A new robust optimization tool applied on financial data

MaRDI QIDQ2846943zbMATH OpenFDO

Authors Ayşe Özmen, Azar Karimov, Gerhard-Wilhelm Weber

Publication date 4 September 2013

Published in Pacific Journal of Optimization (Search for Journal in Brave)

Full work available at URL http://www.yokohamapublishers.jp/online2/oppjo/vol9/p535.html

zbMATH Keywords

CMARSfinancial marketRCMARSregressionrobust optimizationuncertainty

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Statistical methods; risk measures (91G70)

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(7)

• An improved grasshopper optimization algorithm with application to financial stress prediction
• RMARS: robustification of multivariate adaptive regression spline under polyhedral uncertainty
• Extended lasso-type MARS (LMARS) model in the description of biological network
• Sparse regression modeling for short- and long-term natural gas demand prediction
• Robust multivariate adaptive regression splines under cross-polytope uncertainty: an application in a natural gas market
• RCMARS: robustification of CMARS with different scenarios under polyhedral uncertainty set
• A genetic algorithm-based approach for a sustainable inventory model in fuzzy environment

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