1,956 research outputs found
A variable neighborhood search simheuristic for project portfolio selection under uncertainty
With limited nancial resources, decision-makers in rms and governments face the task of selecting the best portfolio of projects to invest in. As the pool of project proposals increases and more realistic constraints are considered, the problem becomes NP-hard. Thus, metaheuristics have been employed for solving large instances of the project portfolio selection problem (PPSP). However, most of the existing works do not account for uncertainty. This paper contributes to close this gap by analyzing a stochastic version of the PPSP: the goal is to maximize the expected net present value of the inversion, while considering random cash ows and discount rates in future periods, as well as a rich set of constraints including the maximum risk allowed. To solve this stochastic PPSP, a simulation-optimization algorithm is introduced. Our approach integrates a variable neighborhood search metaheuristic with Monte Carlo simulation. A series of computational experiments contribute to validate our approach and illustrate how the solutions vary as the level of uncertainty increases
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Combinatorial optimization and metaheuristics
Today, combinatorial optimization is one of the youngest and most active areas of discrete mathematics. It is a branch of optimization in applied mathematics and computer science, related to operational research, algorithm theory and computational complexity theory. It sits at the intersection of several fields, including artificial intelligence, mathematics and software engineering. Its increasing interest arises for the fact that a large number of scientific and industrial problems can be formulated as abstract combinatorial optimization problems, through graphs and/or (integer) linear programs. Some of these problems have polynomial-time (âefficientâ) algorithms, while most of them are NP-hard, i.e. it is not proved that they can be solved in polynomial-time. Mainly, it means that it is not possible to guarantee that an exact solution to the problem can be found and one has to settle for an approximate solution with known performance guarantees. Indeed, the goal of approximate methods is to find âquicklyâ (reasonable run-times), with âhighâ probability, provable âgoodâ solutions (low error from the real optimal solution). In the last 20 years, a new kind of algorithm commonly called metaheuristics have emerged in this class, which basically try to combine heuristics in high level frameworks aimed at efficiently and effectively exploring the search space. This report briefly outlines the components, concepts, advantages and disadvantages of different metaheuristic approaches from a conceptual point of view, in order to analyze their similarities and differences. The two very significant forces of intensification and diversification, that mainly determine the behavior of a metaheuristic, will be pointed out. The report concludes by exploring the importance of hybridization and integration methods
Automated Design of Metaheuristic Algorithms: A Survey
Metaheuristics have gained great success in academia and practice because
their search logic can be applied to any problem with available solution
representation, solution quality evaluation, and certain notions of locality.
Manually designing metaheuristic algorithms for solving a target problem is
criticized for being laborious, error-prone, and requiring intensive
specialized knowledge. This gives rise to increasing interest in automated
design of metaheuristic algorithms. With computing power to fully explore
potential design choices, the automated design could reach and even surpass
human-level design and could make high-performance algorithms accessible to a
much wider range of researchers and practitioners. This paper presents a broad
picture of automated design of metaheuristic algorithms, by conducting a survey
on the common grounds and representative techniques in terms of design space,
design strategies, performance evaluation strategies, and target problems in
this field
Incorporating Memory and Learning Mechanisms Into Meta-RaPS
Due to the rapid increase of dimensions and complexity of real life problems, it has become more difficult to find optimal solutions using only exact mathematical methods. The need to find near-optimal solutions in an acceptable amount of time is a challenge when developing more sophisticated approaches. A proper answer to this challenge can be through the implementation of metaheuristic approaches. However, a more powerful answer might be reached by incorporating intelligence into metaheuristics.
Meta-RaPS (Metaheuristic for Randomized Priority Search) is a metaheuristic that creates high quality solutions for discrete optimization problems. It is proposed that incorporating memory and learning mechanisms into Meta-RaPS, which is currently classified as a memoryless metaheuristic, can help the algorithm produce higher quality results.
The proposed Meta-RaPS versions were created by taking different perspectives of learning. The first approach taken is Estimation of Distribution Algorithms (EDA), a stochastic learning technique that creates a probability distribution for each decision variable to generate new solutions. The second Meta-RaPS version was developed by utilizing a machine learning algorithm, Q Learning, which has been successfully applied to optimization problems whose output is a sequence of actions. In the third Meta-RaPS version, Path Relinking (PR) was implemented as a post-optimization method in which the new algorithm learns the good attributes by memorizing best solutions, and follows them to reach better solutions. The fourth proposed version of Meta-RaPS presented another form of learning with its ability to adaptively tune parameters. The efficiency of these approaches motivated us to redesign Meta-RaPS by removing the improvement phase and adding a more sophisticated Path Relinking method. The new Meta-RaPS could solve even the largest problems in much less time while keeping up the quality of its solutions.
To evaluate their performance, all introduced versions were tested using the 0-1 Multidimensional Knapsack Problem (MKP). After comparing the proposed algorithms, Meta-RaPS PR and Meta-RaPS Q Learning appeared to be the algorithms with the best and worst performance, respectively. On the other hand, they could all show superior performance than other approaches to the 0-1 MKP in the literature
A Comprehensive Review of Bio-Inspired Optimization Algorithms Including Applications in Microelectronics and Nanophotonics
The application of artificial intelligence in everyday life is becoming all-pervasive and unavoidable. Within that vast field, a special place belongs to biomimetic/bio-inspired algorithms for multiparameter optimization, which find their use in a large number of areas. Novel methods and advances are being published at an accelerated pace. Because of that, in spite of the fact that there are a lot of surveys and reviews in the field, they quickly become dated. Thus, it is of importance to keep pace with the current developments. In this review, we first consider a possible classification of bio-inspired multiparameter optimization methods because papers dedicated to that area are relatively scarce and often contradictory. We proceed by describing in some detail some more prominent approaches, as well as those most recently published. Finally, we consider the use of biomimetic algorithms in two related wide fields, namely microelectronics (including circuit design optimization) and nanophotonics (including inverse design of structures such as photonic crystals, nanoplasmonic configurations and metamaterials). We attempted to keep this broad survey self-contained so it can be of use not only to scholars in the related fields, but also to all those interested in the latest developments in this attractive area
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A survey on portfolio optimisation with metaheuristics.
A portfolio optimisation problem involves allocation
of investment to a number of different assets to maximize return
and minimize risk in a given investment period. The selected
assets in a portfolio not only collectively contribute to its return
but also interactively define its risk as usually measured by a
portfolio variance. This presents a combinatorial optimisation
problem that involves selection of both a number of assets as well
as its quantity (weight or proportion or units). The problem is
extremely complex due to a large number of selectable assets.
Furthermore, the problem is dynamic and stochastic in nature
with a number of constraints presenting a complex model which is
difficult to solve for exact solution. In the last decade research
publications have reported the applications of
metaheuristic-based optimisation methods with some success.,
This paper presents a review of these reported models,
optimisation problem formulations and metaheuristic approaches
for portfolio optimisation
Forecasting Government Bond Spreads with Heuristic Models:Evidence from the Eurozone Periphery
This study investigates the predictability of European long-term government bond spreads through the application of heuristic and metaheuristic support vector regression (SVR) hybrid structures. Genetic, krill herd and sineâcosine algorithms are applied to the parameterization process of the SVR and locally weighted SVR (LSVR) methods. The inputs of the SVR models are selected from a large pool of linear and non-linear individual predictors. The statistical performance of the main models is evaluated against a random walk, an Autoregressive Moving Average, the best individual prediction model and the traditional SVR and LSVR structures. All models are applied to forecast daily and weekly government bond spreads of Greece, Ireland, Italy, Portugal and Spain over the sample period 2000â2017. The results show that the sineâcosine LSVR is outperforming its counterparts in terms of statistical accuracy, while metaheuristic approaches seem to benefit the parameterization process more than the heuristic ones
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