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On the design of constraint covariance matrix self-adaptation evolution strategies including a cardinality constraint

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Author:Hans-Georg BeyerORCiD, Steffen Finck
Parent Title (English):IEEE Transactions on Evolutionary Computation
Document Type:Article
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