A hybrid approach based on double roulette wheel selection and quadratic programming for cardinality constrained portfolio optimization

Author(s):  
Bo Hu ◽  
Hui Xiao ◽  
Nan Yang ◽  
Hao Jin ◽  
Lei Wang
2014 ◽  
Vol 13 (1) ◽  
pp. 4127-4145
Author(s):  
Madhushi Verma ◽  
Mukul Gupta ◽  
Bijeeta Pal ◽  
Prof. K. K. Shukla

Orienteering problem (OP) is an NP-Hard graph problem. The nodes of the graph are associated with scores or rewards and the edges with time delays. The goal is to obtain a Hamiltonian path connecting the two necessary check points, i.e. the source and the target along with a set of control points such that the total collected score is maximized within a specified time limit. OP finds application in several fields like logistics, transportation networks, tourism industry, etc. Most of the existing algorithms for OP can only be applied on complete graphs that satisfy the triangle inequality. Real-life scenario does not guarantee that there exists a direct link between all control point pairs or the triangle inequality is satisfied. To provide a more practical solution, we propose a stochastic greedy algorithm (RWS_OP) that uses the roulette wheel selectionmethod, does not require that the triangle inequality condition is satisfied and is capable of handling both complete as well as incomplete graphs. Based on several experiments on standard benchmark data we show that RWS_OP is faster, more efficient in terms of time budget utilization and achieves a better performance in terms of the total collected score ascompared to a recently reported algorithm for incomplete graphs.


2021 ◽  
Author(s):  
Zuanjia Xie ◽  
Chunliang Zhang ◽  
Haibin Ouyang ◽  
Steven Li ◽  
Liqun Gao

Abstract Jaya algorithm is an advanced optimization algorithm, which has been applied to many real-world optimization problems. Jaya algorithm has better performance in some optimization field. However, Jaya algorithm exploration capability is not better. In order to enhance exploration capability of the Jaya algorithm, a self-adaptively commensal learning-based Jaya algorithm with multi-populations (Jaya-SCLMP) is presented in this paper. In Jaya-SCLMP, a commensal learning strategy is used to increase the probability of finding the global optimum, in which the person history best and worst information is used to explore new solution area. Moreover, a multi-populations strategy based on Gaussian distribution scheme and learning dictionary is utilized to enhance the exploration capability, meanwhile every sub-population employed three Gaussian distributions at each generation, roulette wheel selection is employed to choose a scheme based on learning dictionary. The performance of Jaya-SCLMP is evaluated based on 28 CEC 2013 unconstrained benchmark problems. In addition, three reliability problems, i.e. complex (bridge) system, series system and series-parallel system are selected. Compared with several Jaya variants and several state-of-the-art other algorithms, the experimental results reveal that Jaya-SCLMP is effective.


2016 ◽  
Vol 2016 ◽  
pp. 1-14 ◽  
Author(s):  
Chao Tan ◽  
Rongxin Xu ◽  
Zhongbin Wang ◽  
Lei Si ◽  
Xinhua Liu

In order to reduce the enlargement of coal floor deformation and the manual adjustment frequency of rocker arms, an improved approach through integration of improved genetic algorithm and fuzzy logic control (GFLC) method is proposed. The enlargement of coal floor deformation is analyzed and a model is built. Then, the framework of proposed approach is built. Moreover, the constituents of GA such as tangent function roulette wheel selection (Tan-RWS) selection, uniform crossover, and nonuniform mutation are employed to enhance the performance of GFLC. Finally, two simulation examples and an industrial application example are carried out and the results indicate that the proposed method is feasible and efficient.


2017 ◽  
Vol 49 (3) ◽  
pp. 903-926 ◽  
Author(s):  
Raphaël Cerf

Abstract We introduce a new parameter to discuss the behavior of a genetic algorithm. This parameter is the mean number of exact copies of the best-fit chromosomes from one generation to the next. We believe that the genetic algorithm operates best when this parameter is slightly larger than 1 and we prove two results supporting this belief. We consider the case of the simple genetic algorithm with the roulette wheel selection mechanism. We denote by ℓ the length of the chromosomes, m the population size, pC the crossover probability, and pM the mutation probability. Our results suggest that the mutation and crossover probabilities should be tuned so that, at each generation, the maximal fitness multiplied by (1 - pC)(1 - pM)ℓ is greater than the mean fitness.


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