Differential Evolution with DEoptim An Application to Non-Convex Portfolio Optimization

被引：1
|
作者：
Ardia, David
Boudt, Kris [1 ]
Carl, Peter [2 ]
Mullen, Katharine M. [3 ]
Peterson, Brian G. [4 ]
机构：
[1] Katholieke Univ Leuven, Louvain, Belgium
[2] Guidance Capital Management, Chicago, IL USA
[3] NIST, Gaithersburg, MD 20899 USA
[4] Cheiron Trading, Chicago, IL USA
来源：
R JOURNAL | 2011年 / 3卷 / 01期
关键词：
GLOBAL OPTIMIZATION;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
The R package DEoptim implements the Differential Evolution algorithm. This algorithm is an evolutionary technique similar to classic genetic algorithms that is useful for the solution of global optimization problems. In this note we provide an introduction to the package and demonstrate its utility for financial applications by solving a non-convex portfolio optimization problem.
引用
收藏
页码：27 / 34
页数：8
相关论文
共 50 条
  • [1] SDP application on portfolio optimization problem with non-convex quadratic constraints
    Odintsov, Kirill
    [J]. MATHEMATICAL METHODS IN ECONOMICS (MME 2014), 2014, : 715 - 720
  • [2] Developments and Design of Differential Evolution Algorithm for Non-linear/Non-convex Engineering Optimization
    Pooja Tiwari
    Vishnu Narayan Mishra
    Raghav Prasad Parouha
    [J]. Archives of Computational Methods in Engineering, 2024, 31 : 2227 - 2263
  • [3] Developments and Design of Differential Evolution Algorithm for Non-linear/Non-convex Engineering Optimization
    Tiwari, Pooja
    Mishra, Vishnu Narayan
    Parouha, Raghav Prasad
    [J]. ARCHIVES OF COMPUTATIONAL METHODS IN ENGINEERING, 2024, 31 (04) : 2227 - 2263
  • [4] DEoptim: An R Package for Global Optimization by Differential Evolution
    Mullen, Katharine M.
    Ardia, David
    Gil, David L.
    Windover, Donald
    Cline, James
    [J]. JOURNAL OF STATISTICAL SOFTWARE, 2011, 40 (06): : 1 - 26
  • [5] Non-convex scenario optimization with application to system identification
    Campi, Marco C.
    Garatti, Simone
    Ramponi, Federico A.
    [J]. 2015 54TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2015, : 4023 - 4028
  • [6] SUB-DIFFERENTIAL CALCULUS AND DUALITY IN NON-CONVEX OPTIMIZATION
    TOLAND, JF
    [J]. BULLETIN DE LA SOCIETE MATHEMATIQUE DE FRANCE, 1979, MEM (60): : 177 - 183
  • [7] Evolution by Non-Convex Functionals
    Elbau, Peter
    Grasmair, Markus
    Lenzen, Frank
    Scherzer, Otmar
    [J]. NUMERICAL FUNCTIONAL ANALYSIS AND OPTIMIZATION, 2010, 31 (04) : 489 - 517
  • [8] Non-Convex Optimization: A Review
    Trehan, Dhruv
    [J]. PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON INTELLIGENT COMPUTING AND CONTROL SYSTEMS (ICICCS 2020), 2020, : 418 - 423
  • [9] Non-convex scenario optimization
    Garatti, Simone
    Campi, Marco C.
    [J]. MATHEMATICAL PROGRAMMING, 2024,
  • [10] Non-Convex Distributed Optimization
    Tatarenko, Tatiana
    Touri, Behrouz
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2017, 62 (08) : 3744 - 3757
12345