Evolutionary optimization of transition probability matrices for credit decision-making

DOI10.1016/j.ejor.2009.01.020zbMath1177.91140OpenAlexW2013530604MaRDI QIDQ1042511

Raj Subbu, Viswanath Avasarala, Jingqiao Zhang

Publication date: 14 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.01.020

zbMATH Keywords

decision support systemsfinancerisk managementevolutionary computationsconstraints satisfaction

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Approximation methods and heuristics in mathematical programming (90C59) Credit risk (91G40)

Related Items (5)

A differential evolution algorithm with self-adaptive strategy and control parameters based on symmetric Latin hypercube design for unconstrained optimization problems ⋮ Differential evolution algorithm with separated groups for multi-dimensional optimization problems ⋮ Evolutionary Computation for Modelling and Optimization in Finance ⋮ Credit portfolio management using two-level particle swarm optimization ⋮ Evolutionary Estimation of a Coupled Markov Chain Credit Risk Model

Uses Software

• JADE

Cites Work

• Differential evolution. A practical approach to global optimization. With CD-ROM.
• The particle swarm optimization algorithm: Convergence analysis and parameter selection
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Applications of Multi-Objective Evolutionary Algorithms

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