , k- , k Z++ . , def
. 2 () =
2
E(( E()) ) E(),
. () 2 () .
F : Rn R
1 , . . . , n : R :
def

F (x) = F (x1 , . . . , xn ) = P({ : 1 () x1 , . . . , n () xn })


1 , . . . , n ,
F (x) = F1 (x1 ) Fn (xn ) x Rn ,
Fj xj , j = 1, . . . , n.
1 , . . . , n ,
E(1 2 n ) = E(1 ) E(2 ) E(n ).
1 2 ,

def

(1 , 2 ) =

cov(1 , 2 )
,
(1 ) (2 )


def

cov(1 , 2 ) = E((1 E(1 ))(2 E(2 ))) = E(1 2 ) E(1 )E(2 )

B.3.

275

1 2 . , , (1 ) 6= 0 (2 ) 6=
0. , 1 (1 , 2 ) 1. ,
. (1 , 2 ) , , 1 2
. ,

.

B.3.


,
, ,
def
P( = k) = (k) = ek! k k Z+ .
, (, , , ) , .


[a, b] c ,
[x, y], a x y b, (y x)/(b a).
:

0,
x < a,

x a
, x [a, b],
F (x) =

ba

1,
x > b,

(
f (x) =

1
ba ,

0,

x [a, b],
x 6 [a, b].

276

B.

[a, b] c :
Z

a+b
,
2
a
2
Z b
1
(b a)2
b+a
2 () =
dx =
.
x
ba a
2
24
E() =

1
ba

xdx =

f (x) =

2
2
1
e(x) /(2 ) ,
2

x R.

N (, ), ,
. , E() = 2 () = 2 .
N (, ), ( )/ N (0, 1).
. B.1. ,
1.
. B.1 ,
, .

........
... .....
.
.... 0.99 ..........
.
.
.
.
.
.
.
.............
.
............

2.57

........
... .....
.
.... 0.95 ..........
.
.
.
.
.
.
.
.............
.
............

2.57 1.96

1.96

........
... .....
.
.... 0.9 ..........
.
.
.
.
.
.
.
.............
.
............
1.645

1.645

. B.1. N (0, 1)

B.3.

277

.....................
......
......
.
.
.....
..
.....
.. .
.....
.....
...
......
......
...
.......
........
...
...........
..

. B.2. -

-
-
f, (y) =

( + ) (y a)1 (b y)1
,
()()
(b a)+1

def

(q) =

a < y < b, , > 0,

ex xq1 dx

-. , :
(q) = (q 1) (q 1).

, (1/2) = , (1) = 1. (n) = (n 1)!


n.
f, . B.2. m
f, . (. 7.2) t , f, ,
a, b m , .
0 < a < m < b ,
(t) t (ba)/6.
E(t) t
. E(t)
= (a + 4m + b)/6, .

G = (V, E), V ,
, E ,
(v, w) V .
: (v, w) (w, v)
. e = (v, w) E, , v w , e v w.
v, deg(v), G
. ,

P
: vV deg(v) = 2 |E|17 .
. , G = (V, E) V = {1, 2, 3, 4}
E = {(1, 2), (1, 3), (1, 4), (2, 3), (3, 4)}
. C.1, a. 1 3 3, 2 4
2.
() G = (V, E),
V , E . e = (v, w) E
. , e = (v, w) v w. v, outdeg(v),
, v. v, indeg(v), , v.
. C.1, G = (V, E) V =
{1, 2, 3, 4} E = {(1, 2), (1, 3), (1, 4), (2, 3), (3, 2), (4, 1)}.
, . . ()
( ) (). 17 .
, . . ,
.

C.1.

279

. C.1, .

2m

3m

.............................................
.......................
z. m
.y
2m
.. 3
..........................
........................................

6

.......................
......................
m
.
.......................
2m
.........................................................3

1m

4m

.............................................
.......................
z. m
.y
1m
.. 4
..........................
........................................

1m

........................

..... ..
...... ...
....... ......
......
..
.....
.
.
.
....
.
.
.
.
....
....
...
....
.
.
.
.
.
..
....
....
.....
....
.....
....
......
.... ............
.
.
..
...................
..

4m

. C.1.

P = (s = v0 , v1 , . . . , vk = t)
s t k () G = (V, E),
(vi1 , vi ) E i = 1, . . . , k. ,
. ( s = t)
. .

C.1.
G = (V, E) ,
V () V1 V2 (V1 V2 = ,
V1 V2 = V ) , E V1
V2 , . ., (v, w) E, v V1 , w V2 .
. C.2, . ,
,
.
() G , ()
(). V = {1, . . . , n}
Kn . G = (V1 V2 , E) , V1 V2 . c V1 = {1, . . . , m}
V2 = {1, . . . , n} Km,n .

280

C.
vm
4

wm
4

@ 

@
wm
vm
3
3
H @

@ HH

 @
H
@ m
H
@
w2
vm
2
@
HH
H@
H
@ m
H
w1
vm
1

4m 5m
A 
A 
3m

8m

4m 5m
A 
A 
3m

8m

2m

7m

2m

7m

1m

6m

1m

6m

( 3- )

. C.2.

C.1.1.
. ,
. .
. C.2, . ( ).
, . . C.2, .
C.1. G = (V, E) :
1) G ;
2) G |V | 1 ;
3) G ,
G .
G = (V, E) ( ), |E| = |V | 1
. , , . , ,
.
( ) (., )
(., ) G = (V, E) T = (V, E 0 ),
(., ).
G = (V, E), (v, w) E c(v, w),

C.1.

281

T = (V, E),
P
c(v, w) .
(v,w)E
:
: G = (V, E), c : E R.
= {(parent(v), v) : v
: parent : V V , E
V, parent(v) 6= v}
.
: s S,
S = {s}, parent(s) = s;
parent(v) = nil d(v) = v V \ {s};
parent(v) = s, d(v) = c(s, v) (s, v) E(s, V ).
S 6= V ,
v arg minvV \S d(w),
S := S {v},
(v, w) E(v, V \ S), d(w) > d(v) + c(v, w),
parent(w) = v d(w) = d(v) + c(v, w).

G = (V, E) , , .
(v, w) E c(v, w)
. ,

.
(G, c).

. , , .
G = (V, E)
S V V \ S, ,
. (v, w) E c(v, w) .

282

C.

,
. G T = (V , E)
, ,
. . S V . .

C.2.
, , . , {x, y, z} {z, y, x} ,
(x, y, z) (z, y, x) .
:
pop(S) S ;
push(S, x) S x.
pop push

, push , pop ;
, push , pop .
G = (V, E) s V . , G s.
:
: Q = (s),
parent(s) = s, parent(v) = nil v V \ {s}.
Q 6= ,
v = pop(Q);
(v, w) E(v, V ), parent(w) = nil,
parent(w) = v push(Q, v).

, Q ;
, Q ;

C.3.

283

C.3.

, , . .
.

C.3.1.
, ,
. C.3, a. , ,
, A, B, C D,

.


B 
 
 

  
D

!
 
!!
A
  CC PP
aCa
Ca

C

m
B
.. ...

.... ....
. .

... ...

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... ...

.. ..

m
m
A
D
HH
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.... ....
. .
.. ..
H
HH ....... .......
H m
C

. C.3.

( ) , . 1736 .
, , . C.3, .
( ),
. , (), ,
().
C.2 (). G
, .

284

C.

A . C.3,
( ), , , , .

C.3.2.
G = (V, E). , n = |V |
, . G , . , , .
1859 . . , ,
.
, . C.4.
3h
 Q






Q
Q

Q
h
12
Q
Q
 Q
Q
Q

Q

Q

Q 13h
h
11

Q
Q
 T

Q
Q



Q
Q
T



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Q
h
h
10
14
2h
Th

h
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20
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D

B
B


D

B
B


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h

B
18
16
Bh

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`
` 15h
9

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Z

Z

B


B
h
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B


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Bh


B
8
7h
6h

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Qh





. C.4.

C.3.

285

500 ,
. - , , .
,
,
. , ,
, .
(v, w) E () c(v, w),
= (v0 , v1 , . . . , vn = v0 ) def Pn
c() = i=1 c(vi1 , vi ).

. - . ,
c(v, w) . ,
, ,
n 1
, .

C.3.3.
G = (V, E),
H = (V , E)

V V E E. ( )
G . ,
. , , ,
.
,

C.3.4.

, . .

286

C.

,
, ,
, , , ,
. ,
,
.
,
. , .
1976 .18 :
, ,
.

C.3.5.
, , ,
. ,
, . , ,
. ,
, K5
K3,3 , . C.5.
, , . G , G0 ,
. G
G0 .
C.3 (). G
, , K5 K3,3 .

18 K.I. Appel, W. Haken. Every planar map is four-colorable. Bull. Am. Math. Soc. 82
(1976) 711712.

C.3.

3m
1

3m
 Q

Q
 L Q
L


Q m
2m
4
L
"
b
"
b
L

B

"
b
B b" L 
"
b
B "

bL m
1m
5
K5

3m
2
b
"
"
\b
b" 
\ "
b
b
"\
b m
"
\
2m
22
1

"
b
b \ "
b "\
 "b \
"
b\

"
b 1m
1m
1
2

K3,3

. C.5.

287


D.1.
, . .
,
.
= pq (p q b e
), b Qn , m n- A = [aij ]
def

size() = 1 + dlog(|p| + 1)e + dlog(|q| + 1)e,


n
X
def
size(b) = n +
size(bi ),
def

i=1
m X
n
X

size(A) = mn +

(D.1)

size(aij ),

i=1 j=1


: ,
.
, , ,
, ,
( ).
, ,
, (, ,
, ). ,
. -

D.2.

289

.
( ,
). . , ( )
. , , , () .
, const l log l log(log l), l
, . , l , ,

l. ,
, ,
,
.
. ,

. ,
, .
), . ,
() .

D.2.
, , 30- 20-
( )

290

D.

( )19 .
.
. .
, ,
. , , . ,
, L
, L.
n, n, .
n, size(n) = O(log n). ,
n 2, . . . , b n2 c, O(n) = O(2log n ) .

.
,
,
.

19 :
,
.


1. . ( 3- ). .:
, 1972-1973.
2. . . : , , . M.: , 1988.
3. . . .: , 2002.
4. . . 1. . . 2. . . . ,
. . .: , 1981.
5. . . . .: ,
1975.
6. . . : . . : " 2003.
7. . . .: , 1990.
8. . . - . .: - , 2010.
9. . . . .: ,
1985.
10. . . 2- . M.: ,
1985.
11. ., . -. . .: ,
1984.
12. .., . . . . .: ,
2007.
13. Birge J. R., F. V. Louveaux. Introduction to stochastic programming.
Springer Verlag, New York, 1997.

, 231
, 231
, 193

, 281
, 290
, 290

, 289
, 72
, 169

-, 98
,
252
-,
101
, 118

, 37, 60
, 279
, 283
, 284
, 279
, 280
, 282
, 163
, 280

, .
, 125
, 280
, 220
,
213
,
160
, 186
,
274

, 144

, 279
, 251

, 278

, 32
, 32

, 134
, 115
, 234

, 237
, 272

, 145

, 26
, 31
, 162
, 254
-, 269
, 266
, 266
, 186
, 44
, 189
, 44
, 44
, 187
, 189
, 21
, 272
, 274
, 163

, 162
, 261
, 116, 260
, 260
, 252

, 286
, 254
, 278
, 279
, 279
, 283
, 284
, 278
, 286
, 279
, 280

293
, 196

, 252
, 126

, 115
, 115, 137
, 126
, 232

, 80
, 285
, 154
, 274
, 264, 268

, 257
, 18, 258
, 257
, 258
, 257
, 257
, 257
, 20

, 280
, 275
, 217
, 255
-
, 116
, 259
, 280

, 280
, 272
, 273
, 274

294
, .

, 61
, 255
, 255

, 141
, 139
, 102

CVaR, 215
VaR, 214
var, 214

, 44
, 203
, 164
, 79
, 125
, 131
DEA, 73

, 256, 261
, 256, 261

, 61, 80
,
61
, 271
, 253
, 253
, 252
, 251, 256
, 252

, 32
, 32

, 26

, 47
, 274
, 48
, 278

, 18

, 134
, 134
, 251

, 254
, 174, 176, 177
, 282
, 252
, 63, 65

, 2
, 2

, 17
, .
, 278

, 256
, 207
, .

, 211
, 80
, 114
, 118
, 115
, 58
, 211


, 58
,
273
, 285

, 251
, 251

, 282
, 282
, 282

, 41
, 252, 257

, 13
, 14
, 14
, 14

, 253
, 79

, 232
, 49

, 98

, 253
, 161
, 286

, 232

, 258

, 12

, 250
, 251

295

, 254
, 254
, 255
, 255

, 270
, 251

, 271
, 270
, 270
, 77
, 132
, 279
, 161
, 199, 203
, 279
, 196
, 207

, 275
, 277
, 276
, 276
, 275

see , 271
, 251

, 288
, 288
, 252

, 252
, 252
, 288
, 288
, 34, 132

296
, 278

, 47
, 112
, 126

, 61, 80
, 61
,
61
, 32
, 253
, 9
, 126

, 201
, 201
, 201
, 201
, 200

, 211

0, 1, 173
, 173
, 3

, 27
-, 270
, 257

, 231

, 93
, 288
, 289
, 288
, 272
, 273
, 196

, 198
, 282


, 199
, 123
, 274
, 282

, 278
, 278
, 278
, 250
, 211

, 60
, 265
, 11
, 252

, 258
, 250
, 252
, 252
, 14
, 22, 256
, 252
, 226

,
22, 59, 80
, 19
, 65
, 64


, 250
, 251
, 270
,
77

, 278
, 125

, 253
, 252
,
201

, 199

,
106

, 148

,
253
, 114
, 113
- , 55, 73

, 32

, 140

,
106
, 285
, 97, 123

297
, 14
, 54
, 58
, 58
, 124, 126,
178
, 54
, 54
, .
, 113
, 9
0, 1-
, 192
, 67

, 98
, 285
, 285
, 280
, 91

, 136
, 285

, 154
, 154
, 145
, 143, 180

, 153
, 137
, 173
, 192

298



, 150
,
290
, 32
, 113
,
187
, 212

, 78
, 29, 51
, 49

, 252
c
, 289
CMO, 231

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