Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem

In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative measures of risk have been proposed. In this contribution we focus on a class of measures that uses information contained both in lower and in upper tail of the distribution of the returns. We consider a nonlinear mixed-integer portfolio selection model which takes into account several constraints used in fund management practice. The latter problem is NP-hard in general, and exact algorithms for its minimization, which are both effective and efficient, are still sought at present. Thus, to approximately solve this model we experience the heuristics Particle Swarm Optimization (PSO). Since PSO was originally conceived for unconstrained global optimization problems, we apply it to a novel reformulation of our mixed-integer model, where a standard exact penalty function is introduced.Portfolio selection, coherent risk measure, fund management constraints, NP-hard mathematical programming problem, PSO, exact penalty method, SP100 index's assets.

Accelerated Particle Swarm Optimization and Support Vector Machine for Business Optimization and Applications

Business optimization is becoming increasingly important because all business activities aim to maximize the profit and performance of products and services, under limited resources and appropriate constraints. Recent developments in support vector machine and metaheuristics show many advantages of these techniques. In particular, particle swarm optimization is now widely used in solving tough optimization problems. In this paper, we use a combination of a recently developed Accelerated PSO and a nonlinear support vector machine to form a framework for solving business optimization problems. We first apply the proposed APSO-SVM to production optimization, and then use it for income prediction and project scheduling. We also carry out some parametric studies and discuss the advantages of the proposed metaheuristic SVM.Comment: 12 page

Global convergence analysis of the flower pollination algorithm: a Discrete-Time Markov Chain Approach

Flower pollination algorithm is a recent metaheuristic algorithm for solving nonlinear global optimization problems. The algorithm has also been extended to solve multiobjective optimization with promising results. In this work, we analyze this algorithm mathematically and prove its convergence properties by using Markov chain theory. By constructing the appropriate transition probability for a population of flower pollen and using the homogeneity property, it can be shown that the constructed stochastic sequences can converge to the optimal set. Under the two proper conditions for convergence, it is proved that the simplified flower pollination algorithm can indeed satisfy these convergence conditions and thus the global convergence of this algorithm can be guaranteed. Numerical experiments are used to demonstrate that the flower pollination algorithm can converge quickly in practice and can thus achieve global optimality efficiently

Cuckoo Search Inspired Hybridization of the Nelder-Mead Simplex Algorithm Applied to Optimization of Photovoltaic Cells

A new hybridization of the Cuckoo Search (CS) is developed and applied to optimize multi-cell solar systems; namely multi-junction and split spectrum cells. The new approach consists of combining the CS with the Nelder-Mead method. More precisely, instead of using single solutions as nests for the CS, we use the concept of a simplex which is used in the Nelder-Mead algorithm. This makes it possible to use the flip operation introduces in the Nelder-Mead algorithm instead of the Levy flight which is a standard part of the CS. In this way, the hybridized algorithm becomes more robust and less sensitive to parameter tuning which exists in CS. The goal of our work was to optimize the performance of multi-cell solar systems. Although the underlying problem consists of the minimization of a function of a relatively small number of parameters, the difficulty comes from the fact that the evaluation of the function is complex and only a small number of evaluations is possible. In our test, we show that the new method has a better performance when compared to similar but more compex hybridizations of Nelder-Mead algorithm using genetic algorithms or particle swarm optimization on standard benchmark functions. Finally, we show that the new method outperforms some standard meta-heuristics for the problem of interest

Global convergence analysis of the flower pollination algorithm: a Discrete-Time Markov Chain Approach

Flower pollination algorithm is a recent metaheuristic algorithm for solving nonlinear global optimization problems. The algorithm has also been extended to solve multiobjective optimization with promising results. In this work, we analyze this algorithm mathematically and prove its convergence properties by using Markov chain theory. By constructing the appropriate transition probability for a population of flower pollen and using the homogeneity property, it can be shown that the constructed stochastic sequences can converge to the optimal set. Under the two proper conditions for convergence, it is proved that the simplified flower pollination algorithm can indeed satisfy these convergence conditions and thus the global convergence of this algorithm can be guaranteed. Numerical experiments are used to demonstrate that the flower pollination algorithm can converge quickly in practice and can thus achieve global optimality efficiently

Collaborative gold mining algorithm : an optimization algorithm based on the natural gold mining process

In optimization algorithms, there are some challenges, including lack of optimal solution, slow convergence, lack of scalability, partial search space, and high computational demand. Inspired by the process of gold exploration and exploitation, we propose a new meta-heuristic and stochastic optimization algorithm called collaborative gold mining (CGM). The proposed algorithm has several iterations; in each of these, the center of mass of points with the highest amount of gold is calculated for each miner (agent), with this process continuing until the point with the highest amount of gold or when the optimal solution is found. In an n-dimensional geographic space, the CGM algorithm can locate the best position with the highest amount of gold in the entire search space by collaborating with several gold miners. The proposed CGM algorithm was applied to solve several continuous mathematical functions and several practical problems, namely, the optimal placement of resources, the traveling salesman problem, and bag-of-tasks scheduling. In order to evaluate its efficiency, the CGM results were compared with the outputs of some famous optimization algorithms, such as the genetic algorithm, simulated annealing, particle swarm optimization, and invasive weed optimization. In addition to determining the optimal solutions for all the evaluated problems, the experimental results show that the CGM mechanism has an acceptable performance in terms of optimal solution, convergence, scalability, search space, and computational demand for solving continuous and discrete problems