19,442 research outputs found
High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm
We implement a master-slave parallel genetic algorithm (PGA) with a bespoke
log-likelihood fitness function to identify emergent clusters within price
evolutions. We use graphics processing units (GPUs) to implement a PGA and
visualise the results using disjoint minimal spanning trees (MSTs). We
demonstrate that our GPU PGA, implemented on a commercially available general
purpose GPU, is able to recover stock clusters in sub-second speed, based on a
subset of stocks in the South African market. This represents a pragmatic
choice for low-cost, scalable parallel computing and is significantly faster
than a prototype serial implementation in an optimised C-based
fourth-generation programming language, although the results are not directly
comparable due to compiler differences. Combined with fast online intraday
correlation matrix estimation from high frequency data for cluster
identification, the proposed implementation offers cost-effective,
near-real-time risk assessment for financial practitioners.Comment: 10 pages, 5 figures, 4 tables, More thorough discussion of
implementatio
Genetic Transfer or Population Diversification? Deciphering the Secret Ingredients of Evolutionary Multitask Optimization
Evolutionary multitasking has recently emerged as a novel paradigm that
enables the similarities and/or latent complementarities (if present) between
distinct optimization tasks to be exploited in an autonomous manner simply by
solving them together with a unified solution representation scheme. An
important matter underpinning future algorithmic advancements is to develop a
better understanding of the driving force behind successful multitask
problem-solving. In this regard, two (seemingly disparate) ideas have been put
forward, namely, (a) implicit genetic transfer as the key ingredient
facilitating the exchange of high-quality genetic material across tasks, and
(b) population diversification resulting in effective global search of the
unified search space encompassing all tasks. In this paper, we present some
empirical results that provide a clearer picture of the relationship between
the two aforementioned propositions. For the numerical experiments we make use
of Sudoku puzzles as case studies, mainly because of their feature that
outwardly unlike puzzle statements can often have nearly identical final
solutions. The experiments reveal that while on many occasions genetic transfer
and population diversity may be viewed as two sides of the same coin, the wider
implication of genetic transfer, as shall be shown herein, captures the true
essence of evolutionary multitasking to the fullest.Comment: 7 pages, 6 figure
Digital Ecosystems: Ecosystem-Oriented Architectures
We view Digital Ecosystems to be the digital counterparts of biological
ecosystems. Here, we are concerned with the creation of these Digital
Ecosystems, exploiting the self-organising properties of biological ecosystems
to evolve high-level software applications. Therefore, we created the Digital
Ecosystem, a novel optimisation technique inspired by biological ecosystems,
where the optimisation works at two levels: a first optimisation, migration of
agents which are distributed in a decentralised peer-to-peer network, operating
continuously in time; this process feeds a second optimisation based on
evolutionary computing that operates locally on single peers and is aimed at
finding solutions to satisfy locally relevant constraints. The Digital
Ecosystem was then measured experimentally through simulations, with measures
originating from theoretical ecology, evaluating its likeness to biological
ecosystems. This included its responsiveness to requests for applications from
the user base, as a measure of the ecological succession (ecosystem maturity).
Overall, we have advanced the understanding of Digital Ecosystems, creating
Ecosystem-Oriented Architectures where the word ecosystem is more than just a
metaphor.Comment: 39 pages, 26 figures, journa
A Coevolutionary Particle Swarm Algorithm for Bi-Level Variational Inequalities: Applications to Competition in Highway Transportation Networks
A climate of increasing deregulation in traditional highway transportation,
where the private sector has an expanded role in the provision of traditional
transportation services, provides a background for practical policy issues to be investigated.
One of the key issues of interest, and the focus of this chapter, would
be the equilibrium decision variables offered by participants in this market. By assuming
that the private sector participants play a Nash game, the above problem can
be described as a Bi-Level Variational Inequality (BLVI). Our problem differs from
the classical Cournot-Nash game because each and every player’s actions is constrained
by another variational inequality describing the equilibrium route choice of
users on the network. In this chapter, we discuss this BLVI and suggest a heuristic
coevolutionary particle swarm algorithm for its resolution. Our proposed algorithm
is subsequently tested on example problems drawn from the literature. The numerical
experiments suggest that the proposed algorithm is a viable solution method for
this problem
A distributed framework for semi-automatically developing architectures of brain and mind
Developing comprehensive theories of low-level neuronal brain processes and high-level cognitive behaviours, as well as integrating them, is an ambitious challenge that requires new conceptual, computational, and empirical tools. Given the complexities of these theories, they will almost certainly be expressed as computational systems. Here, we propose to use recent developments in grid technology to develop a system of evolutionary scientific discovery, which will (a) enable empirical researchers to make their data widely available for use in developing and testing theories, and (b) enable theorists to semi-automatically develop computational theories. We illustrate these ideas with a case study taken from the domain of categorisation
Memetic Multilevel Hypergraph Partitioning
Hypergraph partitioning has a wide range of important applications such as
VLSI design or scientific computing. With focus on solution quality, we develop
the first multilevel memetic algorithm to tackle the problem. Key components of
our contribution are new effective multilevel recombination and mutation
operations that provide a large amount of diversity. We perform a wide range of
experiments on a benchmark set containing instances from application areas such
VLSI, SAT solving, social networks, and scientific computing. Compared to the
state-of-the-art hypergraph partitioning tools hMetis, PaToH, and KaHyPar, our
new algorithm computes the best result on almost all instances
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