Multiobjective Evolutionary Algorithms for Portfolio Management: A comprehensive literature review

In this paper we provide a review of the current state of research on Portfolio Management with the support of Multiobjective Evolutionary Algorithms (MOEAs). Second we present a methodological framework for conducting a comprehensive literature review on the Multiobjective Evolutionary Algorithms (MOEAs) for the Portfolio Management. Third, we use this framework to gain an understanding of the current state of the MOEAs for the Portfolio Management research field and fourth, based on the literature review, we identify areas of concern with regard to MOEAs for the Portfolio Management research field.     

Multiobjective Groundwater Management Using Evolutionary Algorithms

Sustainable management of groundwater resources is of crucial importance for regions where freshwater supply is naturally limited. Long-term planning of groundwater usage requires computer-based decision support tools: on the one hand, they must be able to predict the complex system dynamics with sufficient accuracy, on the other, they must allow exploring management scenarios with respect to different criteria such as sustainability, cost, etc. In this paper, we present a multiobjective evolutionary algorithm for groundwater management that optimizes the placement and the operation of pumping facilities over time, while considering multiple neighboring regions which are economically independent. The algorithm helps in investigating the cost tradeoffs between the different regions by providing an approximation of the Pareto-optimal set, and its capabilities are demonstrated on a three-region problem. The application of the proposed methodology can also serve as a benchmark problem as shown in this paper. The corresponding implementation is freely available as a precompiled module at http://www.tik.ee.ethz.ch/pisa.     

多目标进化算法中多样性策略的研究

进化多目标优化中由于进化算子固有的随机误差以及进化过程中选择压力和选择噪音的影响使得进化群体容易丧失多样性,而保持进化群体的多样性不仅有利于进化群体搜索,而且也是多目标优化的重要目标。对多目标进化算法的多样性策略进行了分类,在统一的框架下描述了各种策略的机制,并分析了各自的特性。随后,分析并比较了多样性保持算子的复杂度。最后,证明了一般意义下多目标进化算法的收敛性,指出在设计新的多样性策略中需要保证进化世代间的单调性,避免出现退化现象。     

改进的和声搜索算法求解多目标优化问题

针对和声搜索算法在求解多目标问题时效率不高、易陷入局部最优、在算法后期收敛精度不够等不足.提出一种改进的多目标和声搜索算法,其思想是通过引入自适应操作,加强算法的全局搜索能力,增加解的多样性;同时对解集根据Pareto最优解进行非支配排序,提高算法效率,增加算法在后期的收敛精度.在数值仿真实验中选取4个测试函数进行实验...     

EvoOligo: Oligonucleotide Probe Design With Multiobjective Evolutionary Algorithms

Probe design is one of the most important tasks in successful deoxyribonucleic acid microarray experiments. We propose a multiobjective evolutionary optimization method for oligonucleotide probe design based on the multiobjective nature of the probe design problem. The proposed multiobjective evolutionary approach has several distinguished features, compared with previous methods. First, the evolutionary approach can find better probe sets than existing simple filtering methods with fixed threshold values. Second, the multiobjective approach can easily incorporate the user's custom criteria or change the existing criteria. Third, our approach tries to optimize the combination of probes for the given set of genes, in contrast to other tools that independently search each gene for qualifying probes. Lastly, the multiobjective optimization method provides various sets of probe combinations, among which the user can choose, depending on the target application. The proposed method is implemented as a platform called EvoOligo and is available for service on the Web. We test the performance of EvoOligo by designing probe sets for 19 types of Human Papillomavirus and 52 genes in the Arabidopsis Calmodulin multigene family. The design results from EvoOligo are proven to be superior to those from well-known existing probe design tools, such as OligoArray and OligoWiz.     

基于多目标进化算法的目标规划研究

1 引言目标规划是一类十分实用的重要模型,与一般多目标最优化模型不同,这类模型并不是考虑对各个目标进行极小化或极大化,而是希望在约束条件限制下,每一个目标都尽可能地接近于事先给定的各自对应的目标值。由于这类模型在处理问题时具有比较灵活、简便的特点,因而在工程技术和管理中应用非常广泛。本文研究逼近目标规划模型:     

求解多目标问题的Memetic免疫优化算法

将基于Pareto支配关系的局部下山算子和差分算子引入免疫多目标优化算法之中,提出了一种求解多目标问题的Memetic免疫优化算法(Memetic immune algorithm for multiobjective optimization,简称MIAMO).该算法利用种群中抗体在决策空间上的位置关系设计了两种有效的启发式局部搜索策略,提高了免疫多目标优化算法的求解效率.仿真实验结果表明,MIAMO与其他4种有效的多目标优化算法相比,不仅在求得Pareto最优解集的逼近性、均匀性和宽广性上有明显优势,而且算法的收敛速度与免疫多目标优化算法相比明显加快.     

多目标进化算法中选择策略的研究

在多目标进化算法(multiobjective evolutiorlsry algorithms,MOEAs)的文献中,对算法的选择策略进行系统研究的还很少,而MOEAs的选择策略不仅引导算法的搜索过程、决定搜索的方向而且对算法的收敛性有重要的影响,它是算法能否成功求解多目标优化问题的关键因素之一.在统一的框架下,首先讨论了多目标优化问题中适应度函数的构造问题,然后根据MOEAs的选择机制和原理将它们的选择策略重新分成了6种类型.一般文献中很少对多目标进化算法的操作算子采用符号化描述,这样不利于对算子的深层次理解,符号化描述了各类选择策略的操作机制和原理,并分析了各类策略的优劣性.最后,从理论上证明了具备一定特征的多目标进化算法的收敛性,证明的过程表明了将算法运行终止时得到的P known作为多目标优化问题的Pareto最优解集或近似最优解集的合理性.     

Pareto最优概念的多目标进化算法综述

群体搜索策略和群体间个体之间的信息交换是进化算法在解决多目标优化问题上的两大优势.目前,基于Pareto最优概念的多目标进化算法已成为多目标优化问题研究的主流方向.详细介绍了该领域的经典算法,特别对各种算法在种群快速收敛并均匀分布于问题的非劣最优域上所采取的策略进行了阐述,并归纳了算法性能评估中需要深入研究的问题.     

Local Search Algorithms for SAT: An Empirical Evaluation

Local search algorithms are among the standard methods for solving hard combinatorial problems from various areas of artificial intelligence and operations research. For SAT, some of the most successful and powerful algorithms are based on stochastic local search, and in the past 10 years a large number of such algorithms have been proposed and investigated. In this article, we focus on two particularly well-known families of local search algorithms for SAT, the GSAT and WalkSAT architectures. We present a detailed comparative analysis of these algorithms" performance using a benchmark set that contains instances from randomized distributions as well as SAT-encoded problems from various domains. We also investigate the robustness of the observed performance characteristics as algorithm-dependent and problem-dependent parameters are changed. Our empirical analysis gives a very detailed picture of the algorithms" performance for various domains of SAT problems; it also reveals a fundamental weakness in some of the best-performing algorithms and shows how this can be overcome.     

一种新的基于进化策略的多目标优化算法

用进化策略求解多目标优化问题时,为了提高解在决策变量空间中的搜索能力和保证Pareto前沿的多样性,提出了一种新的基于进化策略的多目标优化算法。运用自适应变异步长的进化策略,使解在决策变量空间中进行全局和局部搜索;并引入非劣解按一定比例进入下一代的方法,使完全被占优的个体有机会参与到下一代的繁殖,保持了解在Pareto前沿的多样性。该算法在保证解在决策空间多样性的同时,也保持了Pareto前沿的多样性。仿真实验表明,该算法具有良好的搜索性能。     

Explicit Multiobjective Evolutionary Algorithms for Flow Shop Scheduling with Missing Operations

Programming and Computer Software - The impact of Industry 4.0 on production systems has significantly enhanced personalized production services for products customization, implying that production...     

SAT Local Search Algorithms: Worst-Case Study

Recent experiments demonstrated that local search algorithms (e.g. GSAT) are able to find satisfying assignments for many hard Boolean formulas. A wide experimental study of these algorithms demonstrated their good performance on some inportant classes of formulas as well as poor performance on some other ones. In contrast, theoretical knowledge of their worst-case behavior is very limited. However, many worst-case upper and lower bounds of the form 2 ⁿ (<1 is a constant) are known for other SAT algorithms, for example, resolution-like algorithms. In the present paper we prove both upper and lower bounds of this form for local search algorithms. The class of linear-size formulas we consider for the upper bound covers most of the DIMACS benchmarks; the satisfiability problem for this class of formulas is NP-complete.     

Interactive Evolutionary Multiobjective Search and Optimization of Set-Based Concepts

This paper deals with interactive concept-based multiobjective problems (IC-MOPs) and their solution by an evolutionary computation approach. The presented methodology is motivated by the need to support engineers during the conceptual design stage. IC-MOPs are based on a nontraditional concept-based approach to search and optimization. It involves conceptual solutions, which are represented by sets of particular solutions, with each concept having a one-to-many relation with the objective space. Such a set-based concept representation is most suitable for human–computer interaction. Here, a fundamental type of IC-MOPs, namely, the Pareto-directed one, is formally defined, and its solution is presented. Next, a new interactive concept-based multiobjective evolutionary algorithm is introduced, and measures to assess its resulting fronts are devised. Finally, the proposed approach and the suggested search algorithm are studied using both academic test functions and an engineering problem.      

Local Search Algorithms for the Red-Blue Median Problem

In this paper, we consider the following red-blue median problem which is a generalization of the well-studied k-median problem. The input consists of a set of red facilities, a set of blue facilities, and a set of clients in a metric space and two integers k _r ,k _b ≥0. The problem is to open at most k _r red facilities and at most k _b blue facilities and minimize the sum of distances of clients to their respective closest open facilities.     

一种基于区域局部搜索的NSGA II算法

针对局部搜索类非支配排序遗传算法 (Nondominated sorting genetic algorithms, NSGA II)计算量大的问题, 提出一种基于区域局部搜索的NSGA II算法(NSGA II based on regional local search, NSGA II-RLS). 首先对当前所有种群进行非支配排序, 根据排序结果获得交界点和稀疏点, 将其定义为交界区域和稀疏区域中心; 其次, 围绕交界点和稀疏点进行局部搜索. 在局部搜索过程中, 同时采用极限优化策略和随机搜索策略以提高解的质量和收敛速度, 并设计自适应参数动态调节局部搜索范围. 通过ZDT和DTLZ系列基准函数对NSGA II-RLS算法进行验证, 并将结果与其他局部搜索类算法进行对比, 实验结果表明NSGA II-RLS算法在较短时间内收敛速度和解的质量方面均优于所对比算法.     

基于增强型kick策略的ILS算法求解一类聚类问题

提出一种新型的基于环交换邻域的迭代局部搜索算（ILS）．用于求解一类聚类问题,算法的主要特点是：1）基于环交换的邻域结构;环交换邻域与传统的Swap和Insert邻域相比,算法在一次迭代中允许多个点同时移动;2）针对聚类问题提出了增强型的kick移动策略：根据每组内点的密度分布摄动聚类中心,对给定的解重新聚类,实验结果表明,基于环交换的迭代局部搜索算法对求解该类聚类问题是有效的．     

Memetic algorithm with Preferential Local Search using adaptive weights for multi-objective optimization problems

Evolutionary multi-objective optimization algorithms are generally employed to generate Pareto optimal solutions by exploring the search space. To enhance the performance, exploration by global search can be complemented with exploitation by combining it with local search. In this paper, we address the issues in integrating local search with global search such as: how to select individuals for local search; how deep the local search is performed; how to combine multiple objectives into single objective for local search. We introduce a Preferential Local Search mechanism to fine tune the global optimal solutions further and an adaptive weight mechanism for combining multi-objectives together. These ideas have been integrated into NSGA-II to arrive at a new memetic algorithm for solving multi-objective optimization problems. The proposed algorithm has been applied on a set of constrained and unconstrained multi-objective benchmark test suite. The performance was analyzed by computing different metrics such as Generational distance, Spread, Max spread, and HyperVolume Ratio for the test suite functions. Statistical test applied on the results obtained suggests that the proposed algorithm outperforms the state-of-art multi-objective algorithms like NSGA-II and SPEA2. To study the performance of our algorithm on a real-world application, Economic Emission Load Dispatch was also taken up for validation. The performance was studied with the help of measures such as Hypervolume and Set Coverage Metrics. Experimental results substantiate that our algorithm has the capability to solve real-world problems like Economic Emission Load Dispatch and is able to produce better solutions, when compared with NSGA-II, SPEA2, and traditional memetic algorithms with fixed local search steps.