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A review of portfolio planning: Models and systems
In this chapter, we first provide an overview of a number of portfolio planning models
which have been proposed and investigated over the last forty years. We revisit the
mean-variance (M-V) model of Markowitz and the construction of the risk-return
efficient frontier. A piecewise linear approximation of the problem through a
reformulation involving diagonalisation of the quadratic form into a variable
separable function is also considered. A few other models, such as, the Mean
Absolute Deviation (MAD), the Weighted Goal Programming (WGP) and the
Minimax (MM) model which use alternative metrics for risk are also introduced,
compared and contrasted. Recently asymmetric measures of risk have gained in
importance; we consider a generic representation and a number of alternative
symmetric and asymmetric measures of risk which find use in the evaluation of
portfolios. There are a number of modelling and computational considerations which
have been introduced into practical portfolio planning problems. These include: (a)
buy-in thresholds for assets, (b) restriction on the number of assets (cardinality
constraints), (c) transaction roundlot restrictions. Practical portfolio models may also
include (d) dedication of cashflow streams, and, (e) immunization which involves
duration matching and convexity constraints. The modelling issues in respect of these
features are discussed. Many of these features lead to discrete restrictions involving
zero-one and general integer variables which make the resulting model a quadratic
mixed-integer programming model (QMIP). The QMIP is a NP-hard problem; the
algorithms and solution methods for this class of problems are also discussed. The
issues of preparing the analytic data (financial datamarts) for this family of portfolio
planning problems are examined. We finally present computational results which
provide some indication of the state-of-the-art in the solution of portfolio optimisation
problems
A synthesis of logic and bio-inspired techniques in the design of dependable systems
Much of the development of model-based design and dependability analysis in the design of dependable systems, including software intensive systems, can be attributed to the application of advances in formal logic and its application to fault forecasting and verification of systems. In parallel, work on bio-inspired technologies has shown potential for the evolutionary design of engineering systems via automated exploration of potentially large design spaces. We have not yet seen the emergence of a design paradigm that effectively combines these two techniques, schematically founded on the two pillars of formal logic and biology, from the early stages of, and throughout, the design lifecycle. Such a design paradigm would apply these techniques synergistically and systematically to enable optimal refinement of new designs which can be driven effectively by dependability requirements. The paper sketches such a model-centric paradigm for the design of dependable systems, presented in the scope of the HiP-HOPS tool and technique, that brings these technologies together to realise their combined potential benefits. The paper begins by identifying current challenges in model-based safety assessment and then overviews the use of meta-heuristics at various stages of the design lifecycle covering topics that span from allocation of dependability requirements, through dependability analysis, to multi-objective optimisation of system architectures and maintenance schedules
Optimisation of Mobile Communication Networks - OMCO NET
The mini conference “Optimisation of Mobile Communication Networks” focuses on advanced methods for search and optimisation applied to wireless communication networks. It is sponsored by Research & Enterprise Fund Southampton Solent University.
The conference strives to widen knowledge on advanced search methods capable of optimisation of wireless communications networks. The aim is to provide a forum for exchange of recent knowledge, new ideas and trends in this progressive and challenging area. The conference will popularise new successful approaches on resolving hard tasks such as minimisation of transmit power, cooperative and optimal routing
Systems approaches to modelling pathways and networks.
Peer reviewedPreprin
Modelling and solution methods for portfolio optimisation
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University, 16/01/2004.In this thesis modelling and solution methods for portfolio optimisation are presented. The investigations reported in this thesis extend the Markowitz mean-variance model to the domain of quadratic mixed integer programming (QMIP) models which are 'NP-hard' discrete optimisation problems. In addition to the modelling extensions a number of challenging aspects of solution algorithms are considered. The relative performances of sparse simplex (SSX) as well as the interior point method (IPM) are studied in detail. In particular, the roles of 'warmstart' and dual simplex are highlighted as applied to the construction of the efficient frontier which requires processing a family of problems; that is, the portfolio planning model stated in a parametric form. The method of solving QMIP models using the branch and bound algorithm is first developed; this is followed up by heuristics which improve the performance of the (discrete) solution algorithm. Some properties of the efficient frontier with discrete constraints are considered and a method of computing the discrete efficient frontier (DEF) efficiently is proposed. The computational investigation considers the efficiency and effectiveness in respect of the scale up properties of the proposed algorithm. The extensions of the real world models and the proposed solution algorithms make contribution as new knowledge
A Field Guide to Genetic Programming
xiv, 233 p. : il. ; 23 cm.Libro ElectrĂłnicoA Field Guide to Genetic Programming (ISBN 978-1-4092-0073-4) is an introduction to genetic programming (GP). GP is a systematic, domain-independent method for getting computers to solve problems automatically starting from a high-level statement of what needs to be done. Using ideas from natural evolution, GP starts from an ooze of random computer programs, and progressively refines them through processes of mutation and sexual recombination, until solutions emerge. All this without the user having to know or specify the form or structure of solutions in advance. GP has generated a plethora of human-competitive results and applications, including novel scientific discoveries and patentable inventions. The authorsIntroduction --
Representation, initialisation and operators in Tree-based GP --
Getting ready to run genetic programming --
Example genetic programming run --
Alternative initialisations and operators in Tree-based GP --
Modular, grammatical and developmental Tree-based GP --
Linear and graph genetic programming --
Probalistic genetic programming --
Multi-objective genetic programming --
Fast and distributed genetic programming --
GP theory and its applications --
Applications --
Troubleshooting GP --
Conclusions.Contents
xi
1 Introduction
1.1 Genetic Programming in a Nutshell
1.2 Getting Started
1.3 Prerequisites
1.4 Overview of this Field Guide I
Basics
2 Representation, Initialisation and GP
2.1 Representation
2.2 Initialising the Population
2.3 Selection
2.4 Recombination and Mutation Operators in Tree-based
3 Getting Ready to Run Genetic Programming 19
3.1 Step 1: Terminal Set 19
3.2 Step 2: Function Set 20
3.2.1 Closure 21
3.2.2 Sufficiency 23
3.2.3 Evolving Structures other than Programs 23
3.3 Step 3: Fitness Function 24
3.4 Step 4: GP Parameters 26
3.5 Step 5: Termination and solution designation 27
4 Example Genetic Programming Run
4.1 Preparatory Steps 29
4.2 Step-by-Step Sample Run 31
4.2.1 Initialisation 31
4.2.2 Fitness Evaluation Selection, Crossover and Mutation Termination and Solution Designation Advanced Genetic Programming
5 Alternative Initialisations and Operators in
5.1 Constructing the Initial Population
5.1.1 Uniform Initialisation
5.1.2 Initialisation may Affect Bloat
5.1.3 Seeding
5.2 GP Mutation
5.2.1 Is Mutation Necessary?
5.2.2 Mutation Cookbook
5.3 GP Crossover
5.4 Other Techniques 32
5.5 Tree-based GP 39
6 Modular, Grammatical and Developmental Tree-based GP 47
6.1 Evolving Modular and Hierarchical Structures 47
6.1.1 Automatically Defined Functions 48
6.1.2 Program Architecture and Architecture-Altering 50
6.2 Constraining Structures 51
6.2.1 Enforcing Particular Structures 52
6.2.2 Strongly Typed GP 52
6.2.3 Grammar-based Constraints 53
6.2.4 Constraints and Bias 55
6.3 Developmental Genetic Programming 57
6.4 Strongly Typed Autoconstructive GP with PushGP 59
7 Linear and Graph Genetic Programming 61
7.1 Linear Genetic Programming 61
7.1.1 Motivations 61
7.1.2 Linear GP Representations 62
7.1.3 Linear GP Operators 64
7.2 Graph-Based Genetic Programming 65
7.2.1 Parallel Distributed GP (PDGP) 65
7.2.2 PADO 67
7.2.3 Cartesian GP 67
7.2.4 Evolving Parallel Programs using Indirect Encodings 68
8 Probabilistic Genetic Programming
8.1 Estimation of Distribution Algorithms 69
8.2 Pure EDA GP 71
8.3 Mixing Grammars and Probabilities 74
9 Multi-objective Genetic Programming 75
9.1 Combining Multiple Objectives into a Scalar Fitness Function 75
9.2 Keeping the Objectives Separate 76
9.2.1 Multi-objective Bloat and Complexity Control 77
9.2.2 Other Objectives 78
9.2.3 Non-Pareto Criteria 80
9.3 Multiple Objectives via Dynamic and Staged Fitness Functions 80
9.4 Multi-objective Optimisation via Operator Bias 81
10 Fast and Distributed Genetic Programming 83
10.1 Reducing Fitness Evaluations/Increasing their Effectiveness 83
10.2 Reducing Cost of Fitness with Caches 86
10.3 Parallel and Distributed GP are Not Equivalent 88
10.4 Running GP on Parallel Hardware 89
10.4.1 Master–slave GP 89
10.4.2 GP Running on GPUs 90
10.4.3 GP on FPGAs 92
10.4.4 Sub-machine-code GP 93
10.5 Geographically Distributed GP 93
11 GP Theory and its Applications 97
11.1 Mathematical Models 98
11.2 Search Spaces 99
11.3 Bloat 101
11.3.1 Bloat in Theory 101
11.3.2 Bloat Control in Practice 104
III
Practical Genetic Programming
12 Applications
12.1 Where GP has Done Well
12.2 Curve Fitting, Data Modelling and Symbolic Regression
12.3 Human Competitive Results – the Humies
12.4 Image and Signal Processing
12.5 Financial Trading, Time Series, and Economic Modelling
12.6 Industrial Process Control
12.7 Medicine, Biology and Bioinformatics
12.8 GP to Create Searchers and Solvers – Hyper-heuristics xiii
12.9 Entertainment and Computer Games 127
12.10The Arts 127
12.11Compression 128
13 Troubleshooting GP
13.1 Is there a Bug in the Code?
13.2 Can you Trust your Results?
13.3 There are No Silver Bullets
13.4 Small Changes can have Big Effects
13.5 Big Changes can have No Effect
13.6 Study your Populations
13.7 Encourage Diversity
13.8 Embrace Approximation
13.9 Control Bloat
13.10 Checkpoint Results
13.11 Report Well
13.12 Convince your Customers
14 Conclusions
Tricks of the Trade
A Resources
A.1 Key Books
A.2 Key Journals
A.3 Key International Meetings
A.4 GP Implementations
A.5 On-Line Resources 145
B TinyGP 151
B.1 Overview of TinyGP 151
B.2 Input Data Files for TinyGP 153
B.3 Source Code 154
B.4 Compiling and Running TinyGP 162
Bibliography 167
Inde
SCOR: Software-defined Constrained Optimal Routing Platform for SDN
A Software-defined Constrained Optimal Routing (SCOR) platform is introduced
as a Northbound interface in SDN architecture. It is based on constraint
programming techniques and is implemented in MiniZinc modelling language. Using
constraint programming techniques in this Northbound interface has created an
efficient tool for implementing complex Quality of Service routing applications
in a few lines of code. The code includes only the problem statement and the
solution is found by a general solver program. A routing framework is
introduced based on SDN's architecture model which uses SCOR as its Northbound
interface and an upper layer of applications implemented in SCOR. Performance
of a few implemented routing applications are evaluated in different network
topologies, network sizes and various number of concurrent flows.Comment: 19 pages, 11 figures, 11 algorithms, 3 table
An application of genetic algorithms to chemotherapy treatment.
The present work investigates methods for optimising cancer chemotherapy within the bounds of clinical acceptability and making this optimisation easily accessible to oncologists. Clinical oncologists wish to be able to improve existing treatment regimens in a systematic, effective and reliable way. In order to satisfy these requirements a novel approach to chemotherapy optimisation has been developed, which utilises Genetic Algorithms in an intelligent search process for good chemotherapy treatments. The following chapters consequently address various issues related to this approach. Chapter 1 gives some biomedical background to the problem of cancer and its treatment. The complexity of the cancer phenomenon, as well as the multi-variable and multi-constrained nature of chemotherapy treatment, strongly support the use of mathematical modelling for predicting and controlling the development of cancer. Some existing mathematical models, which describe the proliferation process of cancerous cells and the effect of anti-cancer drugs on this process, are presented in Chapter 2. Having mentioned the control of cancer development, the relevance of optimisation and optimal control theory becomes evident for achieving the optimal treatment outcome subject to the constraints of cancer chemotherapy. A survey of traditional optimisation methods applicable to the problem under investigation is given in Chapter 3 with the conclusion that the constraints imposed on cancer chemotherapy and general non-linearity of the optimisation functionals associated with the objectives of cancer treatment often make these methods of optimisation ineffective. Contrariwise, Genetic Algorithms (GAs), featuring the methods of evolutionary search and optimisation, have recently demonstrated in many practical situations an ability to quickly discover useful solutions to highly-constrained, irregular and discontinuous problems that have been difficult to solve by traditional optimisation methods. Chapter 4 presents the essence of Genetic Algorithms, as well as their salient features and properties, and prepares the ground for the utilisation of Genetic Algorithms for optimising cancer chemotherapy treatment. The particulars of chemotherapy optimisation using Genetic Algorithms are given in Chapter 5 and Chapter 6, which present the original work of this thesis. In Chapter 5 the optimisation problem of single-drug chemotherapy is formulated as a search task and solved by several numerical methods. The results obtained from different optimisation methods are used to assess the quality of the GA solution and the effectiveness of Genetic Algorithms as a whole. Also, in Chapter 5 a new approach to tuning GA factors is developed, whereby the optimisation performance of Genetic Algorithms can be significantly improved. This approach is based on statistical inference about the significance of GA factors and on regression analysis of the GA performance. Being less computationally intensive compared to the existing methods of GA factor adjusting, the newly developed approach often gives better tuning results. Chapter 6 deals with the optimisation of multi-drug chemotherapy, which is a more practical and challenging problem. Its practicality can be explained by oncologists' preferences to administer anti-cancer drugs in various combinations in order to better cope with the occurrence of drug resistant cells. However, the imposition of strict toxicity constraints on combining various anticancer drugs together, makes the optimisation problem of multi-drug chemotherapy very difficult to solve, especially when complex treatment objectives are considered. Nevertheless, the experimental results of Chapter 6 demonstrate that this problem is tractable to Genetic Algorithms, which are capable of finding good chemotherapeutic regimens in different treatment situations. On the basis of these results a decision has been made to encapsulate Genetic Algorithms into an independent optimisation module and to embed this module into a more general and user-oriented environment - the Oncology Workbench. The particulars of this encapsulation and embedding are also given in Chapter 6. Finally, Chapter 7 concludes the present work by summarising the contributions made to the knowledge of the subject treated and by outlining the directions for further investigations. The main contributions are: (1) a novel application of the Genetic Algorithm technique in the field of cancer chemotherapy optimisation, (2) the development of a statistical method for tuning the values of GA factors, and (3) the development of a robust and versatile optimisation utility for a clinically usable decision support system. The latter contribution of this thesis creates an opportunity to widen the application domain of Genetic Algorithms within the field of drug treatments and to allow more clinicians to benefit from utilising the GA optimisation
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