Systems and methods for controlling a dynamic system as linearly constrained separable optimization

US12211055B1 · kind B1 · utility

Assignee

• BlackRock Finance, Inc. · US

Inventors

• Nicholas Moehle · Palo Alto, US
• Jack Gindi · New York, US
• Stephen Boyd · Washington, US
• Mykel Kochenderfer · Edinburgh, GB

Key dates

• Filing date: Mar 7, 2022
• Grant date: Jan 28, 2025
• Expiry date: Oct 4, 2042

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Embodiments described herein provide a mechanism to solve the portfolio construction problem with nonconvex penalties and constraints that are separate across assets. This problem may be viewed as a special case of the separable-affine problem, i.e., the problem of minimizing a separable objective function with affine equality constraints.