Essays about: "derivative-free black box optimization"

Found 2 essays containing the words derivative-free black box optimization.

1. 1. Black Box Optimization Framework for Reinsurance of Large Claims

   University essay from Stockholms universitet/Statistiska institutionen

   Author : Sina Mozayyan; [2022]
   Keywords : augmented Lagrangian; constraint optimization by linear interpolation; derivative-free black box optimization; DIRECT L ; evolutionary optimization; NLopt package; mean-variance premium principle; risk management; Solvency II;

   Abstract : A framework for optimization of reinsurance strategy is proposed for an insurance company with several lines of business (LoB), maximizing the Economic Value of purchasing reinsurance. The economic value is defined as the sum of the average ceded loss, the deducted risk premium, and the reduction in the cost of capital. READ MORE

3. 2. A Theoretical Framework for Bayesian Optimization Convergence

   University essay from KTH/Optimeringslära och systemteori

   Author : Alexandre Scotto Di Perrotolo; [2018]
   Keywords : ;

   Abstract : Bayesian optimization is a well known class of derivative-free optimization algorithms mainly used for expensive black-box objective functions. Despite their efficiency, they suffer from a lack of rigorous convergence criterion which makes them more prone to be used as modeling tools rather than optimizing tools. READ MORE