Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması

Mean-variance portfolio optimization model, introduced by Markowitz, provides a fundamental answer to the problem of portfolio management. This model seeks an efficient frontier with the best trade-offs between two conflicting objectives of maximizing return and minimizing risk. The problem of determining an efficient frontier is known to be NP-hard. Due to the complexity of the problem, genetic algorithms have been widely employed by a growing number of researchers to solve this problem. In this study, a literature review of genetic algorithms implementations on mean-variance portfolio optimization is examined from the recent published literature. Main specifications of the problems studied and the specifications of suggested genetic algorithms have been summarized

Population extremal optimisation for discrete multi-objective optimisation problems

The power to solve intractable optimisation problems is often found through population based evolutionary methods. These include, but are not limited to, genetic algorithms, particle swarm optimisation, differential evolution and ant colony optimisation. While showing much promise as an effective optimiser, extremal optimisation uses only a single solution in its canonical form – and there are no standard population mechanics. In this paper, two population models for extremal optimisation are proposed and applied to a multi-objective version of the generalised assignment problem. These models use novel intervention/interaction strategies as well as collective memory in order to allow individual population members to work together. Additionally, a general non-dominated local search algorithm is developed and tested. Overall, the results show that improved attainment surfaces can be produced using population based interactions over not using them. The new EO approach is also shown to be highly competitive with an implementation of NSGA-II.No Full Tex

Evolutionary design of a full–envelope flight control system for an unstable fighter aircraft

The use of an evolutionary algorithm in the framework of H∞ control theory is being considered as a means for synthesizing controller gains that minimize a weighted combination of the infinite-norm of the sensitivity function (for disturbance attenuation requirements) and complementary sensitivity function (for robust stability requirements) at the same time. The case study deals with the stability and control augmentation of an unstable high-performance jet aircraft. Constraints on closed-loop response are also enforced, that represent typical requirements on airplane handling qualities, that makes the control law synthesis process more demanding. Gain scheduling is required, in order to obtain satisfactory performance over the whole flight envelope, so that the synthesis is performed at different reference trim conditions, for several values of the dynamic pressure, Q, used as the scheduling parameter. Nonetheless, the dynamic behaviour of the aircraft may exhibit significant variations when flying at different altitudes h, even for the same value of the dynamic pressure, so that a trade-off is required between different feasible controllers synthesized for a given value of Q, but different h. A multi-objective search is thus considered for the determination of the best suited solution to be introduced in the scheduling of the control law. The obtained results are then tested on a longitudinal nonlinear model of the aircraft

Multi-objective discrete particle swarm optimisation algorithm for integrated assembly sequence planning and assembly line balancing

In assembly optimisation, assembly sequence planning and assembly line balancing have been extensively studied because both activities are directly linked with assembly efficiency that influences the final assembly costs. Both activities are categorised as NP-hard and usually performed separately. Assembly sequence planning and assembly line balancing optimisation presents a good opportunity to be integrated, considering the benefits such as larger search space that leads to better solution quality, reduces error rate in planning and speeds up time-to-market for a product. In order to optimise an integrated assembly sequence planning and assembly line balancing, this work proposes a multi-objective discrete particle swarm optimisation algorithm that used discrete procedures to update its position and velocity in finding Pareto optimal solution. A computational experiment with 51 test problems at different difficulty levels was used to test the multi-objective discrete particle swarm optimisation performance compared with the existing algorithms. A statistical test of the algorithm performance indicates that the proposed multi-objective discrete particle swarm optimisation algorithm presents significant improvement in terms of the quality of the solution set towards the Pareto optimal set