Diffusions for global optimizations
SIAM Journal on Control and Optimization
Diffusion for global optimization in Rn
SIAM Journal on Control and Optimization
A Stochastic Algorithm for Constrained Global Optimization
Journal of Global Optimization
Linearly Constrained Global Optimization and Stochastic Differential Equations
Journal of Global Optimization
Global optimization of higher order moments in portfolio selection
Journal of Global Optimization
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We consider the global optimization of two problems arising from financial applications. The first problem originates from the portfolio selection problem when high-order moments are taken into account. The second issue we address is the problem of scenario generation. Both problems are non-convex, large-scale, and highly relevant in financial engineering. For the two problems we consider, we apply a new stochastic global optimization algorithm that has been developed specifically for this class of problems. The algorithm is an extension to the constrained case of the so called diffusion algorithm. We discuss how a financial planning model (of realistic size) can be solved to global optimality using a stochastic algorithm. Initial numerical results are given that show the feasibility of the proposed approach.