copulaedas: An R Package for Estimation of Distribution Algorithms Based on Copulas

نویسندگان

  • Yasser González-Fernández
  • Marta Soto
چکیده

The use of probabilistic models based on copulas in EDAs (Estimation of Distribution Algorithms) is currently an active area of research. In this context, the copulaedas package for R intends to provide a platform where EDAs based on copulas can be implemented and studied. The package offers complete implementations of various EDAs based on copulas and vines, a group of well-known benchmark problems, and utility functions to study the behavior of EDAs. It is also possible to implement new algorithms that can be easily integrated into the package, since EDAs are defined using S4 classes with generic functions for its main components. This paper presents copulaedas by providing an overview of EDAs based on copulas, a description of the implementation of the package, and an illustration of its use with examples. The examples include running the EDAs implemented in the package, implementing new algorithms, and performing an empirical study to compare the behavior of a group of algorithms on benchmark functions and a real-world problem.

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Parameter Estimation of Some Archimedean Copulas Based on Minimum Cramér-von-Mises Distance

The purpose of this paper is to introduce a new estimation method for estimating the Archimedean copula dependence parameter in the non-parametric setting. The estimation of the dependence parameter has been selected as the value that minimizes the Cramér-von-Mises distance which measures the distance between Empirical Bernstein Kendall distribution function and true Kendall distribution functi...

متن کامل

A Survey of Estimation of Distribution Algorithms Based on Copulas

The use of probabilistic models based on copulas in Estimation of Distribution Algorithms (EDAs) has been identi ed as an emerging research trend on these algorithms for continuous domains. By using copulas, the e ect of the dependence structure and the margins in a joint distribution can be represented separately. Consequently, EDAs based on copulas inherit these characteristics and are able t...

متن کامل

Analysis of Dependency Structure of Default Processes Based on Bayesian Copula

One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...

متن کامل

Enjoy the Joy of Copulas

Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas. This article presents the design, features, and some implementation details of the R package copula. The package provides a carefully designed and easily extensible platform for multivaria...

متن کامل

A GLM-Based Method to Estimate a Copula\'s Parameter(s)

Abstract. This study introduces a new approach to problem of estimating parameter(s) of a given copula. More precisely, using the concept of the generalized linear models (GLM) accompanied with least square method, we introduce an estimation method, say GLM-method. A simulation study has been conducted to provide a omparison among the inversion of Kendal’s tau, the inversion of Spearman’s rho,...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

عنوان ژورنال:
  • CoRR

دوره abs/1209.5429  شماره 

صفحات  -

تاریخ انتشار 2012