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
相关论文
共 50 条
  • [41] Genetic algorithm-based multi-criteria project portfolio selection
    Lean Yu
    Shouyang Wang
    Fenghua Wen
    Kin Keung Lai
    Annals of Operations Research, 2012, 197 : 71 - 86
  • [42] Validation of genetic algorithm-based optimal sampling for ocean data assimilation
    Kevin D. Heaney
    Pierre F. J. Lermusiaux
    Timothy F. Duda
    Patrick J. Haley
    Ocean Dynamics, 2016, 66 : 1209 - 1229
  • [43] Comparisons of genetic algorithm-based descriptor selection methods for QSAR.
    Embrechts, MJ
    Breneman, CM
    Bennett, KP
    ABSTRACTS OF PAPERS OF THE AMERICAN CHEMICAL SOCIETY, 2001, 221 : U396 - U396
  • [44] Genetic Algorithm-based Optimal Design Strategy of a Continuum Surgical Manipulator
    Haodong Wang
    Zhijiang Du
    Zhiyuan Yan
    Yongzhuo Gao
    International Journal of Control, Automation and Systems, 2022, 20 : 3312 - 3320
  • [45] Validation of genetic algorithm-based optimal sampling for ocean data assimilation
    Heaney, Kevin D.
    Lermusiaux, Pierre F. J.
    Duda, Timothy F.
    Haley, Patrick J., Jr.
    OCEAN DYNAMICS, 2016, 66 (10) : 1209 - 1229
  • [46] A Genetic Algorithm-Based, Hybrid Machine Learning Approach to Model Selection
    Robert R. Bies
    Matthew F. Muldoon
    Bruce G. Pollock
    Steven Manuck
    Gwenn Smith
    Mark E. Sale
    Journal of Pharmacokinetics and Pharmacodynamics, 2006, 33 : 195 - 221
  • [47] Genetic algorithm-based optimal design of shunt compensators in the presence of harmonics
    Zacharia, P.
    Menti, A.
    Zacharias, Th.
    ELECTRIC POWER SYSTEMS RESEARCH, 2008, 78 (04) : 728 - 735
  • [48] Genetic algorithm-based optimal fuzzy controller design in the linguistic space
    Chou, Chih-Hsun
    IEEE TRANSACTIONS ON FUZZY SYSTEMS, 2006, 14 (03) : 372 - 385
  • [49] Genetic Algorithm-Based Optimal Design of a Rolling-Flying Vehicle
    Jenkins, Tyler
    Atay, Stefan
    Buckner, Gregory
    Bryant, Matthew
    JOURNAL OF MECHANISMS AND ROBOTICS-TRANSACTIONS OF THE ASME, 2021, 13 (05):
  • [50] Finding optimal repair and maintenance strategies by a combined genetic algorithm - Monte Carlo approach
    Marseguerra, M
    Zio, E
    FORESIGHT AND PRECAUTION, VOLS 1 AND 2, 2000, : 261 - 267