A survey on financial applications of metaheuristics

Modern heuristics or metaheuristics are optimization algorithms that have been increasingly used during the last decades to support complex decision-making in a number of fields, such as logistics and transportation, telecommunication networks, bioinformatics, finance, and the like. The continuous increase in computing power, together with advancements in metaheuristics frameworks and parallelization strategies, are empowering these types of algorithms as one of the best alternatives to solve rich and real-life combinatorial optimization problems that arise in a number of financial and banking activities. This article reviews some of the works related to the use of metaheuristics in solving both classical and emergent problems in the finance arena. A non-exhaustive list of examples includes rich portfolio optimization, index tracking, enhanced indexation, credit risk, stock investments, financial project scheduling, option pricing, feature selection, bankruptcy and financial distress prediction, and credit risk assessment. This article also discusses some open opportunities for researchers in the field, and forecast the evolution of metaheuristics to include real-life uncertainty conditions into the optimization problems being considered.This work has been partially supported by the Spanish Ministry of Economy and Competitiveness (TRA2013-48180-C3-P, TRA2015-71883-REDT), FEDER, and the Universitat Jaume I mobility program (E-2015-36)

The implementation frameworks of meta-heuristics hybridization with dynamic parameterization

The hybridization of meta-heuristics algorithms has achieved a remarkable improvement fromthe adaptation of dynamic parameterization. This paper proposes a variety of implementationframeworks for the hybridization of Particle Swarm Optimization (PSO) and GeneticAlgorithm (GA) and the dynamic parameterization. In this paper, taxonomy of the PSO-GAwith dynamic parameterization is presented to provide a common terminology andclassification mechanisms. Based on the taxonomy, thirty implementation frameworks arepossible to be adapted. Furthermore, different algorithms that used the implementationframeworks with sequential scheme and dynamic parameterizations approaches are tested insolving a facility layout problem. The results present the effectiveness of each tested algorithm in comparison to the single PSO and constant parameterization.Keywords: hybridization; PSO; GA; implementation frameworks; dynamic parameterization

Global Trajectory Optimisation : Can We Prune the Solution Space When Considering Deep Space Manoeuvres? [Final Report]

This document contains a report on the work done under the ESA/Ariadna study 06/4101 on the global optimization of space trajectories with multiple gravity assist (GA) and deep space manoeuvres (DSM). The study was performed by a joint team of scientists from the University of Reading and the University of Glasgow

Comprehensive Taxonomies of Nature- and Bio-inspired Optimization: Inspiration Versus Algorithmic Behavior, Critical Analysis Recommendations

In recent algorithmic family simulates different biological processes observed in Nature in order to efficiently address complex optimization problems. In the last years the number of bio-inspired optimization approaches in literature has grown considerably, reaching unprecedented levels that dark the future prospects of this field of research. This paper addresses this problem by proposing two comprehensive, principle-based taxonomies that allow researchers to organize existing and future algorithmic developments into well-defined categories, considering two different criteria: the source of inspiration and the behavior of each algorithm. Using these taxonomies we review more than three hundred publications dealing with nature- inspired and bio-inspired algorithms, and proposals falling within each of these categories are examined, leading to a critical summary of design trends and similarities between them, and the identification of the most similar classical algorithm for each reviewed paper. From our analysis we conclude that a poor relationship is often found between the natural inspiration of an algorithm and its behavior. Furthermore, similarities in terms of behavior between different algorithms are greater than what is claimed in their public disclosure: specifically, we show that more than one-third of the reviewed bio-inspired solvers are versions of classical algorithms. Grounded on the conclusions of our critical analysis, we give several recommendations and points of improvement for better methodological practices in this active and growing research field

Generalised Adaptive Harmony Search: A Comparative Analysis of Modern Harmony Search

Harmony search (HS) was introduced in 2001 as a heuristic population-based optimisation algorithm. Since then HS has become a popular alternative to other heuristic algorithms like simulated annealing and particle swarm optimisation. However, some flaws, like the need for parameter tuning, were identified and have been a topic of study for much research over the last 10 years. Many variants of HS were developed to address some of these flaws, and most of them have made substantial improvements. In this paper we compare the performance of three recent HS variants: exploratory harmony search, self-adaptive harmony search, and dynamic local-best harmony search. We compare the accuracy of these algorithms, using a set of well-known optimisation benchmark functions that include both unimodal and multimodal problems. Observations from this comparison led us to design a novel hybrid that combines the best attributes of these modern variants into a single optimiser called generalised adaptive harmony search

Conceptual Design of Wind Farms Through Novel Multi-Objective Swarm Optimization

Wind is one of the major sources of clean and renewable energy, and global wind energy has been experiencing a steady annual growth rate of more than 20% over the past decade. In the U.S. energy market, although wind energy is one of the fastest increasing sources of electricity generation (by annual installed capacity addition), and is expected to play an important role in the future energy demographics of this country, it has also been plagued by project underperformance and concept-to-installation delays. There are various factors affecting the quality of a wind energy project, and most of these factors are strongly coupled in their influence on the socio-economic, production, and environmental objectives of a wind energy project. To develop wind farms that are profitable, reliable, and meet community acceptance, it is critical to accomplish balance between these objectives, and therefore a clean understanding of how different design and natural factors jointly impact these objectives is much needed. In this research, a Multi-objective Wind Farm Design (MOWFD) methodology is developed, which analyzes and integrates the impact of various factors on the conceptual design of wind farms. This methodology contributes three major advancements to the wind farm design paradigm: (I) provides a new understanding of the impact of key factors on the wind farm performance under the use of different wake models; (II) explores the crucial tradeoffs between energy production, cost of energy, and the quantitative role of land usage in wind farm layout optimization (WFLO); and (III) makes novel advancements on mixed-discrete particle swarm optimization algorithm through a multi-domain diversity preservation concept, to solve complex multi-objective optimization (MOO) problems. A comprehensive sensitivity analysis of the wind farm power generation is performed to understand and compare the impact of land configuration, installed capacity decisions, incoming wind speed, and ambient turbulence on the performance of conventional array layouts and optimized wind farm layouts. For array-like wind farms, the relative importance of each factor was found to vary significantly with the choice of wake models, i.e., appreciable differences in the sensitivity indices (of up to 70%) were observed across the different wake models. In contrast, for optimized wind farm layouts, the choice of wake models was observed to have no significant impact on the sensitivity indices. The MOWFD methodology is designed to explore the tradeoffs between the concerned performance objectives and simultaneously optimize the location of turbines, the type of turbines, and the land usage. More importantly, it facilitates WFLO without prescribed conditions (e.g., fixed wind farm boundaries and number of turbines), thereby allowing a more flexible exploration of the feasible layout solutions than is possible with other existing WFLO methodologies. In addition, a novel parameterization of the Pareto is performed to quantitatively explore how the best tradeoffs between energy production and land usage vary with the installed capacity decisions. The key to the various complex MO-WFLOs performed here is the unique set of capabilities offered by the new Multi-Objective Mixed-Discrete Particle Swarm Optimization (MO-MDPSO) algorithm, developed, tested and extensively used in this dissertation. The MO-MDPSO algorithm is capable of dealing with a plethora of problem complexities, namely: multiple highly nonlinear objectives, constraints, high design space dimensionality, and a mixture of continuous and discrete design variables. Prior to applying MO-MDPSO to effectively solve complex WFLO problems, this new algorithm was tested on a large and diverse suite of popular benchmark problems; the convergence and Pareto coverage offered by this algorithm was found to be competitive with some of the most popular MOO algorithms (e.g., GAs). The unique potential of the MO-MDPSO algorithm is further established through application to the following complex practical engineering problems: (I) a disc brake design problem, (II) a multi-objective wind farm layout optimization problem, simultaneously optimizing the location of turbines, the selection of turbine types, and the site orientation, and (III) simultaneously minimizing land usage and maximizing capacity factors under varying land plot availability

A two-stage structural optimisation and thermal discretisation of non-convective structured insulators: applications in granular-solid structures by additive manufacturing technology

A systematic design procedure for characterising the strength and insulation requirements of a modular unit structure from additive manufacturing has been presented. The proposed 'two-stage' method consists of structural optimisation and thermal 'discretisation', through use of the Metamorphic Development (MD) and Discretisation by Partitioning Method (DbPM), respectively. A structural layout optimisation method of a consolidated granular-solid structure for strength requirements is demonstrated. The reliability of the layout optimized design solution tested using experiments and finite element analysis (PEA) are reproduced with reasonable accuracy. Layout optimisation yielded 40% savings in build material, whilst satisfying the targeted deflection. [Continues.

Swarm Intelligence

Swarm Intelligence has emerged as one of the most studied artificial intelligence branches during the last decade, constituting the fastest growing stream in the bio-inspired computation community. A clear trend can be deduced analyzing some of the most renowned scientific databases available, showing that the interest aroused by this branch has increased at a notable pace in the last years. This book describes the prominent theories and recent developments of Swarm Intelligence methods, and their application in all fields covered by engineering. This book unleashes a great opportunity for researchers, lecturers, and practitioners interested in Swarm Intelligence, optimization problems, and artificial intelligence