Risk Budgeted Portfolio Optimization Using an Extended Ant Colony Optimization Metaheuristic

2012 ◽  
Vol 3 (4) ◽  
pp. 25-42 ◽  
Author(s):  
G. A. Vijayalakshmi Pai
Keyword(s):  
Ant Colony Optimization ◽  
Portfolio Optimization ◽  
Stock Exchange ◽  
Experimental Studies ◽  
Optimization Methods ◽  
Investment Strategy ◽  
Ant Colony ◽  
Ant Colony Optimization Algorithm ◽  
Data Set ◽  
Exchange Data

Risk Budgeted portfolio optimization problem centering on the twin objectives of maximizing expected portfolio return and minimizing portfolio risk and incorporating the risk budgeting investment strategy, turns complex for direct solving by classical methods triggering the need to look for metaheuristic solutions. This work explores the application of an extended Ant Colony Optimization algorithm that borrows concepts from evolution theory, for the solution of the problem and proceeds to compare the experimental results with those obtained by two other Metaheuristic optimization methods belonging to two different genres viz., Evolution Strategy with Hall of Fame and Differential Evolution, obtained in an earlier investigation. The experimental studies have been undertaken over Bombay Stock Exchange data set (BSE200: July 2001-July 2006) and Tokyo Stock Exchange data set (Nikkei225: July 2001-July 2006). Data Envelopment Analysis has also been undertaken to compare the performance of the technical efficiencies of the optimal risk budgeted portfolios obtained by the three approaches.

scholarly journals Hybrid bat-ant colony optimization algorithm for rule-based feature selection in health care

2020 ◽  
Vol 10 (6) ◽  
pp. 6655
Author(s):  
Rafid Sagban ◽  
Haydar A. Marhoon ◽  
Raaid Alubady
Keyword(s):  
Health Care ◽  
Cervical Cancer ◽  
Feature Selection ◽  
Ant Colony Optimization ◽  
Diagnostic Methods ◽  
Ant Colony ◽  
Ant Colony Optimization Algorithm ◽  
Data Set ◽  
Rule Based ◽  
Cancer Data

Rule-based classification in the field of health care using artificial intelligence provides solutions in decision-making problems involving different domains. An important challenge is providing access to good and fast health facilities. Cervical cancer is one of the most frequent causes of death in females. The diagnostic methods for cervical cancer used in health centers are costly and time-consuming. In this paper, bat algorithm for feature selection and ant colony optimization-based classification algorithm were applied on cervical cancer data set obtained from the repository of the University of California, Irvine to analyze the disease based on optimal features. The proposed algorithm outperforms other methods in terms of comprehensibility and obtains better results in terms of classification accuracy.

scholarly journals Differential-Evolution-Based Coevolution Ant Colony Optimization Algorithm for Bayesian Network Structure Learning

Algorithms ◽  
2018 ◽  
Vol 11 (11) ◽  
pp. 188 ◽  
Author(s):  
Xiangyin Zhang ◽  
Yuying Xue ◽  
Xingyang Lu ◽  
Songmin Jia
Keyword(s):  
Differential Evolution ◽  
Ant Colony Optimization ◽  
Structure Learning ◽  
Heuristic Algorithms ◽  
Evolutionary Process ◽  
Ant Colony ◽  
Training Data ◽  
Ant Colony Optimization Algorithm ◽  
Data Set ◽  
Optimal Network

Learning the Bayesian networks (BNs) structure from data has received increasing attention. Many heuristic algorithms have been introduced to search for the optimal network that best matches the given training data set. To further improve the performance of ant colony optimization (ACO) in learning the BNs structure, this paper proposes a new improved coevolution ACO (coACO) algorithm, which uses the pheromone information as the cooperative factor and the differential evolution (DE) as the cooperative strategy. Different from the basic ACO, the coACO divides the entire ant colony into various sub-colonies (groups), among which DE operators are adopted to implement the cooperative evolutionary process. Experimental results demonstrate that the proposed coACO outperforms the basic ACO in learning the BN structure in terms of convergence and accuracy.

Modeling and optimizing logistics, information, economic and financial intercluster cooperation using the ant colony optimization algorithm

2020 ◽  
Vol 26 (11) ◽  
pp. 2427-2447
Author(s):  
S.N. Yashin ◽  
E.V. Koshelev ◽  
S.A. Borisov
Keyword(s):  
Ant Colony Optimization ◽  
Optimization Algorithm ◽  
Population Decline ◽  
Innovation System ◽  
Federal District ◽  
Original Model ◽  
Ant Colony ◽  
Industrial Agglomeration ◽  
Ant Colony Optimization Algorithm

Subject. This article discusses the issues related to the creation of a technology of modeling and optimization of economic, financial, information, and logistics cluster-cluster cooperation within a federal district. Objectives. The article aims to propose a model for determining the optimal center of industrial agglomeration for innovation and industry clusters located in a federal district. Methods. For the study, we used the ant colony optimization algorithm. Results. The article proposes an original model of cluster-cluster cooperation, showing the best version of industrial agglomeration, the cities of Samara, Ulyanovsk, and Dimitrovgrad, for the Volga Federal District as a case study. Conclusions. If the industrial agglomeration center is located in these three cities, the cutting of the overall transportation costs and natural population decline in the Volga Federal District will make it possible to qualitatively improve the foresight of evolution of the large innovation system of the district under study.

Penerapan Algoritma ACO untuk Penjadwalan Kuliah Pengganti pada Perguruan Tinggi (Studi Kasus: Program Studi Informatika, Universitas Multimedia Nusantara)

2019 ◽  
Vol 9 (2) ◽  
pp. 79-85
Author(s):  
Indah Noviasari ◽  
Andre Rusli ◽  
Seng Hansun
Keyword(s):  
Ant Colony Optimization ◽  
Educational Institution ◽  
Ease Of Use ◽  
Perceived Usefulness ◽  
Ant Colony ◽  
Scheduling Problems ◽  
Perceived Ease Of Use ◽  
Ant Colony Optimization Algorithm ◽  
Scheduling System ◽  
Course Scheduling

Students and scheduling are both essential parts in a higher educational institution. However, after schedules are arranged and students has agreed to them, there are some occasions that can occur beyond the control of the university or lecturer which require the courses to be cancelled and arranged for replacement course schedules. At Universitas Multimedia Nusantara, an agreement between lecturers and students manually every time to establish a replacement course. The agreement consists of a replacement date and time that will be registered to the division of BAAK UMN which then enter the new schedule to the system. In this study, Ant Colony Optimization algorithm is implemented for scheduling replacement courses to make it easier and less time consuming. The Ant Colony Optimization (ACO) algorithm is chosen because it is proven to be effective when implemented to many scheduling problems. Result shows that ACO could enhance the scheduling system in Universitas Multimedia Nusantara, which specifically tested on the Department of Informatics replacement course scheduling system. Furthermore, the newly built system has also been tested by several lecturers of Informatics UMN with a good level of perceived usefulness and perceived ease of use. Keywords—scheduling system, replacement course, Universitas Multimedia Nusantara, Ant Colony Optimization

Application of Improved Multi-Objective Ant Colony Optimization Algorithm in Ship Weather Routing

2021 ◽  
Vol 20 (1) ◽  
pp. 45-55
Author(s):  
Guangyu Zhang ◽  
Hongbo Wang ◽  
Wei Zhao ◽  
Zhiying Guan ◽  
Pengfei Li
Keyword(s):  
Ant Colony Optimization ◽  
Optimization Algorithm ◽  
Ant Colony ◽  
Ant Colony Optimization Algorithm ◽  
Multi Objective ◽  
Weather Routing

scholarly journals Fast update method of new equipment status in IMS network based on ant colony optimization algorithm

2021 ◽  
Vol 1948 (1) ◽  
pp. 012049
Author(s):  
Lili Sun ◽  
Hongting Zhai ◽  
Qi Zhai ◽  
Liang Li ◽  
Qingrui Zhang
Keyword(s):  
Ant Colony Optimization ◽  
Optimization Algorithm ◽  
Ant Colony ◽  
Ant Colony Optimization Algorithm
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