Optimization problem with complex constrain

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Optimization multi-objective Parallel

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  • fast-cma-es

    A Python 3 gradient-free optimization library

    • essentially the accumulated value of the portfolio after 50 years not clear to me how this can be linear - looks quite "exponential" without knowing the details. Can you exploit the "has to be greater than 0" condition to simplify the constraint into a linear one? "because at each time step there will be a decision" probably means the answer is "no". But don't overestimate the complexity of nonlinear optimizaiton (see for instance https://github.com/dietmarwo/fast-cma-es/blob/master/tutorials/CryptoTrading.adoc ), most of the complexity is hidden in the algorithm itself not visible for the user.

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