A Multiobjective Optimization Approach for Market Timing

The introduction of electronic exchanges was a crucial point in history as it heralded the arrival of algorithmic trading. Designers of such systems face a number of issues, one of which is deciding when to buy or sell a given security on a financial market. Although Genetic Algorithms (GA) have been the most widely used to tackle this issue, Particle Swarm Optimization (PSO) has seen much lower adoption within the domain. In two previous works, the authors adapted PSO algorithms to tackle market timing and address the shortcomings of the previous approaches both with GA and PSO. The majority of work done to date on market timing tackled it as a single objective optimization problem, which limits its suitability to live trading as designers of such strategies will realistically pursue multiple objectives such as maximizing profits, minimizing exposure to risk and using the shortest strategies to improve execution speed. In this paper, we adapt both a GA and PSO to tackle market timing as a multiobjective optimization problem and provide an in depth discussion of our results and avenues of future research

Using Optimality Theory and Reference Points to Improve the Diversity and Convergence of a Fuzzy-Adaptive Multi-Objective Particle Swarm Optimizer

Particle Swarm Optimization (PSO) has received increasing attention from the evolutionary optimization research community in the last twenty years. PSO is a metaheuristic approach based on collective intelligence obtained by emulating the swarming behavior of bees. A number of multi-objective variants of the original PSO algorithm that extend its applicability to optimization problems with conflicting objectives have also been developed; these multi-objective PSO (MOPSO) algorithms demonstrate comparable performance to other state-of-the-art metaheuristics. The existence of multiple optimal solutions (Pareto-optimal set) in optimization problems with conflicting objectives is not the only challenge posed to an optimizer, as the latter needs to be able to identify and preserve a well-distributed set of solutions during the search of the decision variable space. Recent attempts by evolutionary optimization researchers to incorporate mathematical convergence conditions into genetic algorithm optimizers have led to the derivation of a point-wise proximity measure, which is based on the solution of the achievement scalarizing function (ASF) optimization problem with a complementary slackness condition that quantifies the violation of the Karush-Kuhn-Tucker necessary conditions of optimality. In this work, the aforementioned KKT proximity measure is incorporated into the original Adaptive Coevolutionary Multi-Objective Swarm Optimizer (ACMOPSO) in order to monitor the convergence of the sub-swarms towards the Pareto-optimal front and provide feedback to Mamdani-type fuzzy logic controllers (FLCs) that are utilized for online adaptation of the algorithmic parameters. The proposed Fuzzy-Adaptive Multi-Objective Optimization Algorithm with the KKT proximity measure (FAMOPSOkkt) utilizes a set of reference points to cluster the computed nondominated solutions. These clusters interact with their corresponding sub-swarms to provide the swarm leaders and are also utilized to manage the external archive of nondominated solutions. The performance of the proposed algorithm is evaluated on benchmark problems chosen from the multi-objective optimization literature and compared to the performance of state-of-the-art multi-objective optimization algorithms with similar features

Uncertain Multi-Criteria Optimization Problems

Most real-world search and optimization problems naturally involve multiple criteria as objectives. Generally, symmetry, asymmetry, and anti-symmetry are basic characteristics of binary relationships used when modeling optimization problems. Moreover, the notion of symmetry has appeared in many articles about uncertainty theories that are employed in multi-criteria problems. Different solutions may produce trade-offs (conflicting scenarios) among different objectives. A better solution with respect to one objective may compromise other objectives. There are various factors that need to be considered to address the problems in multidisciplinary research, which is critical for the overall sustainability of human development and activity. In this regard, in recent decades, decision-making theory has been the subject of intense research activities due to its wide applications in different areas. The decision-making theory approach has become an important means to provide real-time solutions to uncertainty problems. Theories such as probability theory, fuzzy set theory, type-2 fuzzy set theory, rough set, and uncertainty theory, available in the existing literature, deal with such uncertainties. Nevertheless, the uncertain multi-criteria characteristics in such problems have not yet been explored in depth, and there is much left to be achieved in this direction. Hence, different mathematical models of real-life multi-criteria optimization problems can be developed in various uncertain frameworks with special emphasis on optimization problems

Controller tuning by means of evolutionary multiobjective optimization: current trends and applications

Control engineering problems are generally multi-objective problems; meaning that there are several specifications and requirements that must be fulfilled. A traditional approach for calculating a solution with the desired trade-off is to define an optimisation statement. Multi-objective optimisation techniques deal with this problem from a particular perspective and search for a set of potentially preferable solutions; the designer may then analyse the trade-offs among them, and select the best solution according to his/her preferences. In this paper, this design procedure based on evolutionary multiobjective optimisation (EMO) is presented and significant applications on controller tuning are discussed. Throughout this paper it is noticeable that EMO research has been developing towards different optimisation statements, but these statements are not commonly used in controller tuning. Gaps between EMO research and EMO applications on controller tuning are therefore detected and suggested as potential trends for research.The first author is grateful for the hospitality and availability of the UTC at the University of Sheffield during his academic research stay at 2011; especially to Dr. P.J. Fleming for his valuable comments and insights in the development of this paper. This work was partially supported by Grant FPI-2010/19 and project PAID-2011/2732 from the Universitat Politecnica de Valencia and projects TIN2011-28082 and ENE2011-25900 from the Spanish Ministry of Economy and Competitiveness.Reynoso Meza, G.; Blasco Ferragud, FX.; Sanchís Saez, J.; Martínez Iranzo, MA. (2014). Controller tuning by means of evolutionary multiobjective optimization: current trends and applications. Control Engineering Practice. 28:58-73. https://doi.org/10.1016/j.conengprac.2014.03.003S58732

A probabilistic multi-objective approach for FACTS devices allocation with different levels of wind penetration under uncertainties and load correlation

This study presents a probabilistic multi-objective optimization approach to obtain the optimal locations and sizes of static var compensator (SVC) and thyristor-controlled series capacitor (TCSC) in a power transmission network with large level of wind generation. In this study, the uncertainties of the wind power generation and correlated load demand are considered. The uncertainties are modeled in this work using the points estimation method (PEM). The optimization problem is solved using the Multi-objective particle swarm optimization (MOPSO) algorithm to find the best position and rating of the flexible AC transmission system (FACTS) devices. The objective of the problem is to maximize the system loadability while minimizing the power losses and FACTS devices installation cost. Additionally, a technique based on fuzzy decision-making approach is employed to extract one of the Pareto optimal solutions as the best compromise one. The proposed approach is applied on the modified IEEE 30-bus system. The numerical results evince the effectiveness of the proposed approach and shows the economic benefits that can be achieved when considering the FACTS controller