Genetic algorithm-based selection of optimal Monte Carlo simulations

被引:1
|
作者
Strati, Francesco [1 ]
Trussoni, Luca G. [2 ]
机构
[1] PwC SpA, Actuarial Serv, Milan, Italy
[2] Guglielmo Marconi Univ, Dept Engn Sci, Rome, Italy
关键词
Genetic algorithms; Convergence; Optimization; Monte-Carlo simulations; CONVERGENCE-RATES; EVOLUTIONARY ALGORITHMS;
D O I
10.1016/j.cor.2024.106958
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
The aim of this work is to propose the use of a genetic algorithm to solve the problem of the optimal subsampling of Monte Carlo simulations to obtain desired statistical properties. It is designed to optimally select the best m Monte Carlo simulations from a larger pool of N > m simulations. The concept of an "optimal selection"is defined through a target metric, in this work the first and second moments of the distribution, from the set of N simulations, to which the subset of m simulations should closely converge. The implementation employs an objective function, allowing the algorithm to balance computational efficiency and optimization performance, achieving fast and precise selection of the m simulations.
引用
收藏
页数:10
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