A constrained consensus based optimization algorithm and its application to finance

DOI10.1016/j.amc.2021.126726MaRDI QIDQ2060189

Chanho Min, Myeongju Kang, Hyeong-Ohk Bae, Hyuncheul Lim, Jane Yoo, Seung-Yeal Ha

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

zbMATH Keywords

portfolio selection; consensus based optimization; Mean-variance model

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

65K10: Numerical optimization and variational techniques

70F10: (n)-body problems

Related Items

Constrained Consensus-Based Optimization, Consensus-based optimization via jump-diffusion stochastic differential equations, Quadratic interpolation optimization (QIO): a new optimization algorithm based on generalized quadratic interpolation and its applications to real-world engineering problems, Time-delayed stochastic volatility model

Cites Work

• Unnamed Item
• Unnamed Item
• Convergence and error estimates for time-discrete consensus-based optimization algorithms
• A consensus-based model for global optimization and its mean-field limit
• Convergence of a first-order consensus-based global optimization algorithm
• An analytical framework for consensus-based global optimization method
• Vehicular traffic, crowds, and swarms: From kinetic theory and multiscale methods to applications and research perspectives
• A consensus-based global optimization method for high dimensional machine learning problems
• From particle swarm optimization to consensus based optimization: Stochastic modeling and mean-field limit