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Development of optimization techniques for the Japanese Public pension fund

Research Project

Project/Area Number 23710164
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Social systems engineering/Safety system
Research InstitutionTokyo Institute of Technology

Principal Investigator

KITAHARA Tomonari  東京工業大学, 大学院・社会理工学研究科, 助教 (10551260)

Project Period (FY) 2011 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2012: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
KeywordsOR / 公的年金運用 / 平均分散モデル / 線型計画問題 / 内点法 / 単体法 / 理論的反復回数 / LP‐ニュートン法 / 線形計画問題
Research Abstract

Since population aging has been rapidly advancing in Japan, stability of the public pension system is important. In this research, I aimed at developing optimization techniques needed in the management of the public pension fund in Japan. As a result of this research, I show quantitative properties of the Mean-Variance Model, which is currently used in the management of the Japanese public pension fund. I also analyzed some algorithms for solving mathematical programming problems which appear in the management of the pension fund, and I proved several theoretical properties of the algorithms.

Report

(3 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Research-status Report
  • Research Products

    (35 results)

All 2013 2012 2011 2010 Other

All Journal Article (13 results) (of which Peer Reviewed: 12 results) Presentation (22 results)

  • [Journal Article] An Upper Bound for the Number of Different Solutions Generated by the Primal Simplex Method with Any Selection Rule of Entering Variables2013

    • Author(s)
      Tomonari Kitahara, Shinji Mizuno
    • Journal Title

      Asia-Pacific Journal of Operational Reserch

      Volume: - Issue: 03 Pages: 1340012-1340012

    • DOI

      10.1142/s0217595913400125

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] The LP-Newton method for standard form linear programming problems2013

    • Author(s)
      Tomonari Kitaharaa, Shinji Mizuno and Jianming Shi
    • Journal Title

      Operations Research Letters

      Volume: 14 Issue: 5 Pages: 426-429

    • DOI

      10.1016/j.orl.2013.05.004

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] A bound for the number of different basic solutionsgenerated by the simplex method2013

    • Author(s)
      T. Kitahara and S. Mizuno
    • Journal Title

      Mathematical Programming

      Volume: Vol.137 Issue: 1-2 Pages: 579-586

    • DOI

      10.1007/s10107-011-0482-y

    • Related Report
      2012 Annual Research Report 2012 Final Research Report 2011 Research-status Report
    • Peer Reviewed
  • [Journal Article] On the number of solutions generated by the simplex method for LP2013

    • Author(s)
      Tomonari Kitahara, Shinji Mizuno
    • Journal Title

      Advances in Optimization and Control with Applications(Springer Book for the OCA5 Conference)

      Volume: -

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Diameter of a Polytope and the Simplex Method2013

    • Author(s)
      北原知就,水野眞治
    • Journal Title

      統計数理研究所共同研究リポート

      Volume: 306 Pages: 56-58

    • Related Report
      2012 Annual Research Report
  • [Journal Article] 単体法の計算量の新評価2012

    • Author(s)
      北原知就, 水野眞治
    • Journal Title

      日本オペレーションズ・リサーチ学会和文論文誌

      Volume: 55 Pages: 66-83

    • NAID

      110009578372

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] On the Number of Solutions Generated by the Dual Simplex Method2012

    • Author(s)
      Tomonari Kitahara, Shinji Mizuno
    • Journal Title

      Operations Research Letters

      Volume: 40 Issue: 3 Pages: 172-174

    • DOI

      10.1016/j.orl.2012.01.004

    • Related Report
      2012 Annual Research Report 2012 Final Research Report 2011 Research-status Report
    • Peer Reviewed
  • [Journal Article] On the Number of Solutions Generated by Dantzig's Simplex Method for LP with Bounded Variables2012

    • Author(s)
      北原知就, 松井知己, 水野眞治
    • Journal Title

      Pacific Journal of Optimization

      Volume: 8(2) Pages: 447-455

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] On the Number of Solutions Generated by Dantzig's Simplex Method for LP with Bounded Variables2012

    • Author(s)
      Tomonari Kitahara, Tomomi Matsui and Shinji Mizuno
    • Journal Title

      Pacific Journal of Optimization

      Volume: 8(2) Pages: 447-455

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On the Number of Solutions Generated by Dantzig's Simplex Method for LP with Bounded Variables2012

    • Author(s)
      Tomonari Kitahara, Tomomi Matsui, and Shinji Mizuno
    • Journal Title

      Pacific Journal of Optimization

      Volume: -

    • Related Report
      2011 Research-status Report
    • Peer Reviewed
  • [Journal Article] Lower Bounds forthe Maximum Number of Solutions Generated by the Simplex Method2011

    • Author(s)
      北原知就, 水野眞治
    • Journal Title

      Journal ofthe Operations Research Society of Japan

      Volume: Vol.54,No.4 Pages: 191-200

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Lower Bounds for the Maximum Number of Solutions Generated by the Simplex Method2011

    • Author(s)
      Tomonari Kitahara and Shinji Mizuno
    • Journal Title

      Journal of the Operations Research Society of Japan

      Volume: Vol. 54, No. 4 Pages: 191-200

    • Related Report
      2011 Research-status Report
    • Peer Reviewed
  • [Journal Article] On the number of solutions generated by the simplex method for LP

    • Author(s)
      北原知就, 水野眞治
    • Journal Title

      Advances in Optimization and Control with Applications (Springer Book for the OCA Conference)

      Volume: (掲載決定)

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Presentation] 平均分散モデルについて2013

    • Author(s)
      北原知就, 土谷隆(報告者)
    • Organizer
      研究集会「最適化:モデリングとアルゴリズム」
    • Place of Presentation
      統計数理研究所(東京)
    • Year and Date
      2013-03-11
    • Related Report
      2012 Final Research Report
  • [Presentation] The Simplex Methodand the Diameter of a 0-1 Polytope2012

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      INFORMS Annual Meeting 2012
    • Place of Presentation
      Phoenix Convention Center (USA)
    • Year and Date
      2012-10-15
    • Related Report
      2012 Final Research Report
  • [Presentation] A proof by thesimplex method for the diameter of a (0,1)-polytope2012

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      The 21st International Symposium on Mathematical Programming(ISMP 2012)
    • Place of Presentation
      Berlin Instituteof Technology (Germany)
    • Year and Date
      2012-08-23
    • Related Report
      2012 Final Research Report
  • [Presentation] 多面体の直径と単体法2012

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      研究集会「最適化:モデリングとアルゴリズム」
    • Place of Presentation
      政策研究大学院大学(東京)
    • Related Report
      2012 Final Research Report
  • [Presentation] On the Number of Solutions Generated by the Simplex Method for LP2012

    • Author(s)
      T. Kitahara and S. Mizuno
    • Organizer
      First ETH-JAPAN Symposium for Academic Exchanges
    • Place of Presentation
      チューリッヒ工科大学(スイス)
    • Related Report
      2011 Research-status Report
  • [Presentation] 多面体の直径と単体法2012

    • Author(s)
      北原知就,水野眞治
    • Organizer
      研究集会「最適化:モデリングとアルゴリズム」
    • Place of Presentation
      政策研究大学院大学(東京)
    • Related Report
      2011 Research-status Report
  • [Presentation] 単体法によって生成される基底解の数の上界とその初等的証明2011

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      OR若手横断の会(KSMAP)第8回研究集会
    • Place of Presentation
      京都大学(京都)
    • Year and Date
      2011-06-04
    • Related Report
      2012 Final Research Report
  • [Presentation] 単体法の計算量の新評価2011

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      第23回RAMPシンポジウム
    • Place of Presentation
      関西大学(大阪)
    • Related Report
      2012 Final Research Report
  • [Presentation] 双対単体法によって生成される基底解の数の上界について2011

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      京都大学数理解析研究所(RIMS)研究集会「最適化手法の深化と広がり」
    • Place of Presentation
      京都大学(京都)
    • Related Report
      2012 Final Research Report
  • [Presentation] A Bound for theNumber of Different Basic Solutions Generated by the Simplex Method2011

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      SIAM conference on Optimization
    • Place of Presentation
      Darmstadtium Conference Center (ドイツ)
    • Related Report
      2012 Final Research Report
  • [Presentation] A Bound for the Number of Different Basic Solutions Generated by the Simplex2011

    • Author(s)
      T. Kitahara and S. Mizuno
    • Organizer
      SIAM conference on Optimiation
    • Place of Presentation
      Darmstadtium Conference Center(ドイツ)
    • Related Report
      2011 Research-status Report
  • [Presentation] On the Number of Solutions Generated by the Dual Simplex Method2011

    • Author(s)
      T. Kitahara and S. Mizuno
    • Organizer
      NACA2011
    • Place of Presentation
      Pukyong National University(韓国)
    • Related Report
      2011 Research-status Report
  • [Presentation] Klee-Minty's LP and Upper Bounds for Dantzig's Simplex Method2011

    • Author(s)
      T. Kitahara and S. Mizuno
    • Organizer
      International Conference on OR
    • Place of Presentation
      University of Zurich(スイス)
    • Related Report
      2011 Research-status Report
  • [Presentation] Klee-Minty's LP and Upper Bounds for Dantzig's Simplex Method2011

    • Author(s)
      T. Kitahara and S. Mizuno
    • Organizer
      The 5th Sino-Japan Optimization Meeting (SJOM 2011)
    • Place of Presentation
      中国科学院 数学・システム科学研究院(中国)
    • Related Report
      2011 Research-status Report
  • [Presentation] 単体法の計算量の新評価2011

    • Author(s)
      北原知就,水野眞治
    • Organizer
      第23回RAMPシンポジウム
    • Place of Presentation
      関西大学(大阪)
    • Related Report
      2011 Research-status Report
  • [Presentation] 単体法によって生成される基底解の数の上界とその初等的証明2011

    • Author(s)
      北原知就,水野眞治
    • Organizer
      OR若手横断の会(KSMAP) 第8回研究会
    • Place of Presentation
      京都大学(京都)
    • Related Report
      2011 Research-status Report
  • [Presentation] 双対単体法によって生成される基底解の数の上界について2011

    • Author(s)
      北原知就,水野眞治
    • Organizer
      京都大学数理解析研究所(RIMS)研究集会 「最適化手法の深化と広がり」
    • Place of Presentation
      京都大学(京都)
    • Related Report
      2011 Research-status Report
  • [Presentation] 等式標準形に対するLP-ニュートン法2010

    • Author(s)
      北原知就, 水野眞治, 施建明
    • Organizer
      研究集会「最適化:モデリングとアルゴリ ズム」
    • Place of Presentation
      統計数理研究所(東京)
    • Year and Date
      2010-03-11
    • Related Report
      2012 Final Research Report
  • [Presentation] A proof by the simplex method for the diameter of a (0,1)-polytope

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      The 21st International Symposium on Mathematical Programming (ISMP 2012)
    • Place of Presentation
      Berlin Institute of Technology(Germany)
    • Related Report
      2012 Annual Research Report
  • [Presentation] The Simplex Method and the Diameter of a 0-1 Polytope

    • Author(s)
      北原知就, 水野眞治
    • Organizer
      INFORMS Annual Meeting 2012
    • Place of Presentation
      Phoenix Convention Center(USA)
    • Related Report
      2012 Annual Research Report
  • [Presentation] 等式標準形に対するLP-ニュートン法

    • Author(s)
      北原知就,水野眞治,施建明
    • Organizer
      研究集会「最適化:モデリングとアルゴリズム」
    • Place of Presentation
      統計数理研究所(東京都)
    • Related Report
      2012 Annual Research Report
  • [Presentation] 平均分散モデルについて

    • Author(s)
      北原知就,土谷隆
    • Organizer
      研究集会「最適化:モデリングとアルゴリズム」
    • Place of Presentation
      統計数理研究所(東京都)
    • Related Report
      2012 Annual Research Report

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Published: 2011-08-05   Modified: 2019-07-29  

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