论文标题
使用适用于非线性回归的组合优化元启发式学估算哥斯达黎加的产量曲线
Estimation of the yield curve for Costa Rica using combinatorial optimization metaheuristics applied to nonlinear regression
论文作者
论文摘要
利率或收益率曲线的术语结构是将利率与其任期相关的功能。使用哥斯达黎加国家证券交易所提供的一系列历史数据样本，使用了尼尔森 - 塞格尔和斯文森的非线性回归模型来估计产量曲线。通过使用四种众所周知的组合优化元启发式学来解决模型参数估计过程中涉及的优化问题：蚂蚁集属优化，遗传算法，粒子群群优化和模拟退火。该研究的目的是改善使用下降方向通过经典的准牛顿优化方法获得的局部最小值。具有至少两种元启发术的良好结果，粒子群优化和模拟退火。关键字：屈服曲线，非线性回归，尼尔森 -
The term structure of interest rates or yield curve is a function relating the interest rate with its own term. Nonlinear regression models of Nelson-Siegel and Svensson were used to estimate the yield curve using a sample of historical data supplied by the National Stock Exchange of Costa Rica. The optimization problem involved in the estimation process of model parameters is addressed by the use of four well known combinatorial optimization metaheuristics: Ant colony optimization, Genetic algorithm, Particle swarm optimization and Simulated annealing. The aim of the study is to improve the local minima obtained by a classical quasi-Newton optimization method using a descent direction. Good results with at least two metaheuristics are achieved, Particle swarm optimization and Simulated annealing. Keywords: Yield curve, nonlinear regression, Nelson-
