12 research outputs found

    Evolutionary framework with reinforcement learning-based mutation adaptation

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    Although several multi-operator and multi-method approaches for solving optimization problems have been proposed, their performances are not consistent for a wide range of optimization problems. Also, the task of ensuring the appropriate selection of algorithms and operators may be inefficient since their designs are undertaken mainly through trial and error. This research proposes an improved optimization framework that uses the benefits of multiple algorithms, namely, a multi-operator differential evolution algorithm and a co-variance matrix adaptation evolution strategy. In the former, reinforcement learning is used to automatically choose the best differential evolution operator. To judge the performance of the proposed framework, three benchmark sets of bound-constrained optimization problems (73 problems) with 10, 30 and 50 dimensions are solved. Further, the proposed algorithm has been tested by solving optimization problems with 100 dimensions taken from CEC2014 and CEC2017 benchmark problems. A real-world application data set has also been solved. Several experiments are designed to analyze the effects of different components of the proposed framework, with the best variant compared with a number of state-of-the-art algorithms. The experimental results show that the proposed algorithm is able to outperform all the others considered.</p

    Multi-population inflationary differential evolution algorithm with adaptive local restart

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    In this paper a Multi-Population Inflationary Differential Evolution algorithm with Adaptive Local Restart is presented and extensively tested over more than fifty test functions from the CEC 2005, CEC 2011 and CEC 2014 competitions. The algorithm combines a multi-population adaptive Differential Evolution with local search and local and global restart procedures. The proposed algorithm implements a simple but effective mechanism to avoid multiple detections of the same local minima. The novel mechanism allows the algorithm to decide whether to start or not a local search. The local restart of the population, which follows the local search, is, therefore, automatically adapted

    A NOVEL METAHEURISTIC ALGORITHM: DYNAMIC VIRTUAL BATS ALGORITHM FOR GLOBAL OPTIMIZATION

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    A novel nature-inspired algorithm called the Dynamic Virtual Bats Algorithm (DVBA) is presented in this thesis. DVBA is inspired by a bat’s ability to manipulate frequency and wavelength of the emitted sound waves when hunting. A role based search has been developed to improve the diversification and intensification capability of standard Bat Algorithm (BA). Although DVBA is inspired from bats, like BA, it is conceptually very different from BA. BA needs a huge number of population size; however, DVBA employs just two bats to handle the ”exploration and exploitation” conflict which is known as a real challenge for all optimization algorithms. Firstly, we study bat’s echolocation ability and next, the most known bat-inspired algorithm and its modified versions are analyzed. The contributions of this thesis start reading and imitating bat’s hunting strategies with different perspectives. In the DVBA, there are only two bats: explorer and exploiter bat. While the explorer bat explores the search space, the exploiter bat makes an intensive search of the local with the highest probability of locating the desired target. Depending on their location, bats exchange the roles dynamically. The performance of the DVBA is extensively evaluated on a suite of 30 bound-constrained optimization problems from Congress of Evolutionary Computation (CEC) 2014 and compared with 4 classical optimization algorithm, 4 state-of-the-art modified bat algorithms, and 5 algorithms from a special session at CEC2014. In addition, DVBA is tested on supply chain cost problem to see its performance on a complicated real world problem. The experimental results demonstrated that the proposed DVBA outperform, or is comparable to, its competitors in terms of the quality of final solution and its convergence rates.Epoka Universit

    関数最適化問題に対する適応型差分進化法の研究

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    学位の種別: 課程博士審査委員会委員 : (主査)東京大学准教授 福永 アレックス, 東京大学教授 池上 高志, 東京大学教授 植田 一博, 東京大学教授 山口 泰, 東京大学教授 伊庭 斉志University of Tokyo(東京大学

    Improving differential evolution using inductive programming

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    Evolutionary Computation 2020

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    Intelligent optimization is based on the mechanism of computational intelligence to refine a suitable feature model, design an effective optimization algorithm, and then to obtain an optimal or satisfactory solution to a complex problem. Intelligent algorithms are key tools to ensure global optimization quality, fast optimization efficiency and robust optimization performance. Intelligent optimization algorithms have been studied by many researchers, leading to improvements in the performance of algorithms such as the evolutionary algorithm, whale optimization algorithm, differential evolution algorithm, and particle swarm optimization. Studies in this arena have also resulted in breakthroughs in solving complex problems including the green shop scheduling problem, the severe nonlinear problem in one-dimensional geodesic electromagnetic inversion, error and bug finding problem in software, the 0-1 backpack problem, traveler problem, and logistics distribution center siting problem. The editors are confident that this book can open a new avenue for further improvement and discoveries in the area of intelligent algorithms. The book is a valuable resource for researchers interested in understanding the principles and design of intelligent algorithms

    Evolutionary Algorithms and Computational Methods for Derivatives Pricing

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    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
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