2021
DOI: 10.3390/mca26020038
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Operational Risk Reverse Stress Testing: Optimal Solutions

Abstract: 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 to improve optimization the efficiency considerably. The optimization effectiveness was measured in terms of the mean and standard deviation of the number of function evaluations required to achieve the target. Comp… Show more

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Cited by 2 publications
(1 citation statement)
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“…Mitic addresses the problem of selecting a suitable method to solve a black-box optimization problem that uses noisy data in the article "Operational Risk Reverse Stress Testing: Optimal Solutions" [9]. A targeted stop condition for the function to be optimized, implemented as a stochastic algorithm, makes established Bayesian methods inadmissible.…”
Section: Conceição Et Al Presented New Operator Theory Algorithms Rel...mentioning
confidence: 99%
“…Mitic addresses the problem of selecting a suitable method to solve a black-box optimization problem that uses noisy data in the article "Operational Risk Reverse Stress Testing: Optimal Solutions" [9]. A targeted stop condition for the function to be optimized, implemented as a stochastic algorithm, makes established Bayesian methods inadmissible.…”
Section: Conceição Et Al Presented New Operator Theory Algorithms Rel...mentioning
confidence: 99%