Working with OpenCL to Speed Up a Genetic Programming Financial Forecasting Algorithm: Initial Results

The genetic programming tool EDDIE has been shown to be a successful financial forecasting tool, however it has suffered from an increase in execution time as new features have been added. Speed is an important aspect in financial problems, especially in the field of algorithmic trading, where a delay in taking a decision could cost millions. To offset this performance loss, EDDIE has been modified to take advantage of multi-core CPUs and dedicated GPUs. This has been achieved by modifying the candidate solution evaluation to use an OpenCL kernel, allowing the parallel evaluation of solutions. Our computational results have shown improvements in the running time of EDDIE when the evaluation was delegated to the OpenCL kernel running on a multi-core CPU, with speed ups up to 21 times faster than the original EDDIE algorithm. While most previous works in the literature reported significantly improvements in performance when running an OpenCL kernel on a GPU device, we did not observe this in our results. Further investigation revealed that memory copying overheads and branching code in the kernel are potentially causes of the (under-)performance of the OpenCL kernel when running on the GPU device

Operational Research in Education

Operational Research (OR) techniques have been applied, from the early stages of the discipline, to a wide variety of issues in education. At the government level, these include questions of what resources should be allocated to education as a whole and how these should be divided amongst the individual sectors of education and the institutions within the sectors. Another pertinent issue concerns the efficient operation of institutions, how to measure it, and whether resource allocation can be used to incentivise efficiency savings. Local governments, as well as being concerned with issues of resource allocation, may also need to make decisions regarding, for example, the creation and location of new institutions or closure of existing ones, as well as the day-to-day logistics of getting pupils to schools. Issues of concern for managers within schools and colleges include allocating the budgets, scheduling lessons and the assignment of students to courses. This survey provides an overview of the diverse problems faced by government, managers and consumers of education, and the OR techniques which have typically been applied in an effort to improve operations and provide solutions

Metaheuristic Optimization of Power and Energy Systems: Underlying Principles and Main Issues of the `Rush to Heuristics'

In the power and energy systems area, a progressive increase of literature contributions that contain applications of metaheuristic algorithms is occurring. In many cases, these applications are merely aimed at proposing the testing of an existing metaheuristic algorithm on a specific problem, claiming that the proposed method is better than other methods that are based on weak comparisons. This ‘rush to heuristics’ does not happen in the evolutionary computation domain, where the rules for setting up rigorous comparisons are stricter but are typical of the domains of application of the metaheuristics. This paper considers the applications to power and energy systems and aims at providing a comprehensive view of the main issues that concern the use of metaheuristics for global optimization problems. A set of underlying principles that characterize the metaheuristic algorithms is presented. The customization of metaheuristic algorithms to fit the constraints of specific problems is discussed. Some weaknesses and pitfalls that are found in literature contributions are identified, and specific guidelines are provided regarding how to prepare sound contributions on the application of metaheuristic algorithms to specific problems

Differential Evolution for Multiobjective Portfolio Optimization

Financial portfolio optimization is a challenging problem. First, the problem is multiobjective (i.e.: minimize risk and maximize profit) and the objective functions are often multimodal and non smooth (e.g.: value at risk). Second, managers have often to face real-world constraints, which are typically non-linear. Hence, conventional optimization techniques, such as quadratic programming, cannot be used. Stochastic search heuristic can be an attractive alternative. In this paper, we propose a new multiobjective algorithm for portfolio optimization: DEMPO - Differential Evolution for Multiobjective Portfolio Optimization. The main advantage of this new algorithm is its generality, i.e., the ability to tackle a portfolio optimization task as it is, without simplifications. Our empirical results show the capability of our approach of obtaining highly accurate results in very reasonable runtime, in comparison with quadratic programming and another state-of-art search heuristic, the so-called NSGA II.Portfolio Optimization, Multiobjective, Real-world Constraints, Value at Risk, Expected Shortfall, Differential Evolution

Data-Informed Calibration and Aggregation of Expert Judgment in a Bayesian Framework

Historically, decision-makers have used expert opinion to supplement lack of data. Expert opinion, however, is applied with much caution. This is because judgment is subjective and contains estimation error with some degree of uncertainty. The purpose of this study is to quantify the uncertainty surrounding the unknown of interest, given an expert opinion, in order to reduce the error of the estimate. This task is carried out by data-informed calibration and aggregation of expert opinion in a Bayesian framework. Additionally, this study evaluates the impact of the number of experts on the accuracy of aggregated estimate. The objective is to determine the correlation between the number of experts and the accuracy of the combined estimate in order to recommend an expert panel size

Adaptive ML-based technique for renewable energy system power forecasting in hybrid PV-Wind farms power conversion systems

Large scale integration of renewable energy system with classical electrical power generation system requires a precise balance to maintain and optimize the supply–demand limitations in power grids operations. For this purpose, accurate forecasting is needed from wind energy conversion systems (WECS) and solar power plants (SPPs). This daunting task has limits with long-short term and precise term forecasting due to the highly random nature of environmental conditions. This paper offers a hybrid variational decomposition model (HVDM) as a revolutionary composite deep learning-based evolutionary technique for accurate power production forecasting in microgrid farms. The objective is to obtain precise short-term forecasting in five steps of development. An improvised dynamic group-based cooperative search (IDGC) mechanism with a IDGC-Radial Basis Function Neural Network (IDGC-RBFNN) is proposed for enhanced accurate short-term power forecasting. For this purpose, meteorological data with time series is utilized. SCADA data provide the values to the system. The improvisation has been made to the metaheuristic algorithm and an enhanced training mechanism is designed for the short term wind forecasting (STWF) problem. The results are compared with two different Neural Network topologies and three heuristic algorithms: particle swarm intelligence (PSO), IDGC, and dynamic group cooperation optimization (DGCO). The 24 h ahead are studied in the experimental simulations. The analysis is made using seasonal behavior for year-round performance analysis. The prediction accuracy achieved by the proposed hybrid model shows greater results. The comparison is made statistically with existing works and literature showing highly effective accuracy at a lower computational burden. Three seasonal results are compared graphically and statistically.publishedVersio

On the performance of a hybrid genetic algorithm in dynamic environments

The ability to track the optimum of dynamic environments is important in many practical applications. In this paper, the capability of a hybrid genetic algorithm (HGA) to track the optimum in some dynamic environments is investigated for different functional dimensions, update frequencies, and displacement strengths in different types of dynamic environments. Experimental results are reported by using the HGA and some other existing evolutionary algorithms in the literature. The results show that the HGA has better capability to track the dynamic optimum than some other existing algorithms.Comment: This paper has been submitted to Applied Mathematics and Computation on May 22, 2012 Revised version has been submitted to Applied Mathematics and Computation on March 1, 201

Chiller Load Forecasting Using Hyper-Gaussian Nets

Energy load forecasting for optimization of chiller operation is a topic that has been receiving increasing attention in recent years. From an engineering perspective, the methodology for designing and deploying a forecasting system for chiller operation should take into account several issues regarding prediction horizon, available data, selection of variables, model selection and adaptation. In this paper these issues are parsed to develop a neural forecaster. The method combines previous ideas such as basis expansions and local models. In particular, hyper-gaussians are proposed to provide spatial support (in input space) to models that can use auto-regressive, exogenous and past errors as variables, constituting thus a particular case of NARMAX modelling. Tests using real data from different world locations are given showing the expected performance of the proposal with respect to the objectives and allowing a comparison with other approaches.Unión Europea RTI2018-101897-B-I00Ministerio de Ciencia e Innovación RTI2018-101897-B-I0

Automated design of genetic programming of classification algorithms.

Doctoral Degree. University of KwaZulu-Natal, Pietermaritzburg.Over the past decades, there has been an increase in the use of evolutionary algorithms (EAs) for data mining and knowledge discovery in a wide range of application domains. Data classification, a real-world application problem is one of the areas EAs have been widely applied. Data classification has been extensively researched resulting in the development of a number of EA based classification algorithms. Genetic programming (GP) in particular has been shown to be one of the most effective EAs at inducing classifiers. It is widely accepted that the effectiveness of a parameterised algorithm like GP depends on its configuration. Currently, the design of GP classification algorithms is predominantly performed manually. Manual design follows an iterative trial and error approach which has been shown to be a menial, non-trivial time-consuming task that has a number of vulnerabilities. The research presented in this thesis is part of a large-scale initiative by the machine learning community to automate the design of machine learning techniques. The study investigates the hypothesis that automating the design of GP classification algorithms for data classification can still lead to the induction of effective classifiers. This research proposes using two evolutionary algorithms,namely,ageneticalgorithm(GA)andgrammaticalevolution(GE)toautomatethe design of GP classification algorithms. The proof-by-demonstration research methodology is used in the study to achieve the set out objectives. To that end two systems namely, a genetic algorithm system and a grammatical evolution system were implemented for automating the design of GP classification algorithms. The classification performance of the automated designed GP classifiers, i.e., GA designed GP classifiers and GE designed GP classifiers were compared to manually designed GP classifiers on real-world binary class and multiclass classification problems. The evaluation was performed on multiple domain problems obtained from the UCI machine learning repository and on two specific domains, cybersecurity and financial forecasting. The automated designed classifiers were found to outperform the manually designed GP classifiers on all the problems considered in this study. GP classifiers evolved by GE were found to be suitable for classifying binary classification problems while those evolved by a GA were found to be suitable for multiclass classification problems. Furthermore, the automated design time was found to be less than manual design time. Fitness landscape analysis of the design spaces searched by a GA and GE were carried out on all the class of problems considered in this study. Grammatical evolution found the search to be smoother on binary classification problems while the GA found multiclass problems to be less rugged than binary class problems