Novel particle swarm optimization algorithms with applications in power systems

This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University LondonOptimization problems are vital in physical sciences, commercial and finance matters. In a nutshell, almost everyone is the stake-holder in certain optimization problems aiming at minimizing the cost of production and losses of system, and also maximizing the profit. In control systems, the optimal configuration problems are essential that have been solved by various newly developed methods. The literature is exhaustively explored for an appropriate optimization method to solve such kind of problems. Particle Swarm Optimization is found to be one of the best among several optimization methods by analysing the experimental results. Two novel PSO variants are introduced in this thesis. The first one is named as N State Markov Jumping Particle Swarm Optimization, which is based on the stochastic technique and Markov chain in updating the particle velocity. We have named the second variant as N State Switching Particle Swarm Optimization, which is based on the evolutionary factor information for updating the velocity. The proposed algorithms are then applied to some widely used mathematical benchmark functions. The statistical results of 30 independent trails illustrate the robustness and accuracy of the proposed algorithms for most of the benchmark functions. The better results in terms of mean minimum evaluation errors and the shortest computation time are illustrated. In order to verify the satisfactory performance and robustness of the proposed algorithms, we have further formulated some basic applications in power system operations. The first application is about the static Economic Load Dispatch and the second application is on the Dynamic Economic Load Dispatch. These are highly complex and non-linear problems of power system operations consisting of various systems and generator constraints. Basically, in the static Economic Load Dispatch, a single load is considered for calculating the cost function. In contrast, the Dynamic Economic Load Dispatch changes the load demand for the cost function dynamically with time. In such a challenging and complex environment the proposed algorithms can be applied. The empirical results obtained by applying both of the proposed methods have substantiated their adaptability and robustness into the real-world environment. It is shown in the numerical results that the proposed algorithms are robust and accurate as compared to the other algorithms. The proposed algorithms have produced consistent best values for their objectives, where satisfying all constraints with zero penalty

A Comprehensive Survey on Particle Swarm Optimization Algorithm and Its Applications

Particle swarm optimization (PSO) is a heuristic global optimization method, proposed originally by Kennedy and Eberhart in 1995. It is now one of the most commonly used optimization techniques. This survey presented a comprehensive investigation of PSO. On one hand, we provided advances with PSO, including its modifications (including quantum-behaved PSO, bare-bones PSO, chaotic PSO, and fuzzy PSO), population topology (as fully connected, von Neumann, ring, star, random, etc.), hybridization (with genetic algorithm, simulated annealing, Tabu search, artificial immune system, ant colony algorithm, artificial bee colony, differential evolution, harmonic search, and biogeography-based optimization), extensions (to multiobjective, constrained, discrete, and binary optimization), theoretical analysis (parameter selection and tuning, and convergence analysis), and parallel implementation (in multicore, multiprocessor, GPU, and cloud computing forms). On the other hand, we offered a survey on applications of PSO to the following eight fields: electrical and electronic engineering, automation control systems, communication theory, operations research, mechanical engineering, fuel and energy, medicine, chemistry, and biology. It is hoped that this survey would be beneficial for the researchers studying PSO algorithms

Development of an Entropy-Based Swarm Algorithm for Continuous Dynamic Constrained Optimization

Dynamic constrained optimization problems form a class of problems WHERE the objective function or the constraints can change over time. In static optimization, finding a global optimum is considered as the main goal. In dynamic optimization, the goal is not only to find an optimal solution, but also track its trajectory as closely as possible over time. Changes in the environment must be taken into account during the optimization process in such way that these problems are to be solved online. Many real-world problems can be formulated within this framework. This thesis proposes an entropy-based bare bones particle swarm for solving dynamic constrained optimization problems. The Shannons entropy is established as a phenotypic diversity index and the proposed algorithm uses the Shannons index of diversity to aggregate the global-best and local-best bare bones particle swarm variants. The proposed approach applies the idea of mixture of search directions by using the index of diversity as a factor to balance the influence of the global-best and local-best search directions. High diversity promotes the search guided by the global-best solution, with a normal distribution for exploitation. Low diversity promotes the search guided by the local-best solution, with a heavy-tailed distribution for exploration. A constraint-handling strategy is also proposed, which uses a ranking method with selection based on the technique for order of preference by similarity to ideal solution to obtain the best solution within a specific population of candidate solutions. Mechanisms to detect changes in the environment and to update particles' memories are also implemented into the proposed algorithm. All these strategies do not act independently. They operate related to each other to tackle problems such as: diversity loss due to convergence and outdated memories due to changes in the environment. The combined effect of these strategies provides an algorithm with ability to maintain a proper balance between exploration and exploitation at any stage of the search process without losing the tracking ability to search an optimal solution which is changing over time. An empirical study was carried out to evaluate the performance of the proposed approach. Experimental results show the suitability of the algorithm in terms of effectiveness to find good solutions for the benchmark problems investigated. Finally, an application is developed, WHERE the proposed algorithm is applied to solve the dynamic economic dispatch problem in power systems

Particle swarm optimisation with applications in power system generation

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University, 12/06/2007.Today the modern power system is more dynamic and its operation is a subject to a number of constraints that are reflected in various management and planning tools used by system operators. In the case of hourly generation planning, Economic Dispatch (ED) allocates the outputs of all committed generating units, which are previously identified by the solution of the Unit Commitment (UC) problem. Thus, the accurate solutions of the ED and UC problems are essential in order to operate the power system in an economic and efficient manner. A number of computation techniques have progressively been proposed to solve these critical issues. One of them is a Particle Swarm Optimisation (PSO), which belongs to the evolutionary computation techniques, and it has attracted a great attention of the research community since it has been found to be extremely effective in solving a wide range of engineering problems. The attractive characteristics of PSO include: ease of implementation, fast convergence compared with the traditional evolutionary computation techniques and stable convergence characteristic. Although the PSO algorithms can converge very quickly towards the optimal solutions for many optimisation problems, it has been observed that in problems with a large number of suboptimal areas (i.e. multi-modal problems), PSO could get trapped in those local minima, including ED and UC problems. Aiming at enhancing the diversity of the traditional PSO algorithms, this thesis proposes a method of combining the PSO algorithms with a real-valued natural mutation (RVM) operator to enhance the global search capability and investigate the performance of the proposed algorithm compared with the standard PSO algorithms and other algorithms. Prior to applying to ED and UC problems, the proposed method is tested with some selected mathematical functions where the results show that it can avoid being trapped in local minima. The proposed methodology is then applied to ED and UC problems, and the obtained results show that it can provide solutions with good accuracy and stable convergence characteristic with simple implementation and satisfactory calculation time. Furthermore, the sensitivity analysis of PSO parameters has been studied so as to investigate the response of the proposed method to the parameter variations, especially in both ED and UC problems. The outcome of this research shows that the proposed method succeeds in dealing with the PSO' s drawbacks and also shows the superiority over the traditional PSO algorithms and other methods in terms of high quality solutions, stable convergence characteristic, and robustness.Royal Thai Government; King Mongkut's Institute of Technology North Bangko

Particle Swarm Optimization

Particle swarm optimization (PSO) is a population based stochastic optimization technique influenced by the social behavior of bird flocking or fish schooling.PSO shares many similarities with evolutionary computation techniques such as Genetic Algorithms (GA). The system is initialized with a population of random solutions and searches for optima by updating generations. However, unlike GA, PSO has no evolution operators such as crossover and mutation. In PSO, the potential solutions, called particles, fly through the problem space by following the current optimum particles. This book represents the contributions of the top researchers in this field and will serve as a valuable tool for professionals in this interdisciplinary field

Using Particle Swarm Optimization for Market Timing Strategies

Market timing is the issue of deciding when to buy or sell a given asset on the market. As one of the core issues of algorithmic trading systems, designers of such system have turned to computational intelligence methods to aid them in this task. In this thesis, we explore the use of Particle Swarm Optimization (PSO) within the domain of market timing.nPSO is a search metaheuristic that was first introduced in 1995 [28] and is based on the behavior of birds in flight. Since its inception, the PSO metaheuristic has seen extensions to adapt it to a variety of problems including single objective optimization, multiobjective optimization, niching and dynamic optimization problems. Although popular in other domains, PSO has seen limited application to the issue of market timing. The current incumbent algorithm within the market timing domain is Genetic Algorithms (GA), based on the volume of publications as noted in [40] and [84]. In this thesis, we use PSO to compose market timing strategies using technical analysis indicators. Our first contribution is to use a formulation that considers both the selection of components and the tuning of their parameters in a simultaneous manner, and approach market timing as a single objective optimization problem. Current approaches only considers one of those aspects at a time: either selecting from a set of components with fixed values for their parameters or tuning the parameters of a preset selection of components. Our second contribution is proposing a novel training and testing methodology that explicitly exposes candidate market timing strategies to numerous price trends to reduce the likelihood of overfitting to a particular trend and give a better approximation of performance under various market conditions. Our final contribution is to consider market timing as a multiobjective optimization problem, optimizing five financial metrics and comparing the performance of our PSO variants against a well established multiobjective optimization algorithm. These algorithms address unexplored research areas in the context of PSO algorithms to the best of our knowledge, and are therefore original contributions. The computational results over a range of datasets shows that the proposed PSO algorithms are competitive to GAs using the same formulation. Additionally, the multiobjective variant of our PSO algorithm achieve statistically significant improvements over NSGA-II

Evolutionary Algorithms and Computational Methods for Derivatives Pricing

This work aims to provide novel computational solutions to the problem of derivative pricing. To achieve this, a novel hybrid evolutionary algorithm (EA) based on particle swarm optimisation (PSO) and differential evolution (DE) is introduced and applied, along with various other state-of-the-art variants of PSO and DE, to the problem of calibrating the Heston stochastic volatility model. It is found that state-of-the-art DEs provide excellent calibration performance, and that previous use of rudimentary DEs in the literature undervalued the use of these methods. The use of neural networks with EAs for approximating the solution to derivatives pricing models is next investigated. A set of neural networks are trained from Monte Carlo (MC) simulation data to approximate the closed form solution for European, Asian and American style options. The results are comparable to MC pricing, but with offline evaluation of the price using the neural networks being orders of magnitudes faster and computationally more efficient. Finally, the use of custom hardware for numerical pricing of derivatives is introduced. The solver presented here provides an energy efficient data-flow implementation for pricing derivatives, which has the potential to be incorporated into larger high-speed/low energy trading systems

Development of evolutionary based techniques with applications to engineering.

Every possible problem can be considered to have a set of possible states by which amongst them, some are considered better than others by some chosen measure. It is the intention of optimisation to discover such states that perform better than all others for any given problem. It is an important tool within an array of subject areas, arguably all, in particular engineering, which tackles such applications as shape optimisation and industrial scheduling to name but a few. The aims of this work, are to increase the performance of the in-house general-purpose particle swarm optimiser designed at the department of engineering at Swansea University. This is to be achieved through its hybridisation with a local search, considering both solution refinement and early triggering mechanisms. In the discrete domain, an ant colony algorithm is to be chosen and evaluated by way of a parameter study and comparison against other leading ant colony algorithms made for the purpose of development for the future application to scheduling problems. Objectives are achieved through the increased refinement properties of the particle swarm optimiser with its hybridisation with local search. Additionally, an early switching mechanism is derived for the local search, resulting on average in a 20% reduction in the number of function evaluations required for constrained problems. With the highly unpredictable responses to unconstrained problems, only stagnation measures are derived. This study bridges the gap between the in-house optimiser and other hybrid particle swarm techniques available in the literature, resulting in competitive performance. An extensive literature review of ant colony identified the population-based ant colony algorithm (PACO) for further investigation. A detailed parameter study is conducted, resulting in the realisation of the strongly coupled parameters present. Following this, a hybrid off-line tuning method is devised, hybridising a simple particle swarm optimiser with the ant colony algorithm, resulting in an overall better performing algorithm. This indicated clear strengths in some cases over the more popular of ant colony algorithms

A Serendipitous Software Framework for Facilitating Collaboration in Computational Intelligence

A major flaw in the academic system, particularly pertaining to computer science, is that it rewards specialisation. The highly competitive quest for new scientific developments, or rather the quest for a better reputation and more funding, forces researchers to specialise in their own fields, leaving them little time to properly explore what others are doing, sometimes even within their own field of interest. Even the peer review process, which should provide the necessary balance, fails to achieve much diversity, since reviews are typically performed by persons who are again specialists in the particular field of the work. Further, software implementations are rarely reviewed, having as a consequence the publishing of untenable results. Unfortunately, these factors contribute to an environment which is not conducive to collaboration, a cornerstone of academia | building on the work of others. This work takes a step back and examines the general landscape of computational intelligence from a broad perspective, drawing on multiple disciplines to formulate a collaborative software platform, which is flexible enough to support the needs of this diverse research community. Interestingly, this project did not set out with these goals in mind, rather it evolved, over time, from something more specialised into the general framework described in this dissertation. Design patterns are studied as a means to manage the complexity of the computational intelligence paradigm in a flexible software implementation. Further, this dissertation demonstrates that releasing research software under an open source license eliminates some of the deficiencies of the academic process, while preserving, and even improving, the ability to build a reputation and pursue funding. Two software packages have been produced as products of this research: i) CILib, an open source library of computational intelligence algorithms; and ii) CiClops, which is a virtual laboratory for performing experiments that scale over multiple workstations. Together, these software packages are intended to improve the quality of research output and facilitate collaboration by sharing a repository of simulation data, statistical analysis tools and a single software implementation.Dissertation (MSc)--University of Pretoria, 2006.Computer ScienceUnrestricte