Value-at-Risk optimization using the difference of convex algorithm.
David WozabalPublished in: OR Spectr. (2012)
Keyphrases
- optimization algorithm
- cost function
- dynamic programming
- detection algorithm
- times faster
- worst case
- np hard
- improved algorithm
- search space
- objective function
- experimental evaluation
- computational complexity
- high accuracy
- learning algorithm
- optimization model
- convergence rate
- optimization method
- stochastic gradient
- preprocessing
- matching algorithm
- particle swarm optimization
- linear programming
- convex hull
- optimization problems
- optimization methods
- significant improvement
- constrained optimization
- globally optimal
- global optimality
- neural network