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On the design of constraint covariance matrix self-adaptation evolution strategies including a cardinality constraint
Author: | Hans-Georg BeyerORCiD, Steffen Finck |
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DOI: | https://doi.org/10.1109/TEVC.2011.2169967 |
ISSN: | 1089-778X |
Parent Title (English): | IEEE Transactions on Evolutionary Computation |
Document Type: | Article |
Language: | English |
Year of publication: | 2012 |
Release Date: | 2018/11/22 |
Tag: | Algorithm design and analysis; CMSA-ES; Constrained optimization; Constraint optimization; Covariance matrix; Dow Jones Index; Mathematical model; Portfolios; Vectors; algorithm engineering; cardinality constraint; concave programming; constraint covariance matrix self-adaptation evolution strategy design; covariance matrices; covariance matrix self-adaptation evolution strategy; investment; linear inequalities; linear programming; mixed linear-nonlinear constrained optimization problem; nonconvex optimization; nonconvex optimization problem; nonlinear programming; portfolio optimization; time series; time series data |
Volume: | 16. Jg. |
Issue: | H. 4 |
First Page: | 578 |
Last Page: | 596 |
Organisationseinheit: | Technik / Department of Computer Science (Ende 2021 aufgelöst; Integration in die übergeordnete OE Technik) |
Technik / Technik | Engineering & Technology | |
Publicationlist: | Beyer, Hans-Georg |
Finck, Steffen |