Visualizing Multidimensional Data with General Line Coordinates and Pareto Optimization

These results will show that the use of Linear General Line Coordinates (GLC-L) can visualize multidimensional data better than typical methods, such as Parallel Coordinates (PC). The results of using GLC-L will display visuals with less clutter than PC and be easier to see changes from one graph to the next. Visualizing the Pareto Frontier with GLC-L allows n-D data to be viewed at once, compared to typical methods that are limited to 2 or 3 objectives at a time. This method details the process of selecting a ”best” case, from a group of equals in the Pareto Subset and comparing it against an optimal solution. Selecting a ”best” case from a Pareto Subset is difficult, because every individual is better in some ways to its peers. The ”best” case is the solution to the specific task for each dataset

Reducing adverse impacts of Amazon hydropower expansion

Proposed hydropower dams at more than 350 sites throughout the Amazon require strategic evaluation of trade-offs between the numerous ecosystem services provided by Earth\u27s largest and most biodiverse river basin. These services are spatially variable, hence collective impacts of newly built dams depend strongly on their configuration. We use multiobjective optimization to identify portfolios of sites that simultaneously minimize impacts on river flow, river connectivity, sediment transport, fish diversity, and greenhouse gas emissions while achieving energy production goals. We find that uncoordinated, dam-by-dam hydropower expansion has resulted in forgone ecosystem service benefits. Minimizing further damage from hydropower development requires considering diverse environmental impacts across the entire basin, as well as cooperation among Amazonian nations. Our findings offer a transferable model for the evaluation of hydropower expansion in transboundary basins

Solution analysis in multi-objective optimization

Recent years have seen a growth in the use of evolutionary algorithms to optimize multi-objective building design problems. The aim is to find the Pareto optimal trade-off between conflicting design objectives such as capital cost and operational energy use. Analysis of the resulting set of solutions can be difficult, particularly where there are a large number (possibly hundreds) of design variables to consider. This paper reviews existing approaches to analysis of the Pareto front. It then introduces new approach to the analysis of the trade-off, based on a simple rank- ordering of the objectives, together with the correlation between objectives and problem variables. This allows analysis of the trade-off between the design objectives and variables. The approach is demonstrated for an example building, covering the different relationships that can exist between variables and the objectives

Tri-Criterion Model for Constructing Low-Carbon Mutual Fund Portfolios: A Preference-Based Multi-Objective Genetic Algorithm Approach

[EN] Sustainable finance, which integrates environmental, social and governance criteria on financial decisions rests on the fact that money should be used for good purposes. Thus, the financial sector is also expected to play a more important role to decarbonise the global economy. To align financial flows with a pathway towards a low-carbon economy, investors should be able to integrate into their financial decisions additional criteria beyond return and risk to manage climate risk. We propose a tri-criterion portfolio selection model to extend the classical Markowitz's mean-variance approach to include investor's preferences on the portfolio carbon risk exposure as an additional criterion. To approximate the 3D Pareto front we apply an efficient multi-objective genetic algorithm called ev-MOGA which is based on the concept of epsilon-dominance. Furthermore, we introduce a-posteriori approach to incorporate the investor's preferences into the solution process regarding their climate-change related preferences measured by the carbon risk exposure and their loss-adverse attitude. We test the performance of the proposed algorithm in a cross-section of European socially responsible investments open-end funds to assess the extent to which climate-related risk could be embedded in the portfolio according to the investor's preferences.Hilario Caballero, A.; Garcia-Bernabeu, A.; Salcedo-Romero-De-Ávila, J.; Vercher, M. (2020). Tri-Criterion Model for Constructing Low-Carbon Mutual Fund Portfolios: A Preference-Based Multi-Objective Genetic Algorithm Approach. International Journal of Environmental research and Public Health. 17(17):1-15. https://doi.org/10.3390/ijerph17176324S1151717Morningstar Low Carbon Designationhttps://bit.ly/2SfAFUAKrueger, P., Sautner, Z., & Starks, L. T. (2020). 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Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market. Management Science, 37(5), 519-531. doi:10.1287/mnsc.37.5.519Rockafellar, R. T., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7), 1443-1471. doi:10.1016/s0378-4266(02)00271-6Mansini, R. (2003). LP solvable models for portfolio optimization: a classification and computational comparison. IMA Journal of Management Mathematics, 14(3), 187-220. doi:10.1093/imaman/14.3.187Hirschberger, M., Steuer, R. E., Utz, S., Wimmer, M., & Qi, Y. (2013). Computing the Nondominated Surface in Tri-Criterion Portfolio Selection. Operations Research, 61(1), 169-183. doi:10.1287/opre.1120.1140Utz, S., Wimmer, M., Hirschberger, M., & Steuer, R. E. (2014). Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds. European Journal of Operational Research, 234(2), 491-498. doi:10.1016/j.ejor.2013.07.024Utz, S., Wimmer, M., & Steuer, R. E. (2015). Tri-criterion modeling for constructing more-sustainable mutual funds. European Journal of Operational Research, 246(1), 331-338. doi:10.1016/j.ejor.2015.04.035Chang, T.-J., Meade, N., Beasley, J. E., & Sharaiha, Y. M. (2000). Heuristics for cardinality constrained portfolio optimisation. Computers & Operations Research, 27(13), 1271-1302. doi:10.1016/s0305-0548(99)00074-xMaringer, D., & Kellerer, H. (2003). Optimization of cardinality constrained portfolios with a hybrid local search algorithm. OR Spectrum, 25(4), 481-495. doi:10.1007/s00291-003-0139-1Shaw, D. X., Liu, S., & Kopman, L. (2008). Lagrangian relaxation procedure for cardinality-constrained portfolio optimization. Optimization Methods and Software, 23(3), 411-420. doi:10.1080/10556780701722542Soleimani, H., Golmakani, H. R., & Salimi, M. H. (2009). Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm. Expert Systems with Applications, 36(3), 5058-5063. doi:10.1016/j.eswa.2008.06.007Anagnostopoulos, K. P., & Mamanis, G. (2011). The mean–variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms. Expert Systems with Applications. doi:10.1016/j.eswa.2011.04.233Woodside-Oriakhi, M., Lucas, C., & Beasley, J. E. (2011). Heuristic algorithms for the cardinality constrained efficient frontier. European Journal of Operational Research, 213(3), 538-550. doi:10.1016/j.ejor.2011.03.030Meghwani, S. S., & Thakur, M. (2017). Multi-criteria algorithms for portfolio optimization under practical constraints. Swarm and Evolutionary Computation, 37, 104-125. doi:10.1016/j.swevo.2017.06.005Liagkouras, K., & Metaxiotis, K. (2016). A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem. Annals of Operations Research, 267(1-2), 281-319. doi:10.1007/s10479-016-2377-zMetaxiotis, K., & Liagkouras, K. (2012). Multiobjective Evolutionary Algorithms for Portfolio Management: A comprehensive literature review. Expert Systems with Applications, 39(14), 11685-11698. doi:10.1016/j.eswa.2012.04.053Silva, Y. L. T. V., Herthel, A. B., & Subramanian, A. (2019). A multi-objective evolutionary algorithm for a class of mean-variance portfolio selection problems. Expert Systems with Applications, 133, 225-241. doi:10.1016/j.eswa.2019.05.018Chang, T.-J., Yang, S.-C., & Chang, K.-J. (2009). Portfolio optimization problems in different risk measures using genetic algorithm. Expert Systems with Applications, 36(7), 10529-10537. doi:10.1016/j.eswa.2009.02.062Liagkouras, K. (2019). A new three-dimensional encoding multiobjective evolutionary algorithm with application to the portfolio optimization problem. Knowledge-Based Systems, 163, 186-203. doi:10.1016/j.knosys.2018.08.025Kaucic, M., Moradi, M., & Mirzazadeh, M. (2019). Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures. Financial Innovation, 5(1). doi:10.1186/s40854-019-0140-6Babaei, S., Sepehri, M. M., & Babaei, E. (2015). Multi-objective portfolio optimization considering the dependence structure of asset returns. European Journal of Operational Research, 244(2), 525-539. doi:10.1016/j.ejor.2015.01.025Ruiz, A. B., Saborido, R., Bermúdez, J. D., Luque, M., & Vercher, E. (2019). Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences. Journal of Global Optimization, 76(2), 295-315. doi:10.1007/s10898-019-00782-1Anagnostopoulos, K. P., & Mamanis, G. (2010). A portfolio optimization model with three objectives and discrete variables. Computers & Operations Research, 37(7), 1285-1297. doi:10.1016/j.cor.2009.09.009Hu, Y., Chen, H., He, M., Sun, L., Liu, R., & Shen, H. (2019). Multi-Swarm Multi-Objective Optimizer Based on p-Optimality Criteria for Multi-Objective Portfolio Management. Mathematical Problems in Engineering, 2019, 1-22. doi:10.1155/2019/8418369Rangel-González, J. A., Fraire, H., Solís, J. F., Cruz-Reyes, L., Gomez-Santillan, C., Rangel-Valdez, N., & Carpio-Valadez, J. M. (2020). Fuzzy Multi-objective Particle Swarm Optimization Solving the Three-Objective Portfolio Optimization Problem. International Journal of Fuzzy Systems, 22(8), 2760-2768. doi:10.1007/s40815-020-00928-4Garcia-Bernabeu, A., Salcedo, J. V., Hilario, A., Pla-Santamaria, D., & Herrero, J. M. (2019). Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA. Complexity, 2019, 1-12. doi:10.1155/2019/6095712Laumanns, M., Thiele, L., Deb, K., & Zitzler, E. (2002). Combining Convergence and Diversity in Evolutionary Multiobjective Optimization. Evolutionary Computation, 10(3), 263-282. doi:10.1162/106365602760234108Matlab Central: ev-MOGA Multiobjective Evolutionary Algorithmhttps://bit.ly/3f2BYQMBlasco, X., Herrero, J. M., Sanchis, J., & Martínez, M. (2008). A new graphical visualization of n-dimensional Pareto front for decision-making in multiobjective optimization. Information Sciences, 178(20), 3908-3924. doi:10.1016/j.ins.2008.06.01

Comparison of design concepts in multi-criteria decision-making using level diagrams

[EN] In this work, we address the evaluation of design concepts and the analysis of multiple Pareto fronts in multi-criteria decision-making using level diagrams. Such analysis is relevant when two (or more) design concepts with different design alternatives lie in the same objective space, but describe different Pareto fronts. Therefore, the problem can be stated as a Pareto front comparison between two (or more) design concepts that only differ in their relative complexity, implementation issues, or the theory applied to solve the problem at hand. Such analysis will help the decision maker obtain a better insight of a conceptual solution and be able to decide if the use of a complex concept is justified instead of a simple concept. The approach is validated in a set of multi-criteria decision making benchmark problems. © 2012 Elsevier Inc. All rights reserved.This work was partially supported by the FPI-2010/19 Grant and Project PAID-06-11 from the Universitat Politecnica de Valencia and by Projects ENE2011-25900, TIN2011-28082 (Spanish Ministry of Science and Innovation) and GV/2012/073, PROMETEO/2012/028 (Generalitat Valenciana).Reynoso Meza, G.; Blasco Ferragud, FX.; Sanchís Saez, J.; Herrero Durá, JM. (2013). Comparison of design concepts in multi-criteria decision-making using level diagrams. INFORMATION SCIENCES. 221(1):124-141. https://doi.org/10.1016/j.ins.2012.09.049S124141221

A decision support system for assessing trade-offs between ecosystem management goals: an application in Portugal

Cork oak (Quercus suber L.) and holm oak (Quercus rotundifolia) ecosystems are characteristic of Mediterranean forestry in Portugal. Even though cork is the most valuable product, these ecosystems provide multiple products and services. Assessing trade-offs between multiple goals is thus critical for the effectiveness of oak ecosystem management planning. This paper focuses on the development of a decision support system for oak ecosystems’ scenario analysis including multiple criteria. It includes an innovative decision support systems (DSS) functionality to assess trade-offs between the criteria that may support negotiation and consensus building between decision-makers and forest stakeholders. Specifically, a module that encapsulates the Feasible Goals Method/Interactive Decision Maps (FGM/IDM) technique is developed for interactive visualization of the Pareto frontier. The Pareto frontier illustrates the degree to which improving one particular criterion requires accepting sacrifices in the achievements of others. It thus provides information about trade-offs between competing decision-makers’ preferences. Results are discussed for a large-scale application encompassing over 1 million ha of cork and holm oak forest ecosystems in Southern Portugal. This study demonstrates the potential of the new DSS functionality to enhance multi-objective forest planning, namely by facilitating participation by stakeholders and providing transparency to the decision-making processesinfo:eu-repo/semantics/publishedVersio

Visual Knowledge Discovery and Machine Learning for Investment Strategy

Knowledge discovery is an important aspect of human cognition. The advantage of the visual approach is in opportunity to substitute some complex cognitive tasks by easier perceptual tasks. However for cognitive tasks such as financial investment decision making this opportunity faces the challenge that financial data are abstract multidimensional and multivariate, i.e., outside of traditional visual perception in 2D or 3D world. This paper presents an approach to find an investment strategy based on pattern discovery in multidimensional space of specifically prepared time series. Visualization based on the lossless Collocated Paired Coordinates (CPC) plays an important role in this approach for building the criteria in the multidimensional space for finding an efficient investment strategy. Criteria generated with the CPC approach allow reducing/compressing space using simple directed graphs with beginnings and the ends located in different time points. The dedicated subspaces constructed for time series include characteristics such as Bollinger Band, difference between moving averages, changes in volume etc. Extensive simulation studies have been performed in learning/testing context. Effective relations were found for one-hour EURUSD pair for recent and historical data. Also the method has been explored for one-day EURUSD time series n 2D and 3D visualization spaces. The main positive result is finding the effective split of a normalized 3D space on 4x4x4 cubes in the visualization space that leads to a profitable investment decision (long, short position or nothing). The strategy is ready for implementation in algotrading mode