A constrained consensus based optimization algorithm and its application to finance
Hyeong‐Ohk Bae, Seung‐Yeal Ha, Myeongju Kang, Hyuncheul Lim, Chanho Min, Jane Yoo
Topics & Concepts
Mathematical optimizationMaxima and minimaOptimization problemComputer scienceFeasible regionSet (abstract data type)Convex optimizationMathematicsPortfolio optimizationFunction (biology)AlgorithmRegular polygonPortfolioFinanceEconomicsEvolutionary biologyMathematical analysisProgramming languageBiologyGeometryDistributed Control Multi-Agent SystemsGame Theory and ApplicationsStochastic Gradient Optimization Techniques