A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints

In this paper, we employ the Conditional Value at Risk (CVaR) to measure the portfolio risk, and propose a mean-CVaR portfolio selection model. In addition, some real-world constraints are considered. The constructed model is a non-linear discrete optimization problem and difficult to solve by the classic optimization techniques. A novel hybrid algorithm based particle swarm optimization (PSO) and artificial bee colony (ABC) is designed for this problem. The hybrid algorithm introduces the ABC operator into PSO. A numerical example is given to illustrate the modeling idea of the paper and the effectiveness of the proposed hybrid algorithm

A Hybrid Artificial Bee Colony Algorithm for Graph 3-Coloring

The Artificial Bee Colony (ABC) is the name of an optimization algorithm that was inspired by the intelligent behavior of a honey bee swarm. It is widely recognized as a quick, reliable, and efficient methods for solving optimization problems. This paper proposes a hybrid ABC (HABC) algorithm for graph 3-coloring, which is a well-known discrete optimization problem. The results of HABC are compared with results of the well-known graph coloring algorithms of today, i.e. the Tabucol and Hybrid Evolutionary algorithm (HEA) and results of the traditional evolutionary algorithm with SAW method (EA-SAW). Extensive experimentations has shown that the HABC matched the competitive results of the best graph coloring algorithms, and did better than the traditional heuristics EA-SAW when solving equi-partite, flat, and random generated medium-sized graphs

Numerical study of augmented lagrangian algorithms for constrained global optimization

To cite this article: Ana Maria A.C. Rocha & Edite M.G.P. Fernandes (2011): Numerical study of augmented Lagrangian algorithms for constrained global optimization, Optimization, 60:10-11, 1359-1378This article presents a numerical study of two augmented Lagrangian algorithms to solve continuous constrained global optimization problems. The algorithms approximately solve a sequence of bound constrained subproblems whose objective function penalizes equality and inequality constraints violation and depends on the Lagrange multiplier vectors and a penalty parameter. Each subproblem is solved by a population-based method that uses an electromagnetism-like (EM) mechanism to move points towards optimality. Three local search procedures are tested to enhance the EM algorithm. Benchmark problems are solved in a performance evaluation of the proposed augmented Lagrangian methodologies. A comparison with other techniques presented in the literature is also reported

Feasibility and dominance rules in the electromagnetism-like algorithm for constrained global optimization

This paper presents the use of a constraint-handling technique, known as feasibility and dominance rules, in a electromagnetismlike (ELM) mechanism for solving constrained global optimization problems. Since the original ELM algorithm is specifically designed for solving bound constrained problems, only the inequality and equality constraints violation together with the objective function value are used to select points and to progress towards feasibility and optimality. Numerical experiments are presented, including a comparison with other methods recently reported in the literature

Hybridizing the electromagnetism-like algorithm with descent search for solving engineering design problems

In this paper, we present a new stochastic hybrid technique for constrained global optimization. It is a combination of the electromagnetism-like (EM) mechanism with a random local search, which is a derivative-free procedure with high ability of producing a descent direction. Since the original EM algorithm is specifically designed for solving bound constrained problems, the approach herein adopted for handling the inequality constraints of the problem relies on selective conditions that impose a sufficient reduction either in the constraints violation or in the objective function value, when comparing two points at a time. The hybrid EM method is tested on a set of benchmark engineering design problems and the numerical results demonstrate the effectiveness of the proposed approach. A comparison with results from other stochastic methods is also included

Theoretical and practical convergence of a self-adaptive penalty algorithm for constrained global optimization

This paper proposes a self-adaptive penalty function and presents a penalty-based algorithm for solving nonsmooth and nonconvex constrained optimization problems. We prove that the general constrained optimization problem is equivalent to a bound constrained problem in the sense that they have the same global solutions. The global minimizer of the penalty function subject to a set of bound constraints may be obtained by a population-based meta-heuristic. Further, a hybrid self-adaptive penalty firefly algorithm, with a local intensification search, is designed, and its convergence analysis is established. The numerical experiments and a comparison with other penalty-based approaches show the effectiveness of the new self-adaptive penalty algorithm in solving constrained global optimization problems.The authors would like to thank the referees, the Associate Editor and the Editor-in-Chief for their valuable comments and suggestions to improve the paper. This work has been supported by COMPETE: POCI-01-0145-FEDER-007043 and FCT - Funda¸c˜ao para a Ciˆencia e Tecnologia within the projects UID/CEC/00319/2013 and UID/MAT/00013/2013.info:eu-repo/semantics/publishedVersio

Comparison of bio-inspired algorithms applied to the coordination of mobile robots considering the energy consumption

Many applications, related to autonomous mobile robots, require to explore in an unknown environment searching for static targets, without any a priori information about the environment topology and target locations. Targets in such rescue missions can be fire, mines, human victims, or dangerous material that the robots have to handle. In these scenarios, some cooperation among the robots is required for accomplishing the mission. This paper focuses on the application of different bio-inspired metaheuristics for the coordination of a swarm of mobile robots that have to explore an unknown area in order to rescue and handle cooperatively some distributed targets. This problem is formulated by first defining an optimization model and then considering two sub-problems: exploration and recruiting. Firstly, the environment is incrementally explored by robots using a modified version of ant colony optimization. Then, when a robot detects a target, a recruiting mechanism is carried out to recruit a certain number of robots to deal with the found target together. For this latter purpose, we have proposed and compared three approaches based on three different bio-inspired algorithms (Firefly Algorithm, Particle Swarm Optimization, and Artificial Bee Algorithm). A computational study and extensive simulations have been carried out to assess the behavior of the proposed approaches and to analyze their performance in terms of total energy consumed by the robots to complete the mission. Simulation results indicate that the firefly-based strategy usually provides superior performance and can reduce the wastage of energy, especially in complex scenarios

An artificial fish swarm filter-based Method for constrained global optimization

Ana Maria A.C. Rocha, M. Fernanda P. Costa and Edite M.G.P. Fernandes, An Artificial Fish Swarm Filter-Based Method for Constrained Global Optimization, B. Murgante, O. Gervasi, S. Mirsa, N. Nedjah, A.M. Rocha, D. Taniar, B. Apduhan (Eds.), Lecture Notes in Computer Science, Part III, LNCS 7335, pp. 57–71, Springer, Heidelberg, 2012.An artificial fish swarm algorithm based on a filter methodology for trial solutions acceptance is analyzed for general constrained global optimization problems. The new method uses the filter set concept to accept, at each iteration, a population of trial solutions whenever they improve constraint violation or objective function, relative to the current solutions. The preliminary numerical experiments with a wellknown benchmark set of engineering design problems show the effectiveness of the proposed method.Fundação para a Ciência e a Tecnologia (FCT

Combined artificial bee colony algorithm and machine learning techniques for prediction of online consumer repurchase intention

A novel paradigm in the service sector i.e. services through the web is a progressive mechanism for rendering offerings over diverse environments. Internet provides huge opportunities for companies to provide personalized online services to their customers. But prompt novel web services introduction may unfavorably affect the quality and user gratification. Subsequently, prediction of the consumer intention is of supreme importance in selecting the web services for an application. The aim of study is to predict online consumer repurchase intention and to achieve this objective a hybrid approach which a combination of machine learning techniques and Artificial Bee Colony (ABC) algorithm has been used. The study is divided into three phases. Initially, shopping mall and consumer characteristic’s for repurchase intention has been identified through extensive literature review. Secondly, ABC has been used to determine the feature selection of consumers’ characteristics and shopping malls’ attributes (with > 0.1 threshold value) for the prediction model. Finally, validation using K-fold cross has been employed to measure the best classification model robustness. The classification models viz., Decision Trees (C5.0), AdaBoost, Random Forest (RF), Support Vector Machine (SVM) and Neural Network (NN), are utilized for prediction of consumer purchase intention. Performance evaluation of identified models on training-testing partitions (70-30%) of the data set, shows that AdaBoost method outperforms other classification models with sensitivity and accuracy of 0.95 and 97.58% respectively, on testing data set. This study is a revolutionary attempt that considers both, shopping mall and consumer characteristics in examine the consumer purchase intention.N/

Forecasting Government Bond Spreads with Heuristic Models:Evidence from the Eurozone Periphery

This study investigates the predictability of European long-term government bond spreads through the application of heuristic and metaheuristic support vector regression (SVR) hybrid structures. Genetic, krill herd and sine–cosine algorithms are applied to the parameterization process of the SVR and locally weighted SVR (LSVR) methods. The inputs of the SVR models are selected from a large pool of linear and non-linear individual predictors. The statistical performance of the main models is evaluated against a random walk, an Autoregressive Moving Average, the best individual prediction model and the traditional SVR and LSVR structures. All models are applied to forecast daily and weekly government bond spreads of Greece, Ireland, Italy, Portugal and Spain over the sample period 2000–2017. The results show that the sine–cosine LSVR is outperforming its counterparts in terms of statistical accuracy, while metaheuristic approaches seem to benefit the parameterization process more than the heuristic ones