An algorithm for moment-matching scenario generation with application to financial portfolio optimisation.
Ksenia PonomarevaDiana RomanParesh DatePublished in: Eur. J. Oper. Res. (2015)
Keyphrases
- matching algorithm
- dynamic programming
- preprocessing
- np hard
- learning algorithm
- experimental evaluation
- k means
- theoretical analysis
- improved algorithm
- optimization algorithm
- cost function
- significant improvement
- string matching
- optimal solution
- objective function
- generation algorithm
- recognition algorithm
- keypoints
- image matching
- segmentation algorithm
- matching process
- lower bound
- decision making
- matching scheme
- linear programming
- graph matching
- times faster
- detection algorithm
- expectation maximization
- worst case
- search space
- image segmentation
- feature selection