Essays about: "CMA-ES"

Found 3 essays containing the word CMA-ES.

  1. 1. Using Data-Driven Feasible Region Approximations to Handle Nonlinear Constraints When Applying CMA-ES to the Initial Margin Optimization Problem

    University essay from KTH/Matematisk statistik

    Author : Karl Wallström; [2021]
    Keywords : Optimization; Initial margin; Evolutionary algorithms; CMA-ES; Support vector machines; Boundary constraint handling; Nonlinear constraints; Repair algorithms; Feasible region approximation; Optimering; Initial margin; Evolutionära algoritmer; CMA-ES; Support vector machines; Hantering av bivillkor; Icke-linjära bivillkor; Reparationsalgoritmer; Approximation av tillåtet område;

    Abstract : The introduction of initial margin requirements for non-cleared OTC derivatives has made it possible to optimize initial margin when considering a network of trading participants. Applying CMA-ES, this thesis has explored a new method to handle the nonlinear constraints present in the initial margin optimization problem. READ MORE

  3. 2. Convergence Properties for Different Null Space Bases When Solving the Initial Margin Optimization Problem Using CMA-ES

    University essay from KTH/Matematisk statistik

    Author : Jacob Barnholdt; Filip Carlsson; [2020]
    Keywords : Financial mathematics; CMA-ES; Optimization; Initial Margin; Null space representations; Finansiell matematik; CMA-ES; Optimering; Initial Margin; Nollrumsrepresentationer;

    Abstract : This thesis evaluates how the evolutionary algorithm CMA-ES (Covariance Matrix Adaption Evolution Strategy) can be used for optimizing the total initial margin for a network of banks trading bilateral OTC derivatives. The algorithm is a stochastic method for optimization of non-linear and, but not limited to, non-convex functions. READ MORE

  4. 3. Automatic parameter tuning in localization algorithms

    University essay from Linköpings universitet/Programvara och system

    Author : Martin Lundberg; [2019]
    Keywords : cma-es; covariance matrix adaptation; evolution strategies; bayesian optimization; black box optimization; object localization; 3d localization; bin picking; parameter tuning; algorithm configuration;

    Abstract : Many algorithms today require a number of parameters to be set in order to perform well in a given application. The tuning of these parameters is often difficult and tedious to do manually, especially when the number of parameters is large. It is also unlikely that a human can find the best possible solution for difficult problems. READ MORE