Knowledge management overview of feature selection problem in high-dimensional financial data: Cooperative co-evolution and Map Reduce perspectives

The term big data characterizes the massive amounts of data generation by the advanced technologies in different domains using 4Vs volume, velocity, variety, and veracity-to indicate the amount of data that can only be processed via computationally intensive analysis, the speed of their creation, the different types of data, and their accuracy. High-dimensional financial data, such as time-series and space-Time data, contain a large number of features (variables) while having a small number of samples, which are used to measure various real-Time business situations for financial organizations. Such datasets are normally noisy, and complex correlations may exist between their features, and many domains, including financial, lack the al analytic tools to mine the data for knowledge discovery because of the high-dimensionality. Feature selection is an optimization problem to find a minimal subset of relevant features that maximizes the classification accuracy and reduces the computations. Traditional statistical-based feature selection approaches are not adequate to deal with the curse of dimensionality associated with big data. Cooperative co-evolution, a meta-heuristic algorithm and a divide-And-conquer approach, decomposes high-dimensional problems into smaller sub-problems. Further, MapReduce, a programming model, offers a ready-To-use distributed, scalable, and fault-Tolerant infrastructure for parallelizing the developed algorithm. This article presents a knowledge management overview of evolutionary feature selection approaches, state-of-The-Art cooperative co-evolution and MapReduce-based feature selection techniques, and future research directions

Competition and collaboration in cooperative coevolution of Elman recurrent neural networks for time - series prediction

Collaboration enables weak species to survive in an environment where different species compete for limited resources. Cooperative coevolution (CC) is a nature-inspired optimization method that divides a problem into subcomponents and evolves them while genetically isolating them. Problem decomposition is an important aspect in using CC for neuroevolution. CC employs different problem decomposition methods to decompose the neural network training problem into subcomponents. Different problem decomposition methods have features that are helpful at different stages in the evolutionary process. Adaptation, collaboration, and competition are needed for CC, as multiple subpopulations are used to represent the problem. It is important to add collaboration and competition in CC. This paper presents a competitive CC method for training recurrent neural networks for chaotic time-series prediction. Two different instances of the competitive method are proposed that employs different problem decomposition methods to enforce island-based competition. The results show improvement in the performance of the proposed methods in most cases when compared with standalone CC and other methods from the literature

Evolutionary algorithm for multiobjective optimization: Cooperative coevolution and new features

Master'sMASTER OF ENGINEERIN

Multi-Guide Particle Swarm Optimization for Large-Scale Multi-Objective Optimization Problems

Multi-guide particle swarm optimization (MGPSO) is a novel metaheuristic for multi-objective optimization based on particle swarm optimization (PSO). MGPSO has been shown to be competitive when compared with other state-of-the-art multi-objective optimization algorithms for low-dimensional problems. However, to the best of the author’s knowledge, the suitability of MGPSO for high-dimensional multi-objective optimization problems has not been studied. One goal of this thesis is to provide a scalability study of MGPSO in order to evaluate its efficacy for high-dimensional multi-objective optimization problems. It is observed that while MGPSO has comparable performance to state-of-the-art multi-objective optimization algorithms, it experiences a performance drop with the increase in the problem dimensionality. Therefore, a main contribution of this work is a new scalable MGPSO-based algorithm, termed cooperative co-evolutionary multi-guide particle swarm optimization (CCMGPSO), that incorporates ideas from cooperative PSOs. A detailed empirical study on well-known benchmark problems comparing the proposed improved approach with various state-of-the-art multi-objective optimization algorithms is done. Results show that the proposed CCMGPSO is highly competitive for high-dimensional problems

Active Processor Scheduling Using Evolution Algorithms

The allocation of processes to processors has long been of interest to engineers. The processor allocation problem considered here assigns multiple applications onto a computing system. With this algorithm researchers could more efficiently examine real-time sensor data like that used by United States Air Force digital signal processing efforts or real-time aerosol hazard detection as examined by the Department of Homeland Security. Different choices for the design of a load balancing algorithm are examined in both the problem and algorithm domains. Evolutionary algorithms are used to find near-optimal solutions. These algorithms incorporate multiobjective coevolutionary and parallel principles to create an effective and efficient algorithm for real-world allocation problems. Three evolutionary algorithms (EA) are developed. The primary algorithm generates a solution to the processor allocation problem. This allocation EA is capable of evaluating objectives in both an aggregate single objective and a Pareto multiobjective manner. The other two EAs are designed for fine turning returned allocation EA solutions. One coevolutionary algorithm is used to optimize the parameters of the allocation algorithm. This meta-EA is parallelized using a coarse-grain approach to improve performance. Experiments are conducted that validate the improved effectiveness of the parallelized algorithm. Pareto multiobjective approach is used to optimize both effectiveness and efficiency objectives. The other coevolutionary algorithm generates difficult allocation problems for testing the capabilities of the allocation EA. The effectiveness of both coevolutionary algorithms for optimizing the allocation EA is examined quantitatively using standard statistical methods. Also the allocation EAs objective tradeoffs are analyzed and compared

Development of an Algorithm for Multicriteria Optimization of Deep Learning Neural Networks

Nowadays, machine learning methods are actively used to process big data. A promising direction is neural networks, in which structure optimization occurs on the principles of self-configuration. Genetic algorithms are applied to solve this nontrivial problem. Most multicriteria evolutionary algorithms use a procedure known as non-dominant sorting to rank decisions. However, the efficiency of procedures for adding points and updating rank values in non-dominated sorting (incremental non-dominated sorting) remains low. In this regard, this research improves the performance of these algorithms, including the condition of an asynchronous calculation of the fitness of individuals. The relevance of the research is determined by the fact that although many scholars and specialists have studied the self-tuning of neural networks, they have not yet proposed a comprehensive solution to this problem. In particular, algorithms for efficient non-dominated sorting under conditions of incremental and asynchronous updates when using evolutionary methods of multicriteria optimization have not been fully developed to date. To achieve this goal, a hybrid co-evolutionary algorithm was developed that significantly outperforms all algorithms included in it, including error-back propagation and genetic algorithms that operate separately. The novelty of the obtained results lies in the fact that the developed algorithms have minimal asymptotic complexity. The practical value of the developed algorithms is associated with the fact that they make it possible to solve applied problems of increased complexity in a practically acceptable time. Doi: 10.28991/HIJ-2023-04-01-011 Full Text: PD

Multi objective particle swarm optimization: algorithms and applications

Ph.DDOCTOR OF PHILOSOPH

An Evolutionary Approach to Multistage Portfolio Optimization

Portfolio optimization is an important problem in quantitative finance due to its application in asset management and corporate financial decision making. This involves quantitatively selecting the optimal portfolio for an investor given their asset return distribution assumptions, investment objectives and constraints. Analytical portfolio optimization methods suffer from limitations in terms of the problem specification and modelling assumptions that can be used. Therefore, a heuristic approach is taken where Monte Carlo simulations generate the investment scenarios and' a problem specific evolutionary algorithm is used to find the optimal portfolio asset allocations. Asset allocation is known to be the most important determinant of a portfolio's investment performance and also affects its risk/return characteristics. The inclusion of equity options in an equity portfolio should enable an investor to improve their efficient frontier due to options having a nonlinear payoff. Therefore, a research area of significant importance to equity investors, in which little research has been carried out, is the optimal asset allocation in equity options for an equity investor. A purpose of my thesis is to carry out an original analysis of the impact of allowing the purchase of put options and/or sale of call options for an equity investor. An investigation is also carried out into the effect ofchanging the investor's risk measure on the optimal asset allocation. A dynamic investment strategy obtained through multistage portfolio optimization has the potential to result in a superior investment strategy to that obtained from a single period portfolio optimization. Therefore, a novel analysis of the degree of the benefits of a dynamic investment strategy for an equity portfolio is performed. In particular, the ability of a dynamic investment strategy to mimic the effects ofthe inclusion ofequity options in an equity portfolio is investigated. The portfolio optimization problem is solved using evolutionary algorithms, due to their ability incorporate methods from a wide range of heuristic algorithms. Initially, it is shown how the problem specific parts ofmy evolutionary algorithm have been designed to solve my original portfolio optimization problem. Due to developments in evolutionary algorithms and the variety of design structures possible, a purpose of my thesis is to investigate the suitability of alternative algorithm design structures. A comparison is made of the performance of two existing algorithms, firstly the single objective stepping stone island model, where each island represents a different risk aversion parameter, and secondly the multi-objective Non-Dominated Sorting Genetic Algorithm2. Innovative hybrids of these algorithms which also incorporate features from multi-objective evolutionary algorithms, multiple population models and local search heuristics are then proposed. . A novel way is developed for solving the portfolio optimization by dividing my problem solution into two parts and then applying a multi-objective cooperative coevolution evolutionary algorithm. The first solution part consists of the asset allocation weights within the equity portfolio while the second solution part consists 'ofthe asset allocation weights within the equity options and the asset allocation weights between the different asset classes. An original portfolio optimization multiobjective evolutionary algorithm that uses an island model to represent different risk measures is also proposed.Imperial Users onl

Cooperative coevolution of artificial neural network ensembles for pattern classification

This paper presents a cooperative coevolutive approach for designing neural network ensembles. Cooperative coevolution is a recent paradigm in evolutionary computation that allows the effective modeling of cooperative environments. Although theoretically, a single neural network with a sufficient number of neurons in the hidden layer would suffice to solve any problem, in practice many real-world problems are too hard to construct the appropriate network that solve them. In such problems, neural network ensembles are a successful alternative. Nevertheless, the design of neural network ensembles is a complex task. In this paper, we propose a general framework for designing neural network ensembles by means of cooperative coevolution. The proposed model has two main objectives: first, the improvement of the combination of the trained individual networks; second, the cooperative evolution of such networks, encouraging collaboration among them, instead of a separate training of each network. In order to favor the cooperation of the networks, each network is evaluated throughout the evolutionary process using a multiobjective method. For each network, different objectives are defined, considering not only its performance in the given problem, but also its cooperation with the rest of the networks. In addition, a population of ensembles is evolved, improving the combination of networks and obtaining subsets of networks to form ensembles that perform better than the combination of all the evolved networks. The proposed model is applied to ten real-world classification problems of a very different nature from the UCI machine learning repository and proben1 benchmark set. In all of them the performance of the model is better than the performance of standard ensembles in terms of generalization error. Moreover, the size of the obtained ensembles is also smaller