Operational Risk Reverse Stress Testing: Optimal Solutions
Selecting a suitable method to solve a black-box optimization problem that uses noisy data was considered. A targeted stop condition for the function to be optimized, implemented as a stochastic algorithm, makes established Bayesian methods inadmissible. A simple modification was proposed and shown...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-04-01
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| Series: | Mathematical and Computational Applications |
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| Online Access: | https://www.mdpi.com/2297-8747/26/2/38 |