Sökning: "Boundary constraint handling"

Hittade 1 uppsats innehållade orden Boundary constraint handling.

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

    Master-uppsats, KTH/Matematisk statistik

    Författare :Karl Wallström; [2021]
    Nyckelord :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;

    Sammanfattning : 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. LÄS MER