CBO algorithm with average drift and applications to portfolio optimization

DOI10.1016/J.CAM.2026.117535MaRDI QIDQ7250134zbMATH OpenFDO

Authors Hyeong-Ohk Bae, Seung-Yeal Ha, Chanho Min, Jane Yoo, Jaeyoung Yoon

Publication date 20 May 2026

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2026.117535

zbMATH Keywords

adaptive momentumaverage driftconsensus based optimizationportfolio selectionregret bound

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) (n)-body problems (70F10) Applications of mathematical programming (90C90)

Cites work

• A consensus-based global optimization method for high dimensional machine learning problems
• A consensus-based global optimization method with adaptive momentum estimation
• A consensus-based model for global optimization and its mean-field limit
• A constrained consensus based optimization algorithm and its application to finance
• A course on large deviations with an introduction to Gibbs measures
• An analytical framework for consensus-based global optimization method
• AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
• Consensus-based optimization methods converge globally
• Convergence and error estimates for time-discrete consensus-based optimization algorithms
• Convergence of a first-order consensus-based global optimization algorithm
• scientific article; zbMATH DE number 2121575 (Why is no real title available?)
• Online portfolio selection: a survey
• Optimization by simulated annealing

This page was built for publication: CBO algorithm with average drift and applications to portfolio optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7250134)