Transaction Cost Function Minimization Using Simulated Annealing and Smoothing
نویسنده
چکیده
Transaction cost function minimization is an important problem in finance. In this essay, we develop and apply a simulated annealing and smoothing method to this particular problem. We illustrate that this method is an improvement over using the trust-region method or simulated annealing algorithm alone. We will provide examples in different dimensions and using different parameter settings to illustrate the advantage of using a new approach that combines simulated annealing and smoothing.
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