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Copula selection for graphical models in continuous Estimation of Distribution Algorithms

Author

Listed:
  • Rogelio Salinas-Gutiérrez
  • Arturo Hernández-Aguirre
  • Enrique Villa-Diharce

Abstract

This paper presents the use of graphical models and copula functions in Estimation of Distribution Algorithms (EDAs) for solving multivariate optimization problems. It is shown in this work how the incorporation of copula functions and graphical models for modeling the dependencies among variables provides some theoretical advantages over traditional EDAs. By means of copula functions and two well known graphical models, this paper presents a novel approach for defining new EDAs. Either dependence is modeled by a copula function chosen from a predefined set of six functions that aim to cover a wide range of inter-relations. It is also shown how the use of mutual information in the learning of graphical models implies a natural way of employing copula entropies. The experimental results on separable and non-separable functions show that the two new EDAs, which adopt copula functions to model dependencies, perform better than their original version with Gaussian variables. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Rogelio Salinas-Gutiérrez & Arturo Hernández-Aguirre & Enrique Villa-Diharce, 2014. "Copula selection for graphical models in continuous Estimation of Distribution Algorithms," Computational Statistics, Springer, vol. 29(3), pages 685-713, June.
    • Handle: RePEc:spr:compst:v:29:y:2014:i:3:p:685-713
    DOI: 10.1007/s00180-013-0457-y
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    References listed on IDEAS

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    4. Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
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