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

页码：27 / 34

页数：8

共 50 条

[21] Gradient Methods for Non-convex Optimization
Prateek Jain
[J]. Journal of the Indian Institute of Science, 2019, 99 : 247 - 256
[22] CLASS OF NON-CONVEX OPTIMIZATION PROBLEMS
HIRCHE, J
TAN, HK
[J]. ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK, 1977, 57 (04): : 247 - 253
[23] EXISTENCE THEOREMS IN NON-CONVEX OPTIMIZATION
AUBERT, G
TAHRAOUI, R
[J]. APPLICABLE ANALYSIS, 1984, 18 (1-2) : 75 - 100
[24] Robust Optimization for Non-Convex Objectives
Chen, Robert
Lucier, Brendan
Singer, Yaron
Syrgkanis, Vasilis
[J]. ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 30 (NIPS 2017), 2017, 30
[25] Convex and Non-convex Optimization Under Generalized Smoothness
Li, Haochuan
Qian, Jian
Tian, Yi
Rakhlin, Alexander
Jadbabaie, Ali
[J]. ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 36 (NEURIPS 2023), 2023,
[26] Differential Evolution and Evolutionary Programming for Solving Non-convex Economic Dispatch Problems
Victoire, T. Aruldoss Albert
Suganthan, P. N.
[J]. 2008 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION, VOLS 1-8, 2008, : 1785 - 1791
[27] An improved adaptive differential evolution optimizer for non-convex Economic Dispatch Problems
Hamdi, Mounira
Idomghar, Lhassane
Chaoui, Mondher
Kachouri, Abdenaceur
[J]. APPLIED SOFT COMPUTING, 2019, 85
[28] A new accelerating method for global non-convex quadratic optimization with non-convex quadratic constraints
Wu, Huizhuo
Zhang, KeCun
[J]. APPLIED MATHEMATICS AND COMPUTATION, 2008, 197 (02) : 810 - 818
[29] DUAL VARIATIONAL-METHODS IN NON-CONVEX OPTIMIZATION AND DIFFERENTIAL-EQUATIONS
EKELAND, I
CEREMADE
[J]. LECTURE NOTES IN MATHEMATICS, 1983, 979 : 108 - 120
[30] Weighted distributed differential privacy ERM Convex and non-convex
Kang, Yilin
Liu, Yong
Niu, Ben
Wang, Weiping
[J]. COMPUTERS & SECURITY, 2021, 106

← 1 2 3 4 5 →