Evolutionary fuzzy hybrid neural network for project cash flow control

This paper develops an evolutionary fuzzy hybrid neural network (EFHNN) to enhance project cash flow management. The developed EFHNN combines neural networks (NN) and high order neural networks (HONN) into a hybrid neural network (HNN), which acts as the major inference engine and operates with alternating linear and nonlinear NN layer connections. Fuzzy logic is employed to sandwich the HNN between a fuzzification and defuzzification layer. The authors developed and applied the EFHNN to sequential cash flow trend problems by fusing HNN, FL, and GA. Results show that the proposed EFHNN can be deployed effectively to sequential cash flow estimation. The performance of linear and nonlinear (high order) neuron layer connectors in the EFHNN was significantly better than the performance achieved by previous models that used singular linear NN. Trained results were used for the prediction and strategic management of project cash flow. The proposed strategy can assist project managers to control project cash flows within the banana envelope of the S-curve to enhance project success.     

基于量子行为粒子群优化方法的随机规划算法

在不断变化的金融市场中,多阶段投资组合优化通过周期性地重组投资对象来追求回报最大,风险最小。提出了使用基于量子化行为的粒子群优化算法（Quantum-behaved Particle Swarm Optimization,QPSO）解决多阶段投资优化问题,并使用经典的利润风险函数作为目标函数,通过算法对标准普尔指数100的不同股票和现金进行投资组合的优化研究。根据实验得出的期望收益率与方差表明,QPSO算法在寻找全局最优解方面要优于粒子群算法（Particle Swarm Optimization,PSO）和遗传算法（Genetic Algorithm,GA）。     

Mean-variance model for fuzzy capital budgeting

In an uncertain economic environment, it is usually difficult to predict accurately the investment outlays and annual net cash flows of a project. In addition, available investment capital sometimes cannot be accurately given either. Fuzzy variables can reflect vagueness of these parameters. In this paper, capital budgeting problem with fuzzy investment outlays, fuzzy annual net cash flows and fuzzy available investment capital is studied based on credibility measure. One new mean-variance model is proposed for optimal capital allocation. A fuzzy simulation-based genetic algorithm is provided for solving the proposed optimization problem. One numerical example and an experiment are also presented to show the optimization idea and the effectiveness of the algorithm.     

Fuzzy R&D portfolio selection of interdependent projects

Global competition of markets has forced firms to invest in targeted R&D projects so that resources can be focused on successful outcomes. A number of options are encountered to select the most appropriate projects in an R&D project portfolio selection problem. The selection is complicated by many factors, such as uncertainty, interdependences between projects, risk and long lead time, that are difficult to measure. Our main concern is how to deal with the uncertainty and interdependences in project portfolio selection when evaluating or estimating future cash flows. This paper presents a fuzzy multi-objective programming approach to facilitate decision making in the selection of R&D projects. Here, we present a fuzzy tri-objective R&D portfolio selection problem which maximizes the outcome and minimizes the cost and risk involved in the problem under the constraints on resources, budget, interdependences, outcome, projects occurring only once, and discuss how our methodology can be used to make decision support tools for optimal R&D project selection in a corporate environment. A case study is provided to illustrate the proposed method where the solution is done by genetic algorithm (GA) as well as by multiple objective genetic algorithm (MOGA).     

A novel learning based approach for a new integrated location-routing and scheduling problem within cross-docking considering direct shipment

One of the most important problem in supply chain management is the design of distribution systems which can reduce the transportation costs and meet the customer's demand at the minimum time. In recent years, cross-docking (CD) centers have been considered as the place that reduces the transportation and inventory costs. Meanwhile, neglecting the optimum location of the centers and the optimum routing and scheduling of the vehicles mislead the optimization process to local optima. Accordingly, in this research, the integrated vehicle routing and scheduling problem in cross-docking systems is modeled. In this new model, the direct shipment from the manufacturers to the customers is also included. Besides, the vehicles are assigned to the cross-dock doors with lower cost. Next, to solve the model, a novel machine-learning-based heuristic method (MLBM) is developed, in which the customers, manufacturers and locations of the cross-docking centers are grouped through a bi-clustering approach. In fact, the MLBM is a filter based learning method that has three stages including customer clustering through a modified bi-clustering method, sub-problems’ modeling and solving the whole model. In addition, for solving the scheduling problem of vehicles in cross-docking system, this paper proposes exact solution as well as genetic algorithm (GA). GA is also adapted for large-scale problems in which exact methods are not efficient. Furthermore, the parameters of the proposed GA are tuned via the Taguchi method. Finally, for validating the proposed model, several benchmark problems from literature are selected and modified according to new introduced assumptions in the base models. Different statistical analysis methods are implemented to assess the performance of the proposed algorithms.     

Variable neighbourhood search and tabu search for a discrete time/cost trade-off problem to minimize the maximal cash flow gap

This paper addresses a project scheduling problem (PSP) where the activities can be performed with several discrete modes and with four different payment patterns. Cash outflows depend on the activities’ execution modes, while cash inflows are determined by the payment pattern. Under project deadline constraints, the objective is to minimize the maximal cash flow gap, which is defined as the greatest gap between the accumulative cash inflows and outflows over the course of the project. Based on the definition of the problem, the optimization models are constructed using the activity-based method. Due to the NP-hardness of the problem, the mixed and nested versions of variable neighbourhood search (VNS), tabu search (TS), and variable neighbourhood search with tabu search (VNS-TS) are developed. Based on the characteristics of the problem, two improvement measures are proposed and embedded into the algorithms. Through a computational experiment conducted on a data set generated randomly, the performance of the developed algorithms, the contributions of the improvement measures, and the effects of the key parameters on the objective function are analysed. Based on the computational results, the following conclusions are drawn: Among the algorithms developed, the nested version of the VNS-TS is the most promising algorithm, especially for larger problems. The maximal cash flow gap decreases with the increase of the advance payment proportion, payment number, payment proportion, or project deadline. Among the four payment patterns, the expense based and progress based payment patterns may be more favourable for contractors to decrease the gap. The research in this paper has practical implications for contractors to smooth their cash flows and academic implications for project scheduling research due to the introduction of a new objective.     

基于遗传算法的IP网流量优化算法

流量工程通过对IP网流量的优化以更有效利用网络资源。现有研究的一个重要方向是把流量工程问题用线性规划建模,并利用传统的Simplex算法求得最优解,文章提出了一种基于遗传算法的求解方法,从一组随机选取的解(染色体)出发,经过交叉、突变等基因进化操作和多代的选择,最终达到预先设定的适应度准则;给出仿真结果和相关讨论;显示该文算法在运算量,处理动态流量需求等方面有较好的应用前景。     

An improved genetic algorithm with conditional genetic operators and its application to set-covering problem

The genetic algorithm (GA) is a popular, biologically inspired optimization method. However, in the GA there is no rule of thumb to design the GA operators and select GA parameters. Instead, trial-and-error has to be applied. In this paper we present an improved genetic algorithm in which crossover and mutation are performed conditionally instead of probability. Because there are no crossover rate and mutation rate to be selected, the proposed improved GA can be more easily applied to a problem than the conventional genetic algorithms. The proposed improved genetic algorithm is applied to solve the set-covering problem. Experimental studies show that the improved GA produces better results over the conventional one and other methods.     

Scatter search for the stochastic travel-time vehicle routing problem with simultaneous pick-ups and deliveries

In parallel with the growth of both domestic and international economies, there have been substantial efforts in making manufacturing and service industries more environmental friendly (i.e., promotion of environmental protection). Today manufacturers have become much more concerned with coordinating the operations of manufacturing (for new products) and recycling (for reuse of resources) together with scheduling the forward/reverse flows of goods over a supply chain network. The stochastic travel-time vehicle routing problem with simultaneous pick-ups and deliveries (STT-VRPSPD) is one of the major operations problems in bi-directional supply chain research. The STT-VRPSPD is a very challenging and difficult combinatorial optimization problem due to many reasons such as a non-monotonic increase or decrease of vehicle capacity and the stochasticity of travel times. In this paper, we develop a new scatter search (SS) approach for the STT-VRPSPD by incorporating a new chance-constrained programming method. A generic genetic algorithm (GA) approach for STT-VRPSPD is also developed and used as a reference for performance comparison. The Dethloff data will be used to evaluate the performance characteristics of both SS and GA approaches. The computational results suggest that the SS solutions are superior to the GA solutions.     

A Genetic Algorithm Based on Relaxation Induced Neighborhood Search in a Local Branching Framework for Capacitated Multicommodity Network Design

The fixed-charge Capacitated Multicommodity Network Design (CMND) is a well-known problem of both practical and theoretical significance. This article proposes the Genetic Algorithm (GA) cooperative Relaxation Induced Neighborhood Search (RINS) in a Local Branching (LB) framework for CMND problem. GA algorithm is started by initial population which is made by two parents obtain from hybrid LB and RINS algorithms. The basic idea of the proposed solution method is to use the GA algorithm to explore the search space and the hybrid LB and RINS methods to move from current solution to neighbor solution. Adapting the metaheuristic algorithm with RINS method to fit within an LB framework represents an interesting challenge. To evaluate the proposed algorithm, the standard problems with different sizes are used. The parameters of the algorithm are tuned by design of experiments. In order to prove the efficiency and effectiveness of the proposed algorithm, the results are compared with the best results available in the literature. The statistical analysis shows high performance of the proposed algorithm.     

A class decomposition approach for GA-based classifiers

Genetic algorithm (GA) has been used as a conventional method for classifiers to evolve solutions adaptively for classification problems. In this paper, a new approach using class decomposition is proposed to improve the performance of GA-based classifiers. A classification problem is fully partitioned into several class modules in the output domain and each module is responsible for solving a fraction of the original problem. These modules are trained in parallel and independently and the results obtained are integrated and evolved further for a final solution. A scheme based on Fisher's linear discriminant (FLD) computation is used to estimate the difficulty of separating two classes. Based on the FLD information derived, different integration approaches are proposed and their performance is compared. The experiment results on a benchmark data set show that class decomposition can achieve higher classification rate than the normal GA and FLD-based integration improves the classification accuracy further.     

Surface registration using a dynamic genetic algorithm

Robust and fast free-form surface registration is a useful technique in various areas such as object recognition and 3D model reconstruction for animation. Notably, an object model can be constructed, in principle, by surface registration and integration of range images of the target object from different views. In this paper, we propose to formulate the surface registration problem as a high dimensional optimization problem, which can be solved by a genetic algorithm (GA) (Genetic Algorithms in Search Optimization and Machine Learning, Addison-Wesley, Reading, MA, 1989). The performance of the GA for surface registration is highly dependent on its speed in evaluating the fitness function. A novel GA with a new fitness function and a new genetic operator is proposed. It can compute an optimal registration 1000 times faster than a conventional GA. The accuracy, speed and the robustness of the proposed method are verified by a number of real experiments.     

An Electromagnetism-like algorithm for cell formation and layout problem

Implementation of cellular manufacturing systems (CMS) is thriving among manufacturing companies due to many advantages that are attained by applying this system. In this study CMS formation and layout problems are considered. An Electromagnetism like (EM-like) algorithm is developed to solve the mentioned problems. In addition the required modifications to make EM-like algorithm applicable in these problems are mentioned. A heuristic approach is developed as a local search method to improve the quality of solution of EM-like. Beside in order to examine its performance, it is compared with two other methods. The performance of EM-like algorithm with proposed heuristic and GA are compared and it is demonstrated that implementing EM-like algorithm in this problem can improve the results significantly in comparison with GA. In addition some statistical tests are conducted to find the best performance of EM-like algorithm and GA due to their parameters. The convergence diagrams are plotted for two problems to compare the convergence process of the algorithms. For small size problems the performances of the algorithms are compared with an exact algorithm (Branch & Bound).     

Scheduling Multi-Mode Projects under Uncertainty to Optimize Cash Flows: A Monte Carlo Ant Colony System Approach

Project scheduling under uncertainty is a challenging field of research that has attracted increasing attention. While most existing studies only consider the single-mode project scheduling problem under uncertainty, this paper aims to deal with a more realistic model called the stochastic multi-mode resource constrained project scheduling problem with discounted cash flows (S-MRCPSPDCF). In the model, activity durations and costs are given by random variables. The objective is to find an optimal baseline schedule so that the expected net present value (NPV) of cash flows is maximized. To solve the problem, an ant colony system (ACS) based approach is designed. The algorithm dispatches a group of ants to build baseline schedules iteratively using pheromones and an expected discounted cost (EDC) heuristic. Since it is impossible to evaluate the expected NPV directly due to the presence of random variables, the algorithm adopts the Monte Carlo (MC) simulation technique. As the ACS algorithm only uses the best-so-far solution to update pheromone values, it is found that a rough simulation with a small number of random scenarios is enough for evaluation. Thus the computational cost is reduced. Experimental results on 33 instances demonstrate the effectiveness of the proposed model and the ACS approach.     

运用遗传算法实现项目调度中的现金流优化

多模式的资源受限项目调度问题(MRCPSP)是生产实践中的一类常见的重要问题,它具有NP-完全性质,难以在多项式时间内准确求解.现金流是项目财务管理及风险评估的重要指标,实现现金流优化对项目管理具有重要的意义.考虑了现金流优化与项目调度相结合的带折现流的多模式资源受限项目调度模型(MRCPSPDCF),首先对该模型建模,然后给出运用遗传算法求解的具体方案,考虑了里程碑事件和相等时间间隔两种支付方式,在仿真实验中比较了这两种支付方式的实验结果,并证明了遗传算法的有效性.     

RCPSP中现金流优化问题的HGA方法

针对网络进度计划中财务方面对项目管理的影响 ,研究资源受限项目调度问题 (RCPSP)中网络现金流的优化问题。提出以网络净现值最大作为网络现金流优化的目标 ,建立了带有贴现率的非线性整数规划模型 ,采用遗传算法与模拟退火算法相结合的混合式遗传算法进行求解。仿真实例表明了方法的合理性和有效性。     

基于遗传算法的蛋白质质谱数据特征选择

针对蛋白质质谱数据在降维、分类及生物标记物识别过程中存在的问题,提出一种基于遗传算法的特征选择方法,介绍几种常用的相关策略,包括基于排列和精英保留的随机通用采样选择策略和基于自适应变肄率的均匀变异策略,给出2个适应度函数——封装器函数与多变元筛选器函数,将它们引入遗传算法中,并进行性能测试与比较。实验结果表明,基于封装器的遗传算法性能优于其他特征选择算法,而基于多变元筛选器的遗传算法性能优于单变元筛选器算法。     

A heuristic-based hybrid genetic-variable neighborhood search algorithm for task scheduling in heterogeneous multiprocessor system

Effective task scheduling, which is essential for achieving high performance in a heterogeneous multiprocessor system, remains a challenging problem despite extensive studies. In this article, a heuristic-based hybrid genetic-variable neighborhood search algorithm is proposed for the minimization of makespan in the heterogeneous multiprocessor scheduling problem. The proposed algorithm distinguishes itself from many existing genetic algorithm (GA) approaches in three aspects. First, it incorporates GA with the variable neighborhood search (VNS) algorithm, a local search metaheuristic, to exploit the intrinsic structure of the solutions for guiding the exploration process of GA. Second, two novel neighborhood structures are proposed, in which problem-specific knowledge concerned with load balancing and communication reduction is utilized respectively, to improve both the search quality and efficiency of VNS. Third, the proposed algorithm restricts the use of GA to evolve the task-processor mapping solutions, while taking advantage of an upward-ranking heuristic mostly used by traditional list scheduling approaches to determine the task sequence assignment in each processor. Empirical results on benchmark task graphs of several well-known parallel applications, which have been validated by the use of non-parametric statistical tests, show that the proposed algorithm significantly outperforms several related algorithms in terms of the schedule quality. Further experiments are carried out to reveal that the proposed algorithm is able to maintain high performance within a wide range of parameter settings.     

GENETIC ALGORITHM MODEL FOR PROFIT MAXIMIZATION OF GENERATING COMPANIES IN DEREGULATED ELECTRICITY MARKETS

In deregulated and rapidly changing electricity markets, there is strong interest on how to solve the new price-based unit commitment (PBUC) problem used by each generating company to optimize its generation schedule in order to maximize its profit. This article proposes a genetic algorithm (GA) solution to the PBUC problem. The advantages of the proposed GA are: 1) flexibility in modeling problem constraints because the PBUC problem is not decomposed either by time or by unit; 2) smooth and easier convergence to the optimum solution thanks to the proposed variable fitness function which not only penalizes solutions that violate the constraints but also this penalization is smoothly increasing as the number of generations increases; 3) easy implementation to work on parallel computers, and 4) production of multiple unit commitment schedules, some of which may be well suited to situations that may arise quickly due to unexpected contingencies. The method has been applied to systems of up to 120 units and the results show that the proposed GA constantly outperforms the Lagrangian relaxation PBUC method for systems with more than 60 units. Moreover, the difference between the worst and the best GA solution is very small, ranging from 0.10% to 0.49%.     

A fuzzy GARCH model applied to stock market scenario using a genetic algorithm

In this paper, we derive a new application of fuzzy systems designed for a generalized autoregression conditional heteroscedasticity (GARCH) model. In general, stock market performance is time-varying and nonlinear, and exhibits properties of clustering. The latter means simply that certain large changes tend to follow other large changes, and in general small changes tend to follow other small changes. This paper shows results from using the method of functional fuzzy systems to analyze the clustering in the case of a GARCH model.The optimal parameters of the fuzzy membership functions and GARCH model are extracted using a genetic algorithm (GA). The GA method aims to achieve a global optimal solution with a fast convergence rate for this fuzzy GARCH model estimation problem. From the simulation results, we have determined that the performance is significantly improved if the leverage effect of clustering is considered in the GARCH model. The simulations use stock market data from the Taiwan weighted index (Taiwan) and the NASDAQ composite index (NASDAQ) to illustrate the performance of the proposed method.