DOCSLIB.ORG

Evaluation of Emerging Metaheuristic Strategies on Opimal Transmission Pricing

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Evaluation of Emerging Metaheuristic Strategies on Opimal Transmission Pricing Evaluation of Emerging Metaheuristic Strategies on Opimal Transmission Pricing José L. Rueda, Senior Member, IEEE István Erlich, Senior Member, IEEE Institute of Electrical Power Systems Institute of Electrical Power Systems University Duisburg-Essen University Duisburg-Essen Duisburg, Germany Duisburg, Germany [email protected] [email protected] Abstract--This paper provides a comparative assessment of the In practice, there are several factors that can influence the capabilities of three metaheuristic algorithms for solving the adoption of a particular scheme of transmission pricing. Thus, problem of optimal transmission pricing, whose formulation is existing literature on definition of pricing mechanisms is vast. based on principle of equivalent bilateral exchanges. Among the Particularly, the principle of Equivalent Bilateral Exchange selected algorithms are Covariance Matrix Adaptation (EBE), which was originally proposed in [5], has proven to be Evolution Strategy (CMA-ES), Linearized Biogeography-based useful for pool system by providing suitable price signals Optimization (LBBO), and a novel swarm variant of the Mean- reflecting variability in the usage rates and charges across Variance Mapping Optimization (MVMO-SM). The IEEE 30 transmission network. In [6], an optimization problem was bus system is used to perform numerical comparisons on devised based on EBE in order enable exploration of multiple convergence speed, achieved optimum solutions, and computing solutions in deciding equivalent bilateral exchanges. In the effort. 2011 competition on testing evolutionary algorithms for real- Index Terms--Equivalent bilateral exchanges, evolutionary world optimization problems (CEC11), this problem was mechanism, metaheuristics, transmission pricing. solved by different metaheuristic algorithms, most of them constituting extended or hybridized variants of genetic I. INTRODUCTION algorithm and differential evolution [7]. Optimal allocation of transmission costs is among key Results of CEC11 showed the potentials of some problems on power system operation, especially in the new metaheuristic strategies as generic optimization engines for context, where higher uncertainties and complex agent solving a variety of problems by using the same parameter interactions will be reflected in more complicated problem setting. Moreover, considerable performance differences were formulation having a high dimensional, non-linear, non- evidenced by statistical assessment of results obtained by convex, discontinuous, and multimodal landscape. These repetitive optimization with the contestant algorithms [7], features motivate the exploration of new solution strategies, thus, highlighting the need of further algorithmic for which heuristic optimization framework is an attractive developments. Along this spirit, the work presented in this alternative due to conceptual simplicity, easy adaptability, and paper concerns a performance comparison between three open architecture. Reported applications of heuristic emerging metaheuristic algorithms, namely, Covariance optimization algorithms to transmission pricing include Ant Matrix Adaptation Evolution Strategy (CMA-ES), Linearized Colony Optimization [1], and Tabu Search [2]. Biogeography-based Optimization (LBBO), and a newly developed swarm variant of the Mean-Variance Mapping Due to their stochastic nature, heuristic optimization Optimization (MVMO-SM), which are used for solving the algorithms do not strictly guarantee global optimality, EBE based formulation of optimal transmission pricing (EBE- especially for high-dimensional and complex problems, but OTP). Numerical comparisons, obtained by application on a usually provide near-to-optimal or good enough solutions in benchmark power system, include convergence speed, reasonable time [3]. Thus, their effectiveness and robustness achieved optimum solutions and computing effort. can be questioned. With the aim of achieving fast and enhanced global search capability, high level schemes, known Following this introduction, the rest of the paper is as metaheuristic algorithms, have been conceived to organized as follows: Section II introduces the formulation of subordinate and exploit strategically different heuristic EBE-OTP. The theoretical background of the compared procedures, which could include especial schemes for adaptive algorithms is briefly outlined in Section III. Numerical results parameter change, local search, reinitialization, adaptive are provided in Section IV. Finally, conclusions are population sizing and population information exchange [4]. summarized in Section 5. 978-1-4799-6415-4/14/$31.00 ©2014 IEEE II. PRICING SCHEME where Xmn is the reactance of line connecting buses m and n, The transmission pricing mechanism defined in [6] is whereas Xmi , Xni , Xmj , and Xnj are entries into the adopted in this paper. Broadly speaking, it assigns some of the reactance matrix X. total charges due transmission system usage to bilateral customers, whereas the rest is distributed through pool The set of optimization variables is defined by a vector customers. The first assignment is due to the fact that bilateral containing all GDij . Each GD accounts for an exchange transactions are usually known a-priori, so the usage rate between a generator and a load in the system, so the size of the associated to them can be determined, for instance, by vector is Ng⋅Nb. Therefore, the scale of the optimization evaluating power transfer distribution factors (PTDs) [8]. By problem increases with system size. Besides, the problem contrast, optimization is needed to properly decide equivalent possesses a multimodal search space, so a powerful bilateral exchanges such that the charges on pool customers optimization solver is needed to find the most feasible are close to those had bilateral transaction been absent. solution. The lower bound for each GDij is set to zero, A. Optimization problem statement whereas the upper bound is determined by using (6). It is assumed that an input file, containing bus and line max{GD} =−− min{ P BT , P BT } (6) specifications, fixed cost to be recovered and bilateral ij gi ij dj ij transactions data, is previously defined. Then, EBE is applied Once the best values of GDs are found, the usage rates for on the given information and the transmission charges are pool generations and pool demands can be easily calculated by evaluated at each bus, such that the transmission usage rates using simple expressions, which are functions of GDs and can i j be found in [6]. They are not reproduced here due to space for a generation at bus i (TU g ) and a demand at bus j (TU d ) constraints. are obtained. Next, equivalent bilateral transactions between pool generations and pool demands are obtained by III. METAHEURISTIC ALGORITHMS minimizing usage rate deviations due to bilateral transactions. This Section provides a brief review on background of the Mathematically, this optimization problem can be formulated employed algorithms. N and N are used to denote number as: p var of particles and number of optimization variables, Minimize respectively. The superscript g denotes iteration (generation) 22number. ⎛⎞⎛⎞FGD() FGD () OF=−+−⎜⎟⎜⎟ij TUij ij TU (1) A. CM A-ES ∑∑⎜⎟⎜⎟PP−−**gd PP ij⎝⎠⎝⎠gi gi dj dj The framework of this type of evolutionary strategy bases considering that on the assumption that the elements (optimization variables) xi of the optimization vector x follow a multivariate normal FCk FGD()= GD γk (2) distribution with mean vector m ∈ℜn , and covariance matrix ijkk∑∑ ij ij ⋅γ + ⋅γ nn× ∑∑GDij ij ∑∑ BT ij ij jk C∈ℜ . Additionally, a step size σ is used to perturb C [9]. ij ij The underlying iterative procedure is summarized as follows: and subject to • Step 1: Set N , the initial covariance matrix C=I, draw =−* ∀∈ p ∑GDij P gi P gi i Ng (3) the elements of m from a random uniform distribution i within the problem space, set initial σ to 30% of the =−* ∀∈ ∑GDij P dj P dj j Nd (4) constrained region in search space and the evolution j paths pc and pσ to zero. Set the number of best parents where Ng and Nb are the number of generator and load buses, μ to Np/2. Additional strategy parameters to be k ω μ μ respectively. FC stands for fixed cost of a line k that needs initialized are i (i=1… ), eff, cσ, dσ, cc, c1, and cμ. to be recovered, BT denotes bilateral transaction between Default values for these parameters can be found in ij [9]. generator at bus i and demand at bus j, Pgi is total generation • Step 2: Sample a new population of N particles at bus i, P* is the sum of generations due to all bilateral p gi according to: * gggg+1 transactions at bus i, Pdj is the total demand at bus j, Pdj is the =+σ = xmk N (0, C ) k 1K Np (7) sum of demands due to all bilateral transactions at bus j, and • GD is the equivalent bilateral transaction that need to be Step 3: Evaluate all particles x, rank them in ij ascending order according to their fitness, and update γk evaluated. ij denotes the sensitivity of a line k connecting m by (8), which computes the weighted intermediate buses m and n for a transaction between buses i and j, and is recombination of the best μ parents. given by (5). μμ mxgg++11=ω ω=ωω ω XXXX−− − ∑∑ii, where i 1, 12> >K >μ >0 (8) γ=k mi ni mj nj ii==11 ij (5) Xmn Each ωi is decreased linearly throughout iterations. • Step 4: Update pc by using (9). gg+1 gg+1 gg + mm− xx=+μ−() xx (15) ppgg1 =−()12ccc +cc() − μ (9) ij,, ij i k,, j ij cccσg cceff • Step 4: The new habitats are evaluated and the worst are μeff is inversely proportional to the sum of squared ωi. replaced with the elites of previous generation. Step 5: Update C according to • Step 5: Perform local, boundary, global grid, or Latin μ + TTHypercube search if there is no improvement of fitness in CCppyyg11111=1--()cc g + c g+() g+ + c ω g+ () g+ (10) 1 μ 1c c μ ∑ ii i two consecutive generations according to the predefined i=1 thresholds in Step 1. gggg++11=+ σ yxmii()/ (11) • Step 6: Re-initialization is performed, that is, Np new • Step 6: Update σ according to (12) and (13).
Load more

Recommended publications
  • Hybridizations of Metaheuristics with Branch & Bound Derivates
    Hybridizations of Metaheuristics With Branch & Bound Derivates Christian Blum1, Carlos Cotta2, Antonio J. Fern´andez2,Jos´e E. Gallardo2, and Monaldo Mastrolilli3 1 ALBCOM research group Universitat Polit`ecnica de Catalunya [email protected] 2 Dept. Lenguajes y Ciencias de la Computaci´on Universidad de M´alaga {ccottap,afdez,pepeg}@lcc.uma.es 3 Istituto Dalle Molle di Studi sull’Intelligenza Artificiale (IDSIA) [email protected] Summary. An important branch of hybrid metaheuristics concerns the hybridiza- tion with branch & bound derivatives. In this chapter we present examples for two different types of hybridization. The first one concerns the use of branch & bound fea- tures within construction-based metaheuristics in order to increase their efficiancy. The second example deals with the use of a metaheuristic, in our case a memetic algorithm, in order to increase the efficiancy of branch & bound, respectively branch & bound derivatives such as beam search. The quality of the resulting hybrid tech- niques is demonstrated by means of the application to classical string problems: the longest common subsequence problem and the shortest common supersequence problem. 1 Introduction One of the basic ingredients of an optimization technique is a mechanism for exploring the search space, that is, the space of valid solutions to the con- sidered optimization problem. Algorithms belonging to the important class of constructive optimization techniques tackle an optimization problem by ex- ploring the search space in form of a tree, a so-called search tree.Thesearch tree is generally defined by an underlying solution construction mechanism. Each path from the root node of the search tree to one of the leaves corre- sponds to the process of constructing a candidate solution.
    [Show full text]
  • Metaheuristics1
    METAHEURISTICS1 Kenneth Sörensen University of Antwerp, Belgium Fred Glover University of Colorado and OptTek Systems, Inc., USA 1 Definition A metaheuristic is a high-level problem-independent algorithmic framework that provides a set of guidelines or strategies to develop heuristic optimization algorithms (Sörensen and Glover, To appear). Notable examples of metaheuristics include genetic/evolutionary algorithms, tabu search, simulated annealing, and ant colony optimization, although many more exist. A problem-specific implementation of a heuristic optimization algorithm according to the guidelines expressed in a metaheuristic framework is also referred to as a metaheuristic. The term was coined by Glover (1986) and combines the Greek prefix meta- (metá, beyond in the sense of high-level) with heuristic (from the Greek heuriskein or euriskein, to search). Metaheuristic algorithms, i.e., optimization methods designed according to the strategies laid out in a metaheuristic framework, are — as the name suggests — always heuristic in nature. This fact distinguishes them from exact methods, that do come with a proof that the optimal solution will be found in a finite (although often prohibitively large) amount of time. Metaheuristics are therefore developed specifically to find a solution that is “good enough” in a computing time that is “small enough”. As a result, they are not subject to combinatorial explosion – the phenomenon where the computing time required to find the optimal solution of NP- hard problems increases as an exponential function of the problem size. Metaheuristics have been demonstrated by the scientific community to be a viable, and often superior, alternative to more traditional (exact) methods of mixed- integer optimization such as branch and bound and dynamic programming.
    [Show full text]
  • Global Optimisation Through Hyper-Heuristics: Unfolding Population-Based Metaheuristics
    applied sciences Article Global Optimisation through Hyper-Heuristics: Unfolding Population-Based Metaheuristics Jorge M. Cruz-Duarte 1,† , José C. Ortiz-Bayliss 1,† , Ivan Amaya 1,*,† and Nelishia Pillay 2,† 1 School of Engineering and Sciences, Tecnologico de Monterrey, Av. Eugenio Garza Sada 2501 Sur, Monterrey 64849, NL, Mexico; [email protected] (J.M.C.-D.); [email protected] (J.C.O.-B.) 2 Department of Computer Science, University of Pretoria, Lynnwood Rd, Hatfield, Pretoria 0083, South Africa; [email protected] * Correspondence: [email protected]; Tel.: +52-(81)-8358-2000 † These authors contributed equally to this work. Abstract: Optimisation has been with us since before the first humans opened their eyes to natural phenomena that inspire technological progress. Nowadays, it is quite hard to find a solver from the overpopulation of metaheuristics that properly deals with a given problem. This is even considered an additional problem. In this work, we propose a heuristic-based solver model for continuous optimisation problems by extending the existing concepts present in the literature. We name such solvers ‘unfolded’ metaheuristics (uMHs) since they comprise a heterogeneous sequence of simple heuristics obtained from delegating the control operator in the standard metaheuristic scheme to a high-level strategy. Therefore, we tackle the Metaheuristic Composition Optimisation Problem by tailoring a particular uMH that deals with a specific application. We prove the feasibility of this model via a two-fold experiment employing several continuous optimisation problems and a collection of Citation: Cruz-Duarte, J.M.; diverse population-based operators with fixed dimensions from ten well-known metaheuristics in Ortiz-Bayliss, J.C.; Amaya, I.; Pillay, the literature.
    [Show full text]
  • A Multi-Objective Hyper-Heuristic Based on Choice Function
    A Multi-objective Hyper-heuristic based on Choice Function Mashael Maashi1, Ender Ozcan¨ 2, Graham Kendall3 1 2 3Automated Scheduling, Optimisation and Planning Research Group, University of Nottingham, Department of Computer Science, Jubilee Campus,Wollaton Road, Nottingham, NG8 1BB ,UK. 1email: [email protected] 2email: [email protected] 3The University of Nottingham Malaysia Campus email:[email protected] Abstract Hyper-heuristics are emerging methodologies that perform a search over the space of heuristics in an attempt to solve difficult computational opti- mization problems. We present a learning selection choice function based hyper-heuristic to solve multi-objective optimization problems. This high level approach controls and combines the strengths of three well-known multi-objective evolutionary algorithms (i.e. NSGAII, SPEA2 and MOGA), utilizing them as the low level heuristics. The performance of the pro- posed learning hyper-heuristic is investigated on the Walking Fish Group test suite which is a common benchmark for multi-objective optimization. Additionally, the proposed hyper-heuristic is applied to the vehicle crash- worthiness design problem as a real-world multi-objective problem. The experimental results demonstrate the effectiveness of the hyper-heuristic approach when compared to the performance of each low level heuristic run on its own, as well as being compared to other approaches including an adaptive multi-method search, namely AMALGAM. Keywords: Hyper-heuristic, metaheuristic, evolutionary algorithm, multi-objective optimization. 1. Introduction Most real-world problems are complex. Due to their (often) NP-hard nature, researchers and practitioners frequently resort to problem tailored heuristics to obtain a reasonable solution in a reasonable time.
    [Show full text]
  • On Metaheuristic Optimization Motivated by the Immune System
    Applied Mathematics, 2014, 5, 318-326 Published Online January 2014 (http://www.scirp.org/journal/am) http://dx.doi.org/10.4236/am.2014.52032 On Metaheuristic Optimization Motivated by the Immune System Mohammed Fathy Elettreby1,2*, Elsayd Ahmed2, Houari Boumedien Khenous1 1Department of Mathematics, Faculty of Science, King Khalid University, Abha, KSA 2Department of Mathematics, Faculty of Science, Mansoura University, Mansoura, Egypt Email: *[email protected] Received November 16, 2013; revised December 16, 2013; accepted December 23, 2013 Copyright © 2014 Mohammed Fathy Elettreby et al. This is an open access article distributed under the Creative Commons Attribu- tion License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. In accordance of the Creative Commons Attribution License all Copyrights © 2014 are reserved for SCIRP and the owner of the intellectual property Mohammed Fathy Elettreby et al. All Copyright © 2014 are guarded by law and by SCIRP as a guardian. ABSTRACT In this paper, we modify the general-purpose heuristic method called extremal optimization. We compare our results with the results of Boettcher and Percus [1]. Then, some multiobjective optimization problems are solved by using methods motivated by the immune system. KEYWORDS Multiobjective Optimization; Extremal Optimization; Immunememory and Metaheuristic 1. Introduction Multiobjective optimization problems (MOPs) [2] are existing in many situations in nature. Most realistic opti- mization problems require the simultaneous optimization of more than one objective function. In this case, it is unlikely that the different objectives would be optimized by the same alternative parameter choices. Hence, some trade-off between the criteria is needed to ensure a satisfactory problem.
    [Show full text]
  • Metaheuristics ``In the Large''
    Metaheuristics “In the Large” Jerry Swan∗, Steven Adriaensen, Alexander E. I. Brownlee, Kevin Hammond, Colin G. Johnson, Ahmed Kheiri, Faustyna Krawiec, J. J. Merelo, Leandro L. Minku, Ender Ozcan,¨ Gisele L. Pappa, Pablo Garc´ıa-S´anchez, Kenneth S¨orensen, Stefan Voß, Markus Wagner, David R. White Abstract Following decades of sustained improvement, metaheuristics are one of the great success stories of optimization research. However, in order for research in metaheuristics to avoid fragmentation and a lack of reproducibility, there is a pressing need for stronger scientific and computational infrastructure to sup- port the development, analysis and comparison of new approaches. To this end, we present the vision and progress of the “Metaheuristics ‘In the Large’ ” project. The conceptual uderpinnings of the project are: truly extensible algo- rithm templates that support reuse without modification, white box problem descriptions that provide generic support for the injection of domain specific knowledge, and remotely accessible frameworks, components and problems that will enhance reproducibility and accelerate the field’s progress. We ar- gue that, via principled choice of infrastructure support, the field can pur- sue a higher level of scientific enquiry. We describe our vision and report on progress, showing how the adoption of common protocols for all metaheuris- tics can help liberate the potential of the field, easing the exploration of the design space of metaheuristics. Keywords: Evolutionary Computation, Operational Research, Heuristic design, Heuristic methods, Architecture, Frameworks, Interoperability 1. Introduction arXiv:2011.09821v4 [cs.NE] 3 Jun 2021 Optimization problems have myriad real world applications [42] and have motivated a wealth of research since before the advent of the digital computer [25].
    [Show full text]
  • Exploring High-Order Neighborhoods by Pattern Mining and Injection
    PILS: Exploring high-order neighborhoods by pattern mining and injection Florian Arnolda, ´Italo Santanab, Kenneth S¨orensena, Thibaut Vidalb∗ a University of Antwerp, Department of Engineering Management, Belgium fflorian.arnold,[email protected] bDepartamento de Inform´atica,Pontif´ıciaUniversidade Cat´olicado Rio de Janeiro (PUC-Rio) fisantana,[email protected] Abstract. We introduce pattern injection local search (PILS), an optimization strategy that uses pattern mining to explore high-order local-search neighborhoods, and illustrate its application on the vehicle routing problem. PILS operates by storing a limited number of frequent patterns from elite solutions. During the local search, each pattern is used to define one move in which 1) incompatible edges are disconnected, 2) the edges defined by the pattern are reconnected, and 3) the remaining solution fragments are optimally reconnected. Each such move is accepted only in case of solution improvement. As visible in our experiments, this strategy results in a new paradigm of local search, which complements and enhances classical search approaches in a controllable amount of computational time. We demonstrate that PILS identifies useful high-order moves (e.g., 9-opt and 10-opt) which would otherwise not be found by enumeration, and that it significantly improves the performance of state-of-the-art population-based and neighborhood-centered metaheuristics. Keywords. Local search, Pattern mining, Combinatorial optimization, Vehicle routing problem ∗ Corresponding author 1. Introduction Since the \no free lunch" theorem [46], it is known that no method can | on average | perform arXiv:1912.11462v1 [cs.AI] 24 Dec 2019 better than any other method on all possible problems.
    [Show full text]
  • On the Design of (Meta)Heuristics
    On the design of (meta)heuristics Tony Wauters CODeS Research group, KU Leuven, Belgium There are two types of people • Those who use heuristics • And those who don’t ☺ 2 Tony Wauters, Department of Computer Science, CODeS research group Heuristics Origin: Ancient Greek: εὑρίσκω, "find" or "discover" Oxford Dictionary: Proceeding to a solution by trial and error or by rules that are only loosely defined. Tony Wauters, Department of Computer Science, CODeS research group 3 Properties of heuristics + Fast* + Scalable* + High quality solutions* + Solve any type of problem (complex constraints, non-linear, …) - Problem specific (but usually transferable to other problems) - Cannot guarantee optimallity * if well designed 4 Tony Wauters, Department of Computer Science, CODeS research group Heuristic types • Constructive heuristics • Metaheuristics • Hybrid heuristics • Matheuristics: hybrid of Metaheuristics and Mathematical Programming • Other hybrids: Machine Learning, Constraint Programming,… • Hyperheuristics 5 Tony Wauters, Department of Computer Science, CODeS research group Constructive heuristics • Incrementally construct a solution from scratch. • Easy to understand and implement • Usually very fast • Reasonably good solutions 6 Tony Wauters, Department of Computer Science, CODeS research group Metaheuristics A Metaheuristic is a high-level problem independent algorithmic framework that provides a set of guidelines or strategies to develop heuristic optimization algorithms. Instead of reinventing the wheel when developing a heuristic
    [Show full text]
  • Chapter 4 TABU SEARCH
    Chapter 4 TABU SEARCH Fred Glover1 and Rafael Martí2 1 Leeds School of Business, University of Colorado, Campus Box 419, Boulder, CO 80309; 2 Dpto. de Estadística e Investigación Operativa, Universidad de Valencia, Dr. Moliner 50, 46100 Burjassot (Valencia) Spain Abstract: Tabu Search is a meta-heuristic that guides a local heuristic search procedure to explore the solution space beyond local optimality. One of the main components of Tabu Search is its use of adaptive memory, which creates a more flexible search behavior. Memory-based strategies are therefore the hallmark of tabu search approaches, founded on a quest for “integrating principles,” by which alternative forms of memory are appropriately combined with effective strategies for exploiting them. In this chapter we address the problem of training multilayer feed-forward neural networks. These networks have been widely used for both prediction and classification in many different areas. Although the most popular method for training these networks is back propagation, other optimization methods such as tabu search have been applied to solve this problem. This chapter describes two training algorithms based on the tabu search. The experimentation shows that the procedures provide high quality solutions to the training problem, and in addition consume a reasonable computational effort. Key words: Intelligent Problem Solving, Memory Structures, Adaptive Memory Programming. 1. INTRODUCTION The basic form of Tabu Search (TS) is founded on ideas proposed by Fred Glover (1977, 1986). The method is based on procedures designed to cross boundaries of feasibility or local optimality, instead of treating them as barriers. Early examples of these procedures, derived from surrogate 2 Chapter 4 constraint methods and cutting plane approaches, systematically impose and released constraints to permit exploration of otherwise forbidden regions.
    [Show full text]
  • Constraint Handling Methods for Portfolio Optimization Using Particle Swarm Optimization
    2015 IEEE Symposium Series on Computational Intelligence Constraint Handling Methods for Portfolio Optimization using Particle Swarm Optimization Stuart G. Reid Katherine M. Malan Department of Computer Science Department of Computer Science University of Pretoria University of Pretoria South Africa South Africa Email: [email protected] Email: [email protected] Abstract—Given a portfolio of securities, portfolio optimiza- portfolio was long only. Mathematically speaking this means tion aims to optimize the proportion of capital allocated to each that the proportion of capital allocated to each security must security such that either the risk of the portfolio is minimized for be positive. Two popular methods for finding feasible solutions a given level of expected return, expected return is maximized for when using classical optimization methods are the penalty a given risk budget, or the risk-adjusted expected return of the function and augmented Lagrangian methods [12]. This paper portfolio is maximized. Extensions to the portfolio optimization presents two new constraint handling methods which are poten- problem can result in it becoming more difficult to solve which has prompted the use of computational intelligence optimization tially better suited to computational intelligence optimization methods over classical optimization methods. The portfolio opti- methods namely, a portfolio repair method and a preserving mization problem is subject to two primary constraints namely, feasibility method for the barebones PSO algorithm. that all of the capital available to the portfolio should be allocated between the constituent securities and that the portfolio remain Related studies in the use of PSO for portfolio optimization long only and unleveraged. Two popular methods for finding [6][7][8][9][10] have focused on the good performance of PSO feasible solutions when using classical optimization methods are in contrast to other algorithms, such as genetic algorithms.
    [Show full text]
  • Parameter Meta-Optimization of Metaheuristic Optimization Algorithms
    Fachhochschul-Masterstudiengang SOFTWARE ENGINEERING 4232 Hagenberg, Austria Parameter Meta-Optimization of Metaheuristic Optimization Algorithms Diplomarbeit zur Erlangung des akademischen Grades Master of Science in Engineering Eingereicht von Christoph Neumüller, BSc Begutachter: Prof. (FH) DI Dr. Stefan Wagner September 2011 Erklärung Hiermit erkläre ich an Eides statt, dass ich die vorliegende Arbeit selbstständig und ohne fremde Hilfe verfasst, andere als die angegebenen Quellen und Hilfsmit- tel nicht benutzt und die aus anderen Quellen entnommenen Stellen als solche gekennzeichnet habe. Hagenberg, am 4. September 2011 Christoph Neumüller, BSc. ii Contents Erklärung ii Abstract 1 Kurzfassung 2 1 Introduction 3 1.1 Motivation and Goal . .3 1.2 Structure and Content . .4 2 Theoretical Foundations 5 2.1 Metaheuristic Optimization . .5 2.1.1 Trajectory-Based Metaheuristics . .6 2.1.2 Population-Based Metaheuristics . .7 2.1.3 Optimization Problems . 11 2.1.4 Operators . 13 2.2 Parameter Optimization . 17 2.2.1 Parameter Control . 18 2.2.2 Parameter Tuning . 18 2.3 Related Work in Meta-Optimization . 19 3 Technical Foundations 22 3.1 HeuristicLab . 22 3.1.1 Key Concepts . 22 3.1.2 Algorithm Model . 23 3.2 HeuristicLab Hive . 25 3.2.1 Components . 26 4 Requirements 29 5 Implementation 31 5.1 Solution Encoding . 31 5.1.1 Parameter Trees in HeuristicLab . 31 5.1.2 Parameter Configuration Trees . 33 iii Contents iv 5.1.3 Search Ranges . 36 5.1.4 Symbolic Expression Grammars . 37 5.2 Fitness Function . 39 5.2.1 Handling of Infeasible Solutions . 41 5.3 Operators . 41 5.3.1 Solution Creator .
    [Show full text]
  • A Metaheuristic Based on Tabu Search for Solving a Technician Routing and Scheduling Problem
    A Metaheuristic Based on Tabu Search for Solving a Technician Routing and Scheduling Problem Ines Mathlouti Michel Gendreau Jean-Yves Potvin January 2018 CIRRELT-2018-01 A Metaheuristic Based on Tabu Search for Solving a Technician Routing and Scheduling Problem Ines Mathlouthi1,2, Michel Gendreau1,3, Jean-Yves Potvin1,2,* 1 Interuniversity Research Centre on Enterprise Networks, Logistics and Transportation (CIRRELT) 2 Department of Computer Science and Operations Research, Université de Montréal, P.O. Box 6128, Station Centre-Ville, Montréal, Canada H3C 3J7 3 Department of Mathematics and Industrial Engineering, Polytechnique Montréal, P.O. Box 6079, Station Centre-Ville, Montréal, Canada H3C 3A7 Abstract. This paper addresses a technician routing and scheduling problem motivated by an application for the repair and maintenance of electronic transactions equipment. The problem exhibits many special features like multiple time windows for service, an inventory of spare parts carried by each technician and tasks that may require a special part to be performed. A problem- solving methodology based on tabu search, coupled with an adaptive memory, is proposed. The inclusion of solutions (local minima) in the adaptive memory takes into account both quality and diversity. Results are reported on test instances with up to 200 tasks. A comparison with a previously developed branch-and-price algorithm is also reported on instances of small size. Keywords: Technician routing and scheduling problem, multiple time windows, inventory, metaheuristic, adaptive memory, tabu search, biased fitness. Acknowledgements. Financial support for this work was provided by the Natural Sciences and Engineering Research Council of Canada (NSERC). This support is gratefully acknowledged.
    [Show full text]