Tag Archives: heuristic optimization
Review of “Numerical Methods and Optimization in Finance” by Gilli, Maringer and Schumann
Previously This book and the associated R package were introduced before. Executive Summary A very nice — and enlightening — discussion of a wide range of topics. Principles The Introduction to the book sets out 5 principles. This is probably the most important part of the book. The principles are: We don’t know much in … Continue reading
Posted in Book review, Quant finance, R language
Tagged heuristic optimization, simulation
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Another comparison of heuristic optimizers
A herd of heuristic algorithms is compared using a portfolio optimization. Previously “A comparison of some heuristic optimization methods” used two simple and tiny portfolio optimization problems to compare a number of optimization functions in the R language. This post expands upon that by using a portfolio optimization problem that is of a realistic size … Continue reading
A comparison of some heuristic optimization methods
A simple portfolio optimization problem is used to look at several R functions that use randomness in various ways to do optimization. Orientation Some optimization problems are really hard. In these cases sometimes the best approach is to use randomness to get an approximate answer. Once you decide to go down this route, you need … Continue reading
