On an evolutionary approach for constrained optimization problem solving

Over the last few decades, many different evolutionary algorithms have been introduced for solving constrained optimization problems. However, due to the variability of problem characteristics, no single algorithm performs consistently over a range of problems. In this paper, instead of introducing another such algorithm, we propose an evolutionary framework that utilizes existing knowledge to make logical changes for better performance. The algorithmic aspects considered here are: the way of using search operators, dealing with feasibility, setting parameters, and refining solutions. The combined impact of such modifications is significant as has been shown by solving two sets of test problems: (i) a set of 24 test problems that were used for the CEC2006 constrained optimization competition and (ii) a second set of 36 test instances introduced for the CEC2010 constrained optimization competition. The results demonstrate that the proposed algorithm shows better performance in comparison to the state-of-the-art algorithms.     

A new time invariant fuzzy time series forecasting method based on particle swarm optimization

In the analysis of time invariant fuzzy time series, fuzzy logic group relationships tables have been generally preferred for determination of fuzzy logic relationships. The reason of this is that it is not need to perform complex matrix operations when these tables are used. On the other hand, when fuzzy logic group relationships tables are exploited, membership values of fuzzy sets are ignored. Thus, in defiance of fuzzy set theory, fuzzy sets’ elements with the highest membership value are only considered. This situation causes information loss and decrease in the explanation power of the model. To deal with these problems, a novel time invariant fuzzy time series forecasting approach is proposed in this study. In the proposed method, membership values in the fuzzy relationship matrix are computed by using particle swarm optimization technique. The method suggested in this study is the first method proposed in the literature in which particle swarm optimization algorithm is used to determine fuzzy relations. In addition, in order to increase forecasting accuracy and make the proposed approach more systematic, the fuzzy c-means clustering method is used for fuzzification of time series in the proposed method. The proposed method is applied to well-known time series to show the forecasting performance of the method. These time series are also analyzed by using some other forecasting methods available in the literature. Then, the results obtained from the proposed method are compared to those produced by the other methods. It is observed that the proposed method gives the most accurate forecasts.     

Extremal optimization vs. learning automata: Strategies for spin selection in portfolio selection problems

Nowadays, various imitations of natural processes are used to solve challenging optimization problems faster and more accurately. Spin glass based optimization, specifically, has shown strong local search capability and parallel processing. But, spin glasses have a low rate of convergence since they use Monte Carlo simulation techniques such as simulated annealing (SA). Here, we propose two algorithms that combine the long range effect in spin glasses with extremal optimization (EO-SA) and learning automata (LA-SA). Instead of arbitrarily flipping spins at each step, these two strategies aim to choose the next spin and selectively exploiting the optimization landscape. As shown in this paper, this selection strategy can lead to faster rate of convergence and improved performance. The resulting two algorithms are then used to solve portfolio selection problem that is a non-polynomial (NP) complete problem. Comparison of test results indicates that the two algorithms, while being very different in strategy, provide similar performance and reach comparable probability distributions for spin selection. Furthermore, experiments show there is no difference in speed of LA-SA or EO-SA for glasses with fewer spins, but EO-SA responds much better than LA-SA for large glasses. This is confirmed by tests results of five of the world's major stock markets. In the last, the convergence speed is compared to other heuristic methods such as Neural Network (NN), Tabu Search (TS), and Genetic Algorithm (GA) to approve the truthfulness of proposed methods.     

A new hybrid approach for dynamic continuous optimization problems

A new hybrid approach for dynamic optimization problems with continuous search spaces is presented. The proposed approach hybridizes efficient features of the particle swarm optimization in tracking dynamic changes with a new evolutionary procedure. In the proposed dynamic hybrid PSO (DHPSO) algorithm, the swarm size is varied in a self-regulatory manner. Inspired from the microbial life, the particles can reproduce infants and the old ones die. The infants are especially reproduced by high potential particles and located near the local optimum points, using the quadratic interpolation method. The algorithm is adapted to perform in continuous search spaces, utilizing continuous movement of the particles and using Euclidian norm to define the neighborhood in the reproduction procedure. The performance of the new proposed approach is tested against various benchmark problems and compared with those of some other heuristic optimization algorithms. In this regard, different types of dynamic environments including periodic, linear and random changes are taken with different performance metrics such as real-time error, offline performance and offline error. The results indicate a desirable better efficiency of the new algorithm over the existing ones.     

A robust critical path in an environment with hybrid uncertainty

In this article, we consider the project critical path problem in an environment with hybrid uncertainty. In this environment, the duration of activities are considered as random fuzzy variables that have probability and fuzzy natures, simultaneously. To obtain a robust critical path with this kind of uncertainty a chance constraints programming model is used. This model is converted to a deterministic model in two stages. In the first stage, the uncertain model is converted to a model with interval parameters by alpha-cut method and distribution function concepts. In the second stage, the interval model is converted to a deterministic model by robust optimization and min-max regret criterion and ultimately a genetic algorithm with a proposed exact algorithm are applied to solve the final model. Finally, some numerical examples are given to show the efficiency of the solution procedure.     

Nodal ant colony optimization for solving profit based unit commitment problem for GENCOs

This paper proposes a nodal ant colony optimization (NACO) technique to solve profit based unit commitment problem (PBUCP). Generation companies (GENCOs) in a competitive restructured power market, schedule their generators with an objective to maximize their own profit without any regard for system social benefit. Power and reserve prices become important factors in decision process. Ant colony optimization that mimics the behavior of ants foraging activities is suitably implemented to search the UCP search space. Here a search space consisting of optimal combination of binary nodes for unit ON/OFF status is represented for the movement of the ants to maintain good exploration and exploitation search capabilities. The proposed model help GENCOs to make decisions on the quantity of power and reserve that must be put up for sale in the markets and also to schedule generators in order to receive the maximum profit. The effectiveness of the proposed technique for PBUCP is validated on 10 and 36 generating unit systems available in the literature. NACO yields an increase of profit, greater than 1.5%, in comparison with the basic ACO, Muller method and hybrid LR-GA.     

A hybrid stock selection model using genetic algorithms and support vector regression

In the areas of investment research and applications, feasible quantitative models include methodologies stemming from soft computing for prediction of financial time series, multi-objective optimization of investment return and risk reduction, as well as selection of investment instruments for portfolio management based on asset ranking using a variety of input variables and historical data, etc. Among all these, stock selection has long been identified as a challenging and important task. This line of research is highly contingent upon reliable stock ranking for successful portfolio construction. Recent advances in machine learning and data mining are leading to significant opportunities to solve these problems more effectively. In this study, we aim at developing a methodology for effective stock selection using support vector regression (SVR) as well as genetic algorithms (GAs). We first employ the SVR method to generate surrogates for actual stock returns that in turn serve to provide reliable rankings of stocks. Top-ranked stocks can thus be selected to form a portfolio. On top of this model, the GA is employed for the optimization of model parameters, and feature selection to acquire optimal subsets of input variables to the SVR model. We will show that the investment returns provided by our proposed methodology significantly outperform the benchmark. Based upon these promising results, we expect this hybrid GA-SVR methodology to advance the research in soft computing for finance and provide an effective solution to stock selection in practice.     

选择性集成算法分类与比较

选择性集成是当前机器学习领域的研究热点之一。由于选择性集成属于NP"难"问题,人们多利用启发式方法将选择性集成转化为其他问题来求得近似最优解,因为各种算法的出发点和描述角度各不相同,现有的大量选择性集成算法显得繁杂而没有规律。为便于研究人员迅速了解和应用本领域的最新进展,本文根据选择过程中核心策略的特征将选择性集成算法分为四类,即迭代优化法、排名法、分簇法、模式挖掘法;然后利用UCI数据库的20个常用数据集,从预测性能、选择时间、结果集成分类器大小三个方面对这些典型算法进行了实验比较;最后总结了各类方法的优缺点,并展望了选择性集成的未来研究重点。     

基于种群多样性的自适应PSO算法求解VRPSPD问题

为有效求解逆向物流车辆路径(VRPSPD)模型,本文提出一种基于种群多样性的自适应PSO算法(SDAPSO)。在SDAPSO运行时,根据种群多样性,自适应地对种群中运行较差的粒子进行扰动操作,提升这些粒子向最优解收敛的能力;同时,对全局最优粒子进行概率扰动,以增加种群的多样性。标准检测函数的仿真结果表明SDAPSO算法是对基本PSO算法的有效改进。在对VRPSPD模型求解中,通过与其它粒子群算法相比,表明SDAPSO是求解该类问题的一种有效方法。     

Multidisciplinary optimization of gas-quenching process

Distortion as a result of the quenching process is predominantly due to the thermal gradient and phase transformations within the component. Compared with traditional liquid quenching, the thermal boundary conditions during gas quenching are relatively simple to control. By adjusting the gas-quenching furnace pressure, the flow speed, or the spray nozzle configuration, the heat-transfer coefficients can be designed in terms of both the component geometry and the quenching time. The purpose of this research is to apply the optimization methodology to design the gas-quenching process. The design objective is to minimize the distortion caused by quenching. Constraints on the average surface hardness, and its distribution and residual stress are imposed. The heat-transfer coefficients are used as design variables. DEFORM-HT is used to predict material response during quenching. The response surface method is used to obtain the analytical models of the objective function and constraints in terms of the design variables. Once the response surfaces of the objective and constraints are obtained, they are used to search for the optimum heat-transfer coefficients. This process is then used instead of the finite-element analysis. A one-gear blank case study is used to demonstrate the optimization scheme.