Abstract | ||
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The purpose of this paper is to evaluate the performance of Vector Evaluated Differential Evolution (VEDE) and Vector Evaluated Particle Swarm Optimization (VEPSO) in solving a real world financial optimization problem. The algorithms have been applied to the Reinsurance Contract Problem, which is a challenging problem in computational finance, and their performance has been evaluated in terms of metrics including the average number of solutions, the average hypervolume and the coverage. Results have shown that both algorithms can reach good solutions, however VEPSO tends to perform better. |
Year | DOI | Venue |
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2014 | 10.1109/SMC.2014.6974290 | SMC |
Field | DocType | ISSN |
Particle swarm optimization,Mathematical optimization,Computational finance,Computer science,Differential evolution,Multi-swarm optimization,Optimization problem,Metaheuristic | Conference | 1062-922X |
Citations | PageRank | References |
2 | 0.40 | 0 |
Authors | ||
3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Omar Andrés Carmona Cortes | 1 | 8 | 2.69 |
Andrew Rau-chaplin | 2 | 638 | 61.65 |
Pedro Felipe do Prado | 3 | 2 | 0.40 |