A constrained consensus based optimization algorithm and its application to finance
DOI10.1016/J.AMC.2021.126726OpenAlexW3208445589MaRDI QIDQ2060189FDOQ2060189
Authors: Hyeong-Ohk Bae, Seung-Yeal Ha, Myeongju Kang, Hyuncheul Lim, Chanho Min, Jane Yoo 
Publication date: 13 December 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.04499
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Cites Work
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- A consensus-based model for global optimization and its mean-field limit
- Vehicular traffic, crowds, and swarms: from kinetic theory and multiscale methods to applications and research perspectives
- An analytical framework for consensus-based global optimization method
- Convergence and error estimates for time-discrete consensus-based optimization algorithms
- Convergence of a first-order consensus-based global optimization algorithm
- From particle swarm optimization to consensus based optimization: stochastic modeling and mean-field limit
- A consensus-based global optimization method for high dimensional machine learning problems
Cited In (8)
- Computation and analysis for a constrained entropy optimization problem in finance
- Consensus reaching process for portfolio selection: a behavioral approach
- Constrained Consensus-Based Optimization
- A Constrained Consensus Based Optimization algorithm and its Application to Finance
- Leveraging memory effects and gradient information in consensus-based optimisation: on global convergence in mean-field law
- Quadratic interpolation optimization (QIO): a new optimization algorithm based on generalized quadratic interpolation and its applications to real-world engineering problems
- Consensus-based optimization via jump-diffusion stochastic differential equations
- Time-delayed stochastic volatility model
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