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Home / News &
Events / Using Differential Evolution for Optimization in Finance
Using Differential Evolution for Optimization in FinancePresented: Tuesday, February 5th, 2008 View the on-demand webcast. Download instructions on how to view the web cast. Download the webcast presentation. Differential evolution is a form of genetic or evolutionary algorithm, which is a class of algorithms that uses mechanisms inspired by biological evolution, such as reproduction, mutation and natural selection, to solve difficult optimization problems. Differential evolution was created in 1995 by Kenneth Price and Rainer Storn, and has since earned the reputation of being a very effective global optimizer. The algorithm has a record of reliable and robust performance, particularly in the fields of science and engineering. In this talk, we will look at an implementation of this algorithm in S-PLUS®, and investigate how it may be applied to problems in finance, such as portfolio optimization and model calibration.
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