Evolutionary optimization of transition probability matrices for credit decision-making

DOI10.1016/J.EJOR.2009.01.020MaRDI QIDQ1042511zbMATH OpenOpenAlexFDO

Authors Jingqiao Zhang, Viswanath Avasarala, Raj Subbu

Publication date 14 December 2009

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2009.01.020

zbMATH Keywords

financedecision support systemsrisk managementevolutionary computationsconstraints satisfaction

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Credit risk (91G40)

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Cites work

• Applications of Multi-Objective Evolutionary Algorithms
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Differential evolution. A practical approach to global optimization. With CD-ROM.
• The particle swarm optimization algorithm: Convergence analysis and parameter selection

Cited in

(7)

• Differential evolution algorithm with separated groups for multi-dimensional optimization problems
• Inferring descriptive and approximate fuzzy rules for credit scoring using evolutionary algorithms
• Evolutionary radial basis functions for credit assessment
• A differential evolution algorithm with self-adaptive strategy and control parameters based on symmetric Latin hypercube design for unconstrained optimization problems
• Evolutionary estimation of a coupled Markov chain credit risk model
• Credit portfolio management using two-level particle swarm optimization
• Evolutionary computation for modelling and optimization in finance

Describes a project that uses

Uses Software

• JADE

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