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Genetic Algorithm Calibration of Seasonal BVAR Models

Quilis, Enrique M. - 2015

In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the … the BVAR model. At the same time, the use of GA allows calibration to be performed on a diffuse setting, preserving as … much as possible the flexible nature of BVAR and revealing interesting features of the data. The well-known U.S. housing …

Persistent link: https://www.econbiz.de/10014132203

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Tuning hyperparameters of a SVM-based water demand forecasting system through parallel global optimization

Candelieri, Antonio; Giordani, Ilaria; Archetti, Francesco - In: Computers & operations research : and their … 106 (2019), pp. 202-209

Persistent link: https://www.econbiz.de/10012014411

Metropolis-Hastings prefetching algorithms

Strid, Ingvar (contributor) - 2008 - Rev. December 2, 2009

Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based on the idea of evaluating the posterior in parallel and ahead of time. Improved Metropolis-Hastings prefetching algorithms are presented and evaluated. It is shown how to use...

Persistent link: https://www.econbiz.de/10003779724

Optimal allocation of demand response considering transmission system congestion

Neves-Motta, Vinicius; Anjos, Miguel F.; Gendreau, Michel - In: Computational management science 20 (2023) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014393337

Portfolio Construction Using Predictive Linear Model – An Adaptive Multi-Objective Approach

Mobasheri, Amir - 2019

) literature and the concept of knee-point of a curve. The forecast of the next period is obtained by combining the forecasts of …

Persistent link: https://www.econbiz.de/10012868096

Flexible data driven inventory management with interactive multi-objective lot size optimisation

Heikkinen, Risto; Sipilä, Juha; Ojalehto, Vesa; … - In: International journal of logistics systems and … 46 (2023) 2, pp. 206-235

Persistent link: https://www.econbiz.de/10014439400

Application of the XGBoost algorithm and Bayesian optimization for the Bitcoin price prediction during the COVID-19 period

Drahokoupil, Jakub - 2022

Persistent link: https://www.econbiz.de/10013262618

Bayesian interval robust optimization for sustainable energy system planning in Qiqihar City, China

Dong, Cong; Huang, Guo H.; Cai, Yanpeng; Cheng, Guanhui; … - In: Energy economics 60 (2016), pp. 357-376

Persistent link: https://www.econbiz.de/10011700360

Extreme gradient boosting trees with efficient Bayesian optimization for profit-driven customer churn prediction

Liu, Zhenkun; Jiang, Ping; De Bock, Koen W.; Wang, Jianzhou - In: Technological forecasting and social change : an … 198 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015076450