A Mean–Variance–Skewness Portfolio Optimization Model
Portfolio optimization is one of the most important topics in finance. This paper proposes a mean–variance–skewness (MVS) portfolio optimization model. Traditionally, the portfolio optimization problem is solved by using the mean–variance (MV) framework. In this study, we formulate the proposed model as a three-objective optimization problem, where the portfolio's expected return and skewness are maximized whereas the portfolio risk is minimized. For solving the proposed three-objective portfolio optimization model we apply an adapted version of the non-dominated sorting genetic algorithm (NSGAII). Finally, we use a real dataset from FTSE-100 for validating the proposed model.
Understanding Evolutionary Algorithms through Interactive Graphical Applications
It is very common to observe, especially in Computer
Science studies that students have difficulties to correctly understand
how some mechanisms based on Artificial Intelligence work. In
addition, the scope and limitations of most of these mechanisms
are usually presented by professors only in a theoretical way,
which does not help students to understand them adequately. In this
work, we focus on the problems found when teaching Evolutionary
Algorithms (EAs), which imitate the principles of natural evolution,
as a method to solve parameter optimization problems. Although
this kind of algorithms can be very powerful to solve relatively
complex problems, students often have difficulties to understand
how they work, and how to apply them to solve problems in
real cases. In this paper, we present two interactive graphical
applications which have been specially designed with the aim of
making Evolutionary Algorithms easy to be understood by students.
Specifically, we present: (i) TSPS, an application able to solve the
”Traveling Salesman Problem”, and (ii) FotEvol, an application able
to reconstruct a given image by using Evolution Strategies. The
main objective is that students learn how these techniques can be
implemented, and the great possibilities they offer.
Discriminant Analysis as a Function of Predictive Learning to Select Evolutionary Algorithms in Intelligent Transportation System
In this paper, we present the use of the discriminant analysis to select evolutionary algorithms that better solve instances of the vehicle routing problem with time windows. We use indicators as independent variables to obtain the classification criteria, and the best algorithm from the generic genetic algorithm (GA), random search (RS), steady-state genetic algorithm (SSGA), and sexual genetic algorithm (SXGA) as the dependent variable for the classification. The discriminant classification was trained with classic instances of the vehicle routing problem with time windows obtained from the Solomon benchmark. We obtained a classification of the discriminant analysis of 66.7%.
A Review on Applications of Evolutionary Algorithms to Reservoir Operation for Hydropower Production
Evolutionary Algorithms (EAs) have been used
widely through evolution theory to discover acceptable solutions that
corresponds to challenges such as natural resources management.
EAs are also used to solve varied problems in the real world. EAs
have been rapidly identified for its ease in handling multiple
objective problems. Reservoir operations is a vital and researchable
area which has been studied in the last few decades due to the limited
nature of water resources that is found mostly in the semi-arid
regions of the world. The state of some developing economy that
depends on electricity for overall development through hydropower
production, a renewable form of energy, is appalling due to water
scarcity. This paper presents a review of the applications of
evolutionary algorithms to reservoir operation for hydropower
production. This review includes the discussion on areas such as
genetic algorithm, differential evolution, and reservoir operation. It
also identified the research gaps discovered in these areas. The results
of this study will be an eye opener for researchers and decision
makers to think deeply of the adverse effect of water scarcity and
drought towards economic development of a nation. Hence, it
becomes imperative to identify evolutionary algorithms that can
address this issue which can hamper effective hydropower
Adapting the Chemical Reaction Optimization Algorithm to the Printed Circuit Board Drilling Problem
Chemical Reaction Optimization (CRO) is an
optimization metaheuristic inspired by the nature of chemical
reactions as a natural process of transforming the substances from
unstable to stable states. Starting with some unstable molecules with
excessive energy, a sequence of interactions takes the set to a state of
minimum energy. Researchers reported successful application of the
algorithm in solving some engineering problems, like the quadratic
assignment problem, with superior performance when compared with
other optimization algorithms. We adapted this optimization
algorithm to the Printed Circuit Board Drilling Problem (PCBDP)
towards reducing the drilling time and hence improving the PCB
manufacturing throughput. Although the PCBDP can be viewed as
instance of the popular Traveling Salesman Problem (TSP), it has
some characteristics that would require special attention to the
transactions that explore the solution landscape. Experimental test
results using the standard CROToolBox are not promising for
practically sized problems, while it could find optimal solutions for
artificial problems and small benchmarks as a proof of concept.
A Combined Meta-Heuristic with Hyper-Heuristic Approach to Single Machine Production Scheduling Problem
This paper is concerned with minimization of mean
tardiness and flow time in a real single machine production
scheduling problem. Two variants of genetic algorithm as metaheuristic
are combined with hyper-heuristic approach are proposed to
solve this problem. These methods are used to solve instances
generated with real world data from a company. Encouraging results
Genetic Programming: Principles, Applications and Opportunities for Hydrological Modelling
Hydrological modelling plays a crucial role in the planning and management of water resources, most especially in water stressed regions where the need to effectively manage the available water resources is of critical importance. However, due to the complex, nonlinear and dynamic behaviour of hydro-climatic interactions, achieving reliable modelling of water resource systems and accurate projection of hydrological parameters are extremely challenging. Although a significant number of modelling techniques (process-based and data-driven) have been developed and adopted in that regard, the field of hydrological modelling is still considered as one that has sluggishly progressed over the past decades. This is majorly as a result of the identification of some degree of uncertainty in the methodologies and results of techniques adopted. In recent times, evolutionary computation (EC) techniques have been developed and introduced in response to the search for efficient and reliable means of providing accurate solutions to hydrological related problems. This paper presents a comprehensive review of the underlying principles, methodological needs and applications of a promising evolutionary computation modelling technique – genetic programming (GP). It examines the specific characteristics of the technique which makes it suitable to solving hydrological modelling problems. It discusses the opportunities inherent in the application of GP in water related-studies such as rainfall estimation, rainfall-runoff modelling, streamflow forecasting, sediment transport modelling, water quality modelling and groundwater modelling among others. Furthermore, the means by which such opportunities could be harnessed in the near future are discussed. In all, a case for total embracement of GP and its variants in hydrological modelling studies is made so as to put in place strategies that would translate into achieving meaningful progress as it relates to modelling of water resource systems, and also positively influence decision-making by relevant stakeholders.
An Expert System Designed to Be Used with MOEAs for Efficient Portfolio Selection
This study presents an Expert System specially designed to be used with Multiobjective Evolutionary Algorithms (MOEAs) for the solution of the portfolio selection problem. The validation of the proposed hybrid System is done by using data sets from Hang Seng 31 in Hong Kong, DAX 100 in Germany and FTSE 100 in UK. The performance of the proposed system is assessed in comparison with the Non-dominated Sorting Genetic Algorithm II (NSGAII). The evaluation of the performance is based on different performance metrics that evaluate both the proximity of the solutions to the Pareto front and their dispersion on it. The results show that the proposed hybrid system is efficient for the solution of this kind of problems.
Comparison of Two Interval Models for Interval-Valued Differential Evolution
The author previously proposed an extension of differential evolution. The proposed method extends the processes of DE to handle interval numbers as genotype values so that DE can be applied to interval-valued optimization problems. The interval DE can employ either of two interval models, the lower and upper model or the center and width model, for specifying genotype values. Ability of the interval DE in searching for solutions may depend on the model. In this paper, the author compares the two models to investigate which model contributes better for the interval DE to find better solutions. Application of the interval DE is evolutionary training of interval-valued neural networks. A result of preliminary study indicates that the CW model is better than the LU model: the interval DE with the CW model could evolve better neural networks.
Particle Swarm Optimization with Interval-valued Genotypes and Its Application to Neuroevolution
The author proposes an extension of particle swarm optimization (PSO) for solving interval-valued optimization problems and applies the extended PSO to evolutionary training of neural networks (NNs) with interval weights. In the proposed PSO, values in the genotypes are not real numbers but intervals. Experimental results show that interval-valued NNs trained by the proposed method could well approximate hidden target functions despite the fact that no training data was explicitly provided.
Genetic Folding: Analyzing the Mercer-s Kernels Effect in Support Vector Machine using Genetic Folding
Genetic Folding (GF) a new class of EA named as is
introduced for the first time. It is based on chromosomes composed
of floating genes structurally organized in a parent form and
separated by dots. Although, the genotype/phenotype system of GF
generates a kernel expression, which is the objective function of
superior classifier. In this work the question of the satisfying
mapping-s rules in evolving populations is addressed by analyzing
populations undergoing either Mercer-s or none Mercer-s rule. The
results presented here show that populations undergoing Mercer-s
rules improve practically models selection of Support Vector
Machine (SVM). The experiment is trained multi-classification
problem and tested on nonlinear Ionosphere dataset. The target of this
paper is to answer the question of evolving Mercer-s rule in SVM
addressed using either genetic folding satisfied kernel-s rules or not
applied to complicated domains and problems.
Universal Method for Timetable Construction based on Evolutionary Approach
Timetabling problems are often hard and timeconsuming
to solve. Most of the methods of solving them concern
only one problem instance or class. This paper describes a universal
method for solving large, highly constrained timetabling problems
from different domains. The solution is based on evolutionary
algorithm-s framework and operates on two levels – first-level
evolutionary algorithm tries to find a solution basing on given set of
operating parameters, second-level algorithm is used to establish
those parameters. Tabu search is employed to speed up the solution
finding process on first level. The method has been used to solve
three different timetabling problems with promising results.
Turbine Follower Control Strategy Design Based on Developed FFPP Model
In this paper a comprehensive model of a fossil fueled
power plant (FFPP) is developed in order to evaluate the
performance of a newly designed turbine follower controller.
Considering the drawbacks of previous works, an overall model is
developed to minimize the error between each subsystem model
output and the experimental data obtained at the actual power plant.
The developed model is organized in two main subsystems namely;
Boiler and Turbine. Considering each FFPP subsystem
characteristics, different modeling approaches are developed. For
economizer, evaporator, superheater and reheater, first order models
are determined based on principles of mass and energy conservation.
Simulations verify the accuracy of the developed models. Due to the
nonlinear characteristics of attemperator, a new model, based on a
genetic-fuzzy systems utilizing Pittsburgh approach is developed
showing a promising performance vis-├á-vis those derived with other
methods like ANFIS. The optimization constraints are handled
utilizing penalty functions. The effect of increasing the number of
rules and membership functions on the performance of the proposed
model is also studied and evaluated. The turbine model is developed
based on the equation of adiabatic expansion. Parameters of all
evaluated models are tuned by means of evolutionary algorithms.
Based on the developed model a fuzzy PI controller is developed. It
is then successfully implemented in the turbine follower control
strategy of the plant. In this control strategy instead of keeping
control parameters constant, they are adjusted on-line with regard to
the error and the error rate. It is shown that the response of the
system improves significantly. It is also shown that fuel consumption
Evolutionary Approach for Automated Discovery of Censored Production Rules
In the recent past, there has been an increasing interest
in applying evolutionary methods to Knowledge Discovery in
Databases (KDD) and a number of successful applications of Genetic
Algorithms (GA) and Genetic Programming (GP) to KDD have been
demonstrated. The most predominant representation of the
discovered knowledge is the standard Production Rules (PRs) in the
form If P Then D. The PRs, however, are unable to handle
exceptions and do not exhibit variable precision. The Censored
Production Rules (CPRs), an extension of PRs, were proposed by
Michalski & Winston that exhibit variable precision and supports an
efficient mechanism for handling exceptions. A CPR is an
augmented production rule of the form:
If P Then D Unless C, where C (Censor) is an exception to the rule.
Such rules are employed in situations, in which the conditional
statement 'If P Then D' holds frequently and the assertion C holds
rarely. By using a rule of this type we are free to ignore the exception
conditions, when the resources needed to establish its presence are
tight or there is simply no information available as to whether it
holds or not. Thus, the 'If P Then D' part of the CPR expresses
important information, while the Unless C part acts only as a switch
and changes the polarity of D to ~D.
This paper presents a classification algorithm based on evolutionary
approach that discovers comprehensible rules with exceptions in the
form of CPRs.
The proposed approach has flexible chromosome encoding, where
each chromosome corresponds to a CPR. Appropriate genetic
operators are suggested and a fitness function is proposed that
incorporates the basic constraints on CPRs. Experimental results are
presented to demonstrate the performance of the proposed algorithm.
A Quantum-Inspired Evolutionary Algorithm forMultiobjective Image Segmentation
In this paper we present a new approach to deal with
image segmentation. The fact that a single segmentation result do not
generally allow a higher level process to take into account all the
elements included in the image has motivated the consideration of
image segmentation as a multiobjective optimization problem. The
proposed algorithm adopts a split/merge strategy that uses the result
of the k-means algorithm as input for a quantum evolutionary
algorithm to establish a set of non-dominated solutions. The
evaluation is made simultaneously according to two distinct features:
intra-region homogeneity and inter-region heterogeneity. The
experimentation of the new approach on natural images has proved
its efficiency and usefulness.
On Enhancing Robustness of an Evolutionary Fuzzy Tracking Controller
This paper presents three-phase evolution search methodology to automatically design fuzzy logic controllers (FLCs) that can work in a wide range of operating conditions. These include varying load, parameter variations, and unknown external disturbances. The three-phase scheme consists of an exploration phase, an exploitation phase and a robustness phase. The first two phases search for FLC with high accuracy performances while the last phase aims at obtaining FLC providing the best compromise between the accuracy and robustness performances. Simulations were performed for direct-drive two-axis robot arm. The evolved FLC with the proposed design technique found to provide a very satisfactory performance under the wide range of operation conditions and to overcome problem associated with coupling and nonlinearities characteristics inherent to robot arms.
Selective Harmonic Elimination of PWM AC/AC Voltage Controller Using Hybrid RGA-PS Approach
Selective harmonic elimination-pulse width modulation techniques offer a tight control of the harmonic spectrum of a given voltage waveform generated by a power electronic converter along with a low number of switching transitions. Traditional optimization methods suffer from various drawbacks, such as prolonged and tedious computational steps and convergence to local optima; thus, the more the number of harmonics to be eliminated, the larger the computational complexity and time. This paper presents a novel method for output voltage harmonic elimination and voltage control of PWM AC/AC voltage converters using the principle of hybrid Real-Coded Genetic Algorithm-Pattern Search (RGA-PS) method. RGA is the primary optimizer exploiting its global search capabilities, PS is then employed to fine tune the best solution provided by RGA in each evolution. The proposed method enables linear control of the fundamental component of the output voltage and complete elimination of its harmonic contents up to a specified order. Theoretical studies have been carried out to show the effectiveness and robustness of the proposed method of selective harmonic elimination. Theoretical results are validated through simulation studies using PSIM software package.
Flow Modeling and Runner Design Optimization in Turgo Water Turbines
The incorporation of computational fluid dynamics in the design of modern hydraulic turbines appears to be necessary in order to improve their efficiency and cost-effectiveness beyond the traditional design practices. A numerical optimization methodology is developed and applied in the present work to a Turgo water turbine. The fluid is simulated by a Lagrangian mesh-free approach that can provide detailed information on the energy transfer and enhance the understanding of the complex, unsteady flow field, at very small computing cost. The runner blades are initially shaped according to hydrodynamics theory, and parameterized using Bezier polynomials and interpolation techniques. The use of a limited number of free design variables allows for various modifications of the standard blade shape, while stochastic optimization using evolutionary algorithms is implemented to find the best blade that maximizes the attainable hydraulic efficiency of the runner. The obtained optimal runner design achieves considerably higher efficiency than the standard one, and its numerically predicted performance is comparable to a real Turgo turbine, verifying the reliability and the prospects of the new methodology.