scholarly journals Credibilistic Mean-Semi-Entropy Model for Multi-Period Portfolio Selection with Background Risk

Entropy ◽  
2019 ◽  
Vol 21 (10) ◽  
pp. 944 ◽  
Author(s):  
Jun Zhang ◽  
Qian Li
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Selection ◽  
Hybrid Algorithm ◽  
Empirical Studies ◽  
Background Risk ◽  
Cardinality Constraints ◽  
Nsga Ii ◽  
Entropy Model ◽  
Dragonfly Algorithm ◽  
Multi Objective

In financial markets, investors will face not only portfolio risk but also background risk. This paper proposes a credibilistic multi-objective mean-semi-entropy model with background risk for multi-period portfolio selection. In addition, realistic constraints such as liquidity, cardinality constraints, transaction costs, and buy-in thresholds are considered. For solving the proposed multi-objective problem efficiently, a novel hybrid algorithm named Hybrid Dragonfly Algorithm-Genetic Algorithm (HDA-GA) is designed by combining the advantages of the dragonfly algorithm (DA) and non-dominated sorting genetic algorithm II (NSGA II). Moreover, in the hybrid algorithm, parameter optimization, constraints handling, and external archive approaches are used to improve the ability of finding accurate approximations of Pareto optimal solutions with high diversity and coverage. Finally, we provide several empirical studies to show the validity of the proposed approaches.

scholarly journals Analisis Perbandingan Aggregat Of Function (AOF) dengan Non-Dominated Sorting Genetic Algorithm (NSGA-II) dalam Menentukan Optimasi Multi-Objective pada Penjadwalan Mesin Produksi Flow Shop

2018 ◽  
Vol 17 (2) ◽  
pp. 158
Author(s):  
Fifin Sonata ◽  
Dede Prabowo Wiguna
Keyword(s):  
Genetic Algorithm ◽  
Flow Shop ◽  
Total Tardiness ◽  
Pareto Optimal ◽  
Nsga Ii ◽  
Trade Off ◽  
Multi Objective

Penjadwalan mesin produksi dalam dunia industri memiliki peranan penting sebagai bentuk pengambilan keputusan. Salah satu jenis sistem penjadwalan mesin produksi adalah sistem penjadwalan mesin produksi tipe flow shop. Dalam penjadwalan flow shop, terdapat sejumlah pekerjaan (job) yang tiap-tiap job memiliki urutan pekerjaan mesin yang sama. Optimasi penjadwalan mesin produksi flow shop berkaitan dengan penyusunan penjadwalan mesin yang mempertimbangkan 2 objek yaitu makespan dan total tardiness. Optimasi kedua permasalahan tersebut merupakan optimasi yang bertolak belakang sehingga diperlukan model yang mengintegrasikan permasalahan tersebut dengan optimasi multi-objective A Fast Elitist Non-Dominated Sorting Genetic Algorithm for Multi-Objective Optimazitaion : NSGA-II. Dalam penelitian ini akan dibandingkan 2 buah metode yaitu Aggregat Of Function (AOF) dengan NSGA-II agar dapat terlihat nilai solusinya. Penyelesaian penjadwalan mesin produksi flow shop dengan algoritma NSGA-II untuk membangun jadwal dengan meminimalkan makespan dan total tardiness.Tujuan yang ingin dicapai adalah mengetahui bahwa model yang dikembangkan akan memberikan solusi penjadwalan mesin produksi flow shop yang efisien berupa solusi pareto optimal yang dapat memberikan sekumpulan solusi alternatif bagi pengambil keputusan dalam membuat penjadwalan mesin produksi yang diharapkan. Solusi pareto optimal yang dihasilkan merupakan solusi optimasi multi-objective yang optimal dengan trade-off terhadap seluruh objek, sehingga seluruh solusi pareto optimal sama baiknya.

scholarly journals CONSTRAINT ROBUST PORTFOLIO SELECTION BY MULTIOBJECTIVE EVOLUTIONARY GENETIC ALGORITHM

2012 ◽  
pp. 57-62
Author(s):  
S.K. MISHRA ◽  
G. PANDA ◽  
S. MEHER ◽  
R. MAJHI
Keyword(s):  
Genetic Algorithm ◽  
Portfolio Selection ◽  
Critical Issue ◽  
Total Risk ◽  
Cardinality Constraints ◽  
Real World Data ◽  
Robust Portfolio ◽  
Total Profit ◽  
Non Gaussian ◽  
Nondominated Sorting

The problem of portfolio selection is a very challenging problem in computational finance and has received a lot of attention in last few decades. Selecting an asset and optimal weighting of it from a set of available assets is a critical issue for which the decision maker takes several aspects into consideration. Different constraints like cardinality constraints, minimum buy in thresholds and maximum limit constraint are associated with assets selection. Financial returns associated are often strongly non-Gaussian in character, and exhibit multivariate outliers. Taking these constraints into consideration and with the presence of these outliers we consider a multi-objective problem where the percentage of each available asset is so selected that the total profit of the portfolio is maximized while total risk is minimized. Nondominated Sorting Genetic Algorithm-II is used for solving this multiobjective portfolio selection problem. Performance of the proposed algorithm is carried out by performing different numerical experiments using real-world data.

Kinematic Multi-Objective Optimization of Circular-Toothed Gerotor Pumps by Genetic Algorithm

2017 ◽  
Author(s):  
Andrew J. Robison ◽  
Andrea Vacca
Keyword(s):  
Genetic Algorithm ◽  
Design Method ◽  
Third Party ◽  
Low Flow ◽  
Objective Functions ◽  
Multi Objective Optimization ◽  
Nsga Ii ◽  
Generation Algorithm ◽  
Multi Objective ◽  
Pareto Curve

A gerotor gear generation algorithm has been developed that evaluates key performance objective functions to be minimized or maximized, and then an optimization algorithm is applied to determine the best design. Because of their popularity, circular-toothed gerotors are the focus of this study, and future work can extend this procedure to other gear forms. Parametric equations defining the circular-toothed gear set have been derived and implemented. Two objective functions were used in this kinematic optimization: maximize the ratio of displacement to pump radius, which is a measure of compactness, and minimize the kinematic flow ripple, which can have a negative effect on system dynamics and could be a major source of noise. Designs were constrained to ensure drivability, so the need for additional synchronization gearing is eliminated. The NSGA-II genetic algorithm was then applied to the gear generation algorithm in modeFRONTIER, a commercial software that integrates multi-objective optimization with third-party engineering software. A clear Pareto front was identified, and a multi-criteria decision-making genetic algorithm was used to select three optimal designs with varying priorities of compactness vs low flow variation. In addition, three pumps used in industry were scaled and evaluated with the gear generation algorithm for comparison. The scaled industry pumps were all close to the Pareto curve, but the optimized designs offer a slight kinematic advantage, which demonstrates the usefulness of the proposed gerotor design method.

Solving Facility Location Problems with a Tol for Rapid Development of Multi-Objective Evolutionary Algorithms (MOEAs)

2007 ◽  
pp. 642-660
Author(s):  
A. L. Medaglia
Keyword(s):  
Genetic Algorithm ◽  
Facility Location ◽  
Rapid Development ◽  
Service Level ◽  
International Markets ◽  
Nsga Ii ◽  
Multi Objective ◽  
Location Models ◽  
Cost Cutting ◽  
Facility Location Models

The low price of coffee in the international markets has forced the Federación Nacional de Cafeteros de Colombia (FNCC) to look for cost-cutting opportunities. An alternative that has been considered is the reduction of the operating infrastructure by closing some of the FNCC-owned depots. This new proposal of the coffee supplier network is supported by (uncapacitated and capacitated) facility location models that minimize operating costs while maximizing service level (coverage). These bi-objective optimization models are solved by means of NSGA II, a multi-objective evolutionary algorithm (MOEA). From a computational perspective, this chapter presents the multi-objective Java Genetic Algorithm (MO-JGA) framework, a new tool for the rapid development of MOEAs built on top of the Java Genetic Algorithm (JGA). We illustrate MO-JGA by implementing NSGA II-based solutions for the bi-objective location models.

A Multi-Objective Hybrid Algorithm for Optimization of Grid Structures

2018 ◽  
Vol 10 (01) ◽  
pp. 1850009 ◽  
Author(s):  
Zhe Xiong ◽  
Xiao-Hui Li ◽  
Jing-Chang Liang ◽  
Li-Juan Li
Keyword(s):  
Genetic Algorithm ◽  
Particle Swarm Optimization ◽  
Convergence Rate ◽  
Pareto Optimality ◽  
Hybrid Algorithm ◽  
Particle Swarm ◽  
Mathematical Functions ◽  
Swarm Optimization ◽  
Multi Objective ◽  
Structural Problems

In this study, a novel multi-objective hybrid algorithm (MHGH, multi-objective HPSO-GA hybrid algorithm) is developed by crossing the heuristic particle swarm optimization (HPSO) algorithm with a genetic algorithm (GA) based on the concept of Pareto optimality. To demonstrate the effectiveness of the MHGH, the optimizations of four unconstrained mathematical functions and four constrained truss structural problems are tested and compared to the results using several other classic algorithms. The results show that the MHGH improves the convergence rate and precision of the particle swarm optimization (PSO) and increases its robustness.

Modified Non-Dominated Sorting Genetic Algorithm (MNSGA-II) Applied in Multi-Objective Optimization of a Coal-Fired Boiler Combustion

2013 ◽  
Vol 694-697 ◽  
pp. 2850-2855
Author(s):  
Ting Fang Yu ◽  
Xia Wang ◽  
Chun Hua Peng
Keyword(s):  
Genetic Algorithm ◽  
Heat Loss ◽  
Bp Neural Network ◽  
Nox Emissions ◽  
Multi Objective Optimization ◽  
Good Tool ◽  
Nsga Ii ◽  
Multi Objective ◽  
Comparison Operator ◽  
Bp Model

This paper discussed application of modified non-dominated sorting genetic algorithm-II (MNSGA-II) to multi-objective optimization of a coal-fired boiler combustion, the two objectives considered are minimization of overall heat loss and NOx emissions from coal-fired boiler. In the first step, BP neural network was proposed to establish a mathematical model predicting the NOx emissions & overall heat loss from the boiler. Then, BP model and the non-dominated sorting genetic algorithm II (NSGA-II) were combined to gain the optimal operating parameters. According to the problems such as premature convergence and uneven distribution of Pareto solutions exist in the application of NSGA-II, corresponding improvements in the crowded-comparison operator and crossover operator were performed. The optimal results show that MNSGA-II can be a good tool to solve the problem of multi-objective optimization of a coal-fired combustion, which can reduce NOx emissions and overall heat loss effectively for the coal-fired boiler. Compared with NSGA-II, the Pareto set obtained by the MNSGA-II shows a better distribution and better quality.

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