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COLT
2003
Springer
14 years 18 days ago
Internal Regret in On-Line Portfolio Selection
This paper extends the game-theoretic notion of internal regret to the case of on-line potfolio selection problems. New sequential investment strategies are designed to minimize th...
Gilles Stoltz, Gábor Lugosi
CEC
2007
IEEE
14 years 1 months ago
ALPS evaluation in financial portfolio optimisation
— Hornby’s Age-Layered Population Structure claims to reduce premature convergence in Evolutionary Algorithms. We provide the first evaluation of ALPS on a realworld problem ...
Suneer Patel, Christopher D. Clack
CPAIOR
2007
Springer
14 years 1 months ago
Hybrid Local Search for Constrained Financial Portfolio Selection Problems
Portfolio selection is a relevant problem arising in finance and economics. While its basic formulations can be efficiently solved through linear or quadratic programming, its mor...
Luca Di Gaspero, Giacomo di Tollo, Andrea Roli, An...
JCP
2007
143views more  JCP 2007»
13 years 7 months ago
Noisy K Best-Paths for Approximate Dynamic Programming with Application to Portfolio Optimization
Abstract— We describe a general method to transform a non-Markovian sequential decision problem into a supervised learning problem using a K-bestpaths algorithm. We consider an a...
Nicolas Chapados, Yoshua Bengio
SIGIR
2009
ACM
14 years 1 months ago
Portfolio theory of information retrieval
This paper studies document ranking under uncertainty. It is tackled in a general situation where the relevance predictions of individual documents have uncertainty, and are depen...
Jun Wang, Jianhan Zhu