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Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation.
Emmanuel Gobet
Clara Lage
Published in:
Ann. Oper. Res. (2024)
Keyphrases
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optimal path
data sets
minimum cost
stochastic dynamic programming
optimal solution
dynamic programming
genetic algorithm
optimal control
credit scoring
neural network
objective function
shortest path
gaussian distribution
globally optimal
portfolio optimization
lp norm