Optimization and fitness function for robustness vs for performance

Optimization and fitness function for robustness vs for performance

Kiran
2015-04-11 20:56:59

Several systems end up being over-optimized and seldom perform out-of-sample.

Is there a fitness function that would help ensure robustness of the system (vs performance) and would yield the best out-of-sample performance?

Another way is to have the PBIL/Genetic optimizer to "hunt down" combinations that also perform well out-of-sample to ensure robustness, before presenting the prioritized results.

Kiran

QuantShare
2015-04-13 02:43:24

Unfortunately, there is no such magic fitness function. Your systems end up being over-optimized because of its rules/logic. That is what you need to change, not the fitness function.

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