scholarly journals Multi-objective portfolio optimization and rebalancing using genetic algorithms with local search

2012 ◽  
Author(s):  
Vishal Soam ◽  
Leon Palafox ◽  
Hitoshi Iba
Keyword(s):  
Genetic Algorithms ◽  
Local Search ◽  
Portfolio Optimization ◽  
Multi Objective

scholarly journals Multi-Objective Approach for Production Line Equipment Selection

2012 ◽  
Vol 3 (1) ◽  
pp. 4-17 ◽  
Author(s):  
H. Chehade ◽  
A. Dolgui ◽  
F. Dugardin ◽  
L. Makdessian ◽  
F. Yalaoui
Keyword(s):  
Genetic Algorithm ◽  
Genetic Algorithms ◽  
Local Search ◽  
Production Line ◽  
Nsga Ii ◽  
Equipment Selection ◽  
Multi Objective ◽  
Numerical Tests ◽  
Machining Lines ◽  
Direct Measures

Multi-Objective Approach for Production Line Equipment Selection A novel problem dealing with design of reconfigurable automated machining lines is considered. Such lines are composed of workstations disposed sequentially. Each workstation needs the most suitable equipment. Each available piece of equipment is characterized by its cost, can perform a set of operations and requires skills of a given level for its maintenance. A multi-objective approach is proposed to assign tasks, choose and allocate pieces of equipment to workstations taking into account all the problem parameters and constraints. The techniques developed are based on a genetic algorithm of type NSGA-II. The NSGA-II suggested is also combined with a local search. These two genetic algorithms (with and without local search) are tested for several line examples and for two versions of the considered problem: bi-objective and four-objective cases. The results of numerical tests are reported. What is the most interesting is that the assessment of these algorithms is accomplished by using three measuring criteria: the direct measures of gaps, the measures proposed by Zitzler and Thiele in 1999 and the distances suggested by Riise in 2002.

scholarly journals A New Approach to Group Multi-Objective Optimization under Imperfect Information and Its Application to Project Portfolio Optimization

2021 ◽  
Vol 11 (10) ◽  
pp. 4575
Author(s):  
Eduardo Fernández ◽  
Nelson Rangel-Valdez ◽  
Laura Cruz-Reyes ◽  
Claudia Gomez-Santillan
Keyword(s):  
Portfolio Optimization ◽  
Imperfect Information ◽  
Model Parameters ◽  
Final Decision ◽  
Project Portfolio ◽  
Objective Functions ◽  
Multi Objective Optimization ◽  
New Approach ◽  
Multi Objective ◽  
Group Member

This paper addresses group multi-objective optimization under a new perspective. For each point in the feasible decision set, satisfaction or dissatisfaction from each group member is determined by a multi-criteria ordinal classification approach, based on comparing solutions with a limiting boundary between classes “unsatisfactory” and “satisfactory”. The whole group satisfaction can be maximized, finding solutions as close as possible to the ideal consensus. The group moderator is in charge of making the final decision, finding the best compromise between the collective satisfaction and dissatisfaction. Imperfect information on values of objective functions, required and available resources, and decision model parameters are handled by using interval numbers. Two different kinds of multi-criteria decision models are considered: (i) an interval outranking approach and (ii) an interval weighted-sum value function. The proposal is more general than other approaches to group multi-objective optimization since (a) some (even all) objective values may be not the same for different DMs; (b) each group member may consider their own set of objective functions and constraints; (c) objective values may be imprecise or uncertain; (d) imperfect information on resources availability and requirements may be handled; (e) each group member may have their own perception about the availability of resources and the requirement of resources per activity. An important application of the new approach is collective multi-objective project portfolio optimization. This is illustrated by solving a real size group many-objective project portfolio optimization problem using evolutionary computation tools.

Multi-objective seismic design of BRBs-reinforced concrete buildings using genetic algorithms

2021 ◽  
Author(s):  
Herian Leyva ◽  
Juan Bojórquez ◽  
Edén Bojórquez ◽  
Alfredo Reyes-Salazar ◽  
Julián Carrillo ◽  
...  
Keyword(s):  
Genetic Algorithms ◽  
Reinforced Concrete ◽  
Seismic Design ◽  
Reinforced Concrete Buildings ◽  
Concrete Buildings ◽  
Multi Objective

scholarly journals An Enhanced Multi-Objective Particle Swarm Optimization in Water Distribution Systems Design

Water ◽  
2021 ◽  
Vol 13 (10) ◽  
pp. 1334
Author(s):  
Mohamed R. Torkomany ◽  
Hassan Shokry Hassan ◽  
Amin Shoukry ◽  
Ahmed M. Abdelrazek ◽  
Mohamed Elkholy
Keyword(s):  
Particle Swarm Optimization ◽  
Local Search ◽  
Distribution Systems ◽  
Water Distribution ◽  
Water Distribution Systems ◽  
Particle Swarm ◽  
Large Network ◽  
Swarm Optimization ◽  
Original Algorithm ◽  
Multi Objective

The scarcity of water resources nowadays lays stress on researchers to develop strategies aiming at making the best benefit of the currently available resources. One of these strategies is ensuring that reliable and near-optimum designs of water distribution systems (WDSs) are achieved. Designing WDSs is a discrete combinatorial NP-hard optimization problem, and its complexity increases when more objectives are added. Among the many existing evolutionary algorithms, a new hybrid fast-convergent multi-objective particle swarm optimization (MOPSO) algorithm is developed to increase the convergence and diversity rates of the resulted non-dominated solutions in terms of network capital cost and reliability using a minimized computational budget. Several strategies are introduced to the developed algorithm, which are self-adaptive PSO parameters, regeneration-on-collision, adaptive population size, and using hypervolume quality for selecting repository members. A local search method is also coupled to both the original MOPSO algorithm and the newly developed one. Both algorithms are applied to medium and large benchmark problems. The results of the new algorithm coupled with the local search are superior to that of the original algorithm in terms of different performance metrics in the medium-sized network. In contrast, the new algorithm without the local search performed better in the large network.

scholarly journals Modeling and Optimizing the Multi-Objective Portfolio Optimization Problem with Trapezoidal Fuzzy Parameters

2021 ◽  
Vol 26 (2) ◽  
pp. 36
Author(s):  
Alejandro Estrada-Padilla ◽  
Daniela Lopez-Garcia ◽  
Claudia Gómez-Santillán ◽  
Héctor Joaquín Fraire-Huacuja ◽  
Laura Cruz-Reyes ◽  
...  
Keyword(s):  
Steady State ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Solution Process ◽  
Density Estimator ◽  
Nsga Ii ◽  
Spatial Spread ◽  
Multi Objective ◽  
Significant Difference ◽  
Portfolio Optimization Problem

A common issue in the Multi-Objective Portfolio Optimization Problem (MOPOP) is the presence of uncertainty that affects individual decisions, e.g., variations on resources or benefits of projects. Fuzzy numbers are successful in dealing with imprecise numerical quantities, and they found numerous applications in optimization. However, so far, they have not been used to tackle uncertainty in MOPOP. Hence, this work proposes to tackle MOPOP’s uncertainty with a new optimization model based on fuzzy trapezoidal parameters. Additionally, it proposes three novel steady-state algorithms as the model’s solution process. One approach integrates the Fuzzy Adaptive Multi-objective Evolutionary (FAME) methodology; the other two apply the Non-Dominated Genetic Algorithm (NSGA-II) methodology. One steady-state algorithm uses the Spatial Spread Deviation as a density estimator to improve the Pareto fronts’ distribution. This research work’s final contribution is developing a new defuzzification mapping that allows measuring algorithms’ performance using widely known metrics. The results show a significant difference in performance favoring the proposed steady-state algorithm based on the FAME methodology.

Sign in / Sign up

Export Citation Format

Share Document