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Some Experiments on Fitting of Gielis Curves by Simulated Annealing and Particle Swarm Methods of Global Optimization

Mishra, Sudhanshu K. - 2006

In this paper an attempt has been made to fit the Gielis curves (modified by various functions) to simulated data. The estimation has been done by two methods - the Classical Simulated Annealing (CSA) and the Particle Swarm (PS) methods - of global optimization. The Repulsive Particle Swarm...

Persistent link: https://www.econbiz.de/10014026933

Experiments on Estimation of the Parameters of Gielis Super-Formula by Simulated Annealing Method of Optimization

Mishra, Sudhanshu K. - 2006

In this paper an attempt has been made to estimate the parameters of Gielis superformula (modified by various functions). Simulated data have been used for this purpose. The estimation has been done by the method of simulated annealing. It has been found that the simulated annealing method is...

Persistent link: https://www.econbiz.de/10014057421

Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526

Uncertainty of Multiple Period Risk Measures

Lönnbark, Carl - 2009

simulation experiment we conclude that among the studied analytical approaches the one based on approximating the distribution of … the multiple period shocks by a skew-t was the best. It was almost as good as the simulation based alternative. We also …

Persistent link: https://www.econbiz.de/10013155481

Least Squares Estimation of Joint Production Functions By the Differential Evolution Method of Global Optimization

Mishra, Sudhanshu K. - 2007

. This study has conducted some simulation experiments on joint estimation of the CES, the Transcendental and the Nerlove …

Persistent link: https://www.econbiz.de/10014048371

Automatic Type Tracking : Operator Result Type Priority and Applications in Algorithmic Differentiation (with Examples from Mathematical Finance using Stochastic Automatic Differentiation)

Fries, Christian P. - 2018

differentiations. We give examples from the algorithmic differentiation of Monte-Carlo simulation and its applications to mathematical …

Persistent link: https://www.econbiz.de/10012911558

Minimization of Keane's Bump Function by the Repulsive Particle Swarm and the Differential Evolution Methods

Mishra, Sudhanshu K. - 2008

Keane's bump function is considered as a standard benchmark for nonlinear constrained optimization. It is highly multi-modal and its optimum is located at the non-linear constrained boundary. The true minimum of this function is, perhaps, unknown. We intend in this paper to optimize Keane's...

Persistent link: https://www.econbiz.de/10014026161

Performance of the Barter, the Differential Evolution and the Simulated Annealing Methods of Global Optimization on Some New and Some Old Test Functions

Mishra, Sudhanshu K. - 2006

In this paper we compare the performance of the Barter method, a newly introduced population-based (stochastic) heuristic to search the global optimum of a (continuous) multi-modal function, with that of two other well-established and very powerful methods, namely, the Simulated Annealing (SA)...

Persistent link: https://www.econbiz.de/10014026644

The Barter Method : A New Heuristic for Global Optimization and its Comparison with the Particle Swarm and the Differential Evolution Methods

Mishra, Sudhanshu K. - 2006

The objective of this paper is to introduce a new population-based (stochastic) heuristic to search the global optimum of a (continuous) multi-modal function and to assess its performance (on a fairly large number of benchmark functions) vis-a-vis that of two other well-established and very...

Persistent link: https://www.econbiz.de/10014026683

Performance of Repulsive Particle Swarm Method in Global Optimization of Some Important Test Functions : A Fortran Program

Mishra, Sudhanshu K. - 2013

The Repulsive Particle Swarm (RPS) method of global optimization is perhaps the simplest to understand and implement. Due to its simplicity, it can be easily modified to suit the purpose and therefore, it has better prospects as well. The method has been frequently used in the field of...

Persistent link: https://www.econbiz.de/10014026865