Utilizing dependence among variables in evolutionary algorithms for mixed-integer programming: A case study on multi-objective constrained portfolio optimization.
Yi ChenAimin ZhouSwagatam DasPublished in: Swarm Evol. Comput. (2021)
Keyphrases
- multi objective
- evolutionary algorithm
- mixed integer programming
- portfolio optimization
- bi objective
- multi objective optimization
- multiple objectives
- optimization algorithm
- optimization problems
- column generation
- problems involving
- portfolio selection
- differential evolution
- lot sizing
- genetic algorithm
- mixed integer
- simulated annealing
- production planning
- optimization methods
- nsga ii
- robust optimization
- particle swarm optimization
- optimization method
- risk management
- knapsack problem
- fitness function
- lagrangian relaxation
- stock market
- objective function
- stock price
- factor analysis
- efficient solutions
- linear program