An empirical comparison between nonlinear programming optimization and simulated annealing (SA) algorithm under a higher moments Bayesian portfolio selection framework.
Jingjing LuMerrill W. LiechtyPublished in: WSC (2007)
Keyphrases
- simulated annealing
- nonlinear programming
- combinatorial optimization
- linear programming
- optimal solution
- portfolio selection
- optimization algorithm
- dynamic programming
- cost function
- optimization problems
- metaheuristic
- np hard
- probabilistic model
- evolutionary algorithm
- genetic algorithm
- search space
- computational complexity
- objective function
- convex hull
- semidefinite programming
- learning algorithm
- worst case
- ant colony optimization
- exact algorithms