A genetic approach to the design of autonomous agents for futures trading

We propose a genetic algorithm-based method for designing an autonomous trader agent. The task of the proposed method is to find an optimal set of fuzzy if–then rules that best represents the behavior of a target trader agent. A highly profitable trader agent is used as the target in the proposed genetic algorithm. A trading history for the target agent is obtained from a series of futures trading. The antecedent part of fuzzy if–then rules considers time-series data of spot prices, while the consequent part indicates the order of trade (Buy, Sell, or No action) with its degree of certainty. The proposed method determines the antecedent part of fuzzy if–then rules. The consequent part of fuzzy if–then rules is automatically determined from the trading history of the target trader agent. The autonomous trader agent designed by the proposed genetic algorithm consists of a fixed number of fuzzy if–then rules. The decision of the autonomous trader agent is made by fuzzy inference from the time-series data of spot prices. This work was presented in part at the 11th International Symposium on Artificial Life and Robotics, Oita, Japan, January 23–25, 2006     

Balance between genetic search and local search in memetic algorithms for multiobjective permutation flowshop scheduling

This paper shows how the performance of evolutionary multiobjective optimization (EMO) algorithms can be improved by hybridization with local search. The main positive effect of the hybridization is the improvement in the convergence speed to the Pareto front. On the other hand, the main negative effect is the increase in the computation time per generation. Thus, the number of generations is decreased when the available computation time is limited. As a result, the global search ability of EMO algorithms is not fully utilized. These positive and negative effects are examined by computational experiments on multiobjective permutation flowshop scheduling problems. Results of our computational experiments clearly show the importance of striking a balance between genetic search and local search. In this paper, we first modify our former multiobjective genetic local search (MOGLS) algorithm by choosing only good individuals as initial solutions for local search and assigning an appropriate local search direction to each initial solution. Next, we demonstrate the importance of striking a balance between genetic search and local search through computational experiments. Then we compare the modified MOGLS with recently developed EMO algorithms: the strength Pareto evolutionary algorithm and revised nondominated sorting genetic algorithm. Finally, we demonstrate that a local search can be easily combined with those EMO algorithms for designing multiobjective memetic algorithms.     

Performance evaluation of fuzzy rule-based classification systems obtained by multi-objective genetic algorithms

In this paper, we examine the classification performance of fuzzy if-then rules selected by a GA-based multi-objective rule selection method. This rule selection method can be applied to high-dimensional pattern classification problems with many continuous attributes by restricting the number of antecedent conditions of each candidate fuzzy if-then rule. As candidate rules, we only use fuzzy if-then rules with a small number of antecedent conditions. Thus it is easy for human users to understand each rule selected by our method. Our rule selection method has two objectives: to minimize the number of selected fuzzy if-then rules and to maximize the number of correctly classified patterns. In our multi-objective fuzzy rule selection problem, there exist several solutions (i.e., several rule sets) called “non-dominated solutions” because two conflicting objectives are considered. In this paper, we examine the performance of our GA-based rule selection method by computer simulations on a real-world pattern classification problem with many continuous attributes. First we examine the classification performance of our method for training patterns by computer simulations. Next we examine the generalization ability for test patterns. We show that a fuzzy rule-based classification system with an appropriate number of rules has high generalization ability.     

Genetic algorithms for flowshop scheduling problems

In this paper, we apply a genetic algorithm to flowshop scheduling problems and examine two hybridizations of the genetic algorithm with other search algorithms. First we examine various genetic operators to design a genetic algorithm for the flowshop scheduling problem with an objective of minimizing the makespan. By computer simulations, we show that the two-point crossover and the shift change mutation are effective for this problem. Next we compare the genetic algorithm with other search algorithms such as local search, taboo search and simulated annealing. Computer simulations show that the genetic algorithm is a bit inferior to the others. In order to improve the performance of the genetic algorithm, we examine the hybridization of the genetic algorithms. We show two hybrid genetic algorithms: genetic local search and genetic simulated annealing. Their high performance is demonstrated by computer simulations.     

Dm-KDE: dynamical kernel density estimation by sequences of KDE estimators with fixed number of components over data streams

In many data stream mining applications, traditional density estimation methods such as kernel density estimation, reduced set density estimation can not be applied to the density estimation of data streams because of their high computational burden, processing time and intensive memory allocation requirement. In order to reduce the time and space complexity, a novel density estimation method Dm-KDE over data streams based on the proposed algorithm m-KDE which can be used to design a KDE estimator with the fixed number of kernel components for a dataset is proposed. In this method, Dm-KDE sequence entries are created by algorithm m-KDE instead of all kernels obtained from other density estimation methods. In order to further reduce the storage space, Dm-KDE sequence entries can be merged by calculating their KL divergences. Finally, the probability density functions over arbitrary time or entire time can be estimated through the obtained estimation model. In contrast to the state-of-the-art algorithm SOMKE, the distinctive advantage of the proposed algorithm Dm-KDE exists in that it can achieve the same accuracy with much less fixed number of kernel components such that it is suitable for the scenarios where higher on-line computation about the kernel density estimation over data streams is required.We compare Dm-KDE with SOMKE and M-kernel in terms of density estimation accuracy and running time for various stationary datasets. We also apply Dm-KDE to evolving data streams. Experimental results illustrate the effectiveness of the proposed method.     

Effect of rule weights in fuzzy rule-based classification systems

This paper examines the effect of rule weights in fuzzy rule-based classification systems. Each fuzzy IF-THEN rule in our classification system has antecedent linguistic values and a single consequent class. We use a fuzzy reasoning method based on a single winner rule in the classification phase. The winner rule for a new pattern is the fuzzy IF-THEN rule that has the maximum compatibility grade with the new pattern. When we use fuzzy IF-THEN rules with certainty grades, the winner is determined as the rule with the maximum product of the compatibility grade and the certainty grade. In this paper, the effect of rule weights is illustrated by drawing classification boundaries using fuzzy IF-THEN rules with/without certainty grades. It is also shown that certainty grades play an important role when a fuzzy rule-based classification system is a mixture of general rules and specific rules. Through computer simulations, we show that comprehensible fuzzy rule-based systems with high classification performance can be designed without modifying the membership functions of antecedent linguistic values when we use fuzzy IF-THEN rules with certainty grades     

Preference representation using Gaussian functions on a hyperplane in evolutionary multi-objective optimization

Many-objective optimization has attracted much attention in evolutionary multi-objective optimization (EMO). This is because EMO algorithms developed so far often degrade their search ability for optimization problems with four or more objectives, which are frequently referred to as many-objective problems. One of promising approaches to handle many objectives is to incorporate the preference of a decision maker (DM) into EMO algorithms. With the preference, EMO algorithms can focus the search on regions preferred by the DM, resulting in solutions close to the Pareto front around the preferred regions. Although a number of preference-based EMO algorithms have been proposed, it is not trivial for the DM to reflect his/her actual preference in the search. We previously proposed to represent the preference of the DM using Gaussian functions on a hyperplane. The DM specifies the center and spread vectors of the Gaussian functions so as to represent his/her preference. The preference handling is integrated into the framework of NSGA-II. This paper extends our previous work so that obtained solutions follow the distribution of Gaussian functions specified. The performance of our proposed method is demonstrated mainly for benchmark problems and real-world applications with a few objectives in this paper. We also show the applicability of our method to many-objective problems.     

Evolution of cooperative behavior among heterogeneous agents with different strategy representations in an iterated prisoner’s dilemma game

The iterated prisoner’s dilemma (IPD) game has frequently been used to examine the evolution of cooperative behavior among agents. When the effect of representation schemes of IPD game strategies was examined, the same representation scheme was usually assigned to all agents. That is, in the literature, a population of homogeneous agents was usually used in computational experiments. In this article, we focus on a slightly different situation where every agent does not necessarily use the same representation scheme. That is, a population can be a mixture of heterogeneous agents with different representation schemes. In computational experiments, we used binary strings of different lengths (i.e., three-bit and five-bit strings) to represent IPD game strategies. We examined the evolution of cooperative behavior among heterogeneous agents in comparison with the case of homogeneous ones for the standard IPD game with typical payoff values of 0, 1, 3, and 5. Experimental results showed that the evolution of cooperative behavior was slowed down by the use of heterogeneous agents. It was also demonstrated that a faster evolution of cooperative behavior is achieved among majority agents than among minority ones in a heterogeneous population.