On the design of constraint covariance matrix self-adaptation evolution strategies including a cardinality constraint

IEEE Transactions on Evolutionary Computation

Volumn 16, Issue 4, 2012, Pages 578-596

  Beyer, Hans Georg ^a   Finck, Steffen ^a  

^a VORARLBERG UNIVERSITY OF APPLIED SCIENCES   (Austria)

Author keywords

Constrained optimization; covariance matrix self adaptation evolution strategy; nonconvex optimization; portfolio optimization

Indexed keywords

CARDINALITY CONSTRAINTS; CONSTRAINED OPTIMIZATION PROBLEMS; DATA SETS; DOW JONES; EVOLUTION STRATEGIES; FEASIBLE SOLUTION; LINEAR INEQUALITIES; NON-LINEARITY; NONCONVEX OPTIMIZATION; NONCONVEX OPTIMIZATION PROBLEM; PORTFOLIO OPTIMIZATION; SELF ADAPTATION; TIME-SERIES DATA;

CONSTRAINED OPTIMIZATION; COVARIANCE MATRIX; FINANCIAL DATA PROCESSING;

EVOLUTIONARY ALGORITHMS;

EID: 84864607635     PISSN: 1089778X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TEVC.2011.2169967     Document Type: Article

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