Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: ParDen: Surrogate Assisted Hyper-Parameter Optimisation for Portfolio
  Selection   Portfolio optimisation is a multi-objective optimisation problem (MOP), where
an investor aims to optimise the conflicting criteria of maximising a
portfolio's expected return whilst minimising its risk and other costs.
However, selecting a portfolio is a computationally expensive problem because
of the cost associated with performing multiple evaluations on test data
("backtesting") rather than solving the convex optimisation problem itself. In
this research, we present ParDen, an algorithm for the inclusion of any
discriminative or generative machine learning model as a surrogate to mitigate
the computationally expensive backtest procedure. In addition, we compare the
performance of alternative metaheuristic algorithms: NSGA-II, R-NSGA-II,
NSGA-III, R-NSGA-III, U-NSGA-III, MO-CMA-ES, and COMO-CMA-ES. We measure
performance using multi-objective performance indicators, including
Generational Distance Plus, Inverted Generational Distance Plus and
Hypervolume. We also consider meta-indicators, Success Rate and Average
Executions to Success Rate, of the Hypervolume to provide more insight into the
quality of solutions. Our results show that ParDen can reduce the number of
evaluations required by almost a third while obtaining an improved Pareto front
over the state-of-the-art for the problem of portfolio selection.

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The categories of this paper are: astro-ph
33
The categories of this paper are: plasm-ph
30
The categories of this paper are: q-alg
22
The categories of this paper are: chao-dyn
15
The categories of this paper are: nucl-ex
2
The categories of this paper are: math
34
The categories of this paper are: chem-ph
32
The categories of this paper are: atom-ph
0
The categories of this paper are: hep-ph
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The categories of this paper are: math-ph
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The categories of this paper are: hep-th
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The categories of this paper are: q-fin
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The categories of this paper are: econ
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The categories of this paper are: patt-sol
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The categories of this paper are: gr-qc
20
The categories of this paper are: acc-phys