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A Survey on Financial Applications of Metaheuristics

Amparo Soler-Dominguez, Angel A. Juan, Renatas Kizys
2017 ACM Computing Surveys  
A non-exhaustive list of examples includes rich portfolio optimization, index tracking, enhanced indexation, credit risk, stock investments, financial project scheduling, option pricing, feature selection  ...  The paper also discusses some open opportunities for researchers in the field, and forecast the evolution of metaheuristics to include real-life uncertainty conditions into the optimization problems being  ...  Option Pricing Problem Options are derivative instruments of investment that are used for speculative or hedging activities in financial markets.  ... 
doi:10.1145/3054133 fatcat:hr4fggpodnbzjdk3fkg6thxjma

An Investment Decision-Making Approach for Power Grid Projects: A Multi-Objective Optimization Model

Lei Gao, Zhen-Yu Zhao, Cui Li
2022 Energies  
different concerns of different project scenarios, Pareto frontier solutions can be selected as the practical references of power grid projects.  ...  constraints, (2) According to the conventional steps of NSGA-II, suitable steps can be established to search for an optimal solution to the objective set of a power grid investment and (3) Due to the  ...  The authors would like to express their gratitude for the support of these funding authorities. Conflicts of Interest: The authors declare no conflict of interest.  ... 
doi:10.3390/en15031112 fatcat:skke7zofjrgq7ig6cjbalpupai

Optimal Planning of Electricity-Natural Gas Coupling System Considering Power to Gas Facilities

Jie Xing, Peng Wu
2021 Energies  
Then, the immune algorithm was proposed to solve the optimization planning model.  ...  The optimization planning model for the electricity-natural gas coupling system was established with the goal of minimizing the sum of the annual investment costs and the annual operation costs.  ...  The immune algorithm is an intelligent optimization algorithm that simulates the immune mechanism of biology and combines the evolutionary mechanism of genes [26] .  ... 
doi:10.3390/en14123400 fatcat:wlkrievgz5d4zfjghleljymy2a

The evolution of project portfolio selection methods: from incremental to radical innovation

Ximena Alejandra Flechas Chaparro, Leonardo Augusto de Vasconcelos Gomes, Paulo Tromboni de Souza Nascimento
2019 REGE Revista de Gestão  
Purpose -The purpose of this paper is to identify how project portfolio selection (PPS) methods have evolved and which approaches are more suitable for radical innovation projects.  ...  The authors hope that the framework contributes to reinvigorating the literature on selection approaches for innovation projects.  ...  Finally, an interesting technique of trade-off between immunity to uncertainty and aspirations is the information gap theory model (Regan et al., 2005) .  ... 
doi:10.1108/rege-10-2018-0096 fatcat:qtlzmlihxndc5mijyymtsd45am

Applying Operations Research Techniques to Financial Markets

John Board, Charles Sutcliffe, William T. Ziemba
2003 Interfaces  
After considering reasons for the attractiveness of general finance problems to OR researchers, the main types of financial market problem amenable to OR are identified, and some of the many problems solved  ...  OR now plays an important role in the operation of financial markets and this importance is likely to increase, creating the opportunity for OR (and operations researchers) to play an even greater role  ...  The problem of selecting an investment policy for a pension fund can be analysed using asset-liability management models that allow for the non-zero correlations between the values of the assets and liabilities  ... 
doi:10.1287/inte. fatcat:x3cvokwhbna2feqmb3hzpf3drq

Robust Resource Investment Problem with Time-Dependent Resource Cost and Tardiness Penalty

A. Hattab, M. Haouari
2016 2016 IEEE International Conference on Industrial Engineering and Engineering Management (IEEM)  
The Resource Investment Problem (RIP) is a variant of the well-known Resource Constraint Project Scheduling Problem (RCPSP) that requires finding the optimal resource allocation, given a preset completion  ...  The practical relevance of RIP is very obvious; since the decision maker (the project manager for example) wants to know what resources are required to achieve the targeted project completion date.  ...  The same algorithm with some modification can be also used to solve other scheduling problems with different objective.  ... 
doi:10.1109/ieem.2016.7798166 fatcat:webplfw3yvgoxk4svtigacs6gy

Exploiting Immunological Properties for Ubiquitous Computing Systems [chapter]

Philipp H. Mohr, Nick Ryan, Jon Timmis
2004 Lecture Notes in Computer Science  
This paper argues that such properties are essential for the creation of future context-aware and ubiquitous systems where the need for such properties is becoming increasingly clear.  ...  To that end, we present an immune inspired system, which draws heavily on the immune network metaphor to create a metastable context-aware memory system that could be delivered in small hand-held devices  ...  Possible options are also represented by attribute vectors, one for each option (options may comprise of an arbitrary number of attributes).  ... 
doi:10.1007/978-3-540-30220-9_23 fatcat:6uwscmqi2naq5bs6brtnl6ltmu

A discrete evolutionary PSO based approach to the multiyear transmission expansion planning problem considering demand uncertainties

Manuel Costeira da Rocha, João Tomé Saraiva
2013 International Journal of Electrical Power & Energy Systems  
Given the discrete nature of the problem, we adopted an enhanced approach of the PSO algorithm to solve it.  ...  These terms are associated with the level of losses, non-zero values for the power not supplied namely for the entire system and for n À 1 contingencies, financial limits, maximum number of projects to  ...  A solution X pt of the TEP problem will then be associated to a particle in the population of the DEPSO algorithm and it corresponds to a plan that includes a number of projects selected among this list  ... 
doi:10.1016/j.ijepes.2012.09.009 fatcat:4xtpfgl4lves7dnbkmtswl3rmq

Antibiotic resistance - Netflix, HAL 9000 and the $100 billion question

Leonard C Marais
2021 SA Orthopaedic Journal  
Antibiotics depend on an appropriate host-immune response for success. Immune stimulation has been proposed as an adjunct to shift the balance in favour of the antibiotics.  ...  Gene therapy is theoretically an option.  ... 
doi:10.17159/2309-8309/2021/v20n3a0 fatcat:zlfuq7iiu5cgpl2ner6skljf4y

Metaheuristics for Rich Portfolio Optimisation and Risk Management: Current State and Future Trends

Jana Doering, Renatas Kizys, Angel A. Juan, Àngels Fitó, Onur Polat
2019 Operations Research Perspectives  
A B S T R A C T Computational finance is an emerging application field of metaheuristic algorithms.  ...  This paper reviews the scientific literature on the use of metaheuristics for solving NP-hard versions of these optimisation problems and illustrates their capacity to provide high-quality solutions under  ...  It is an EA based on the clonal selection of an immune system, or the immune response to antigens [38] .  ... 
doi:10.1016/j.orp.2019.100121 fatcat:ncxpgmkqczdgfl34albgx7z32m

Cable Connection Scheme Optimization for Offshore Wind Farm Considering Wake Effect

Peng Hou, Guangya Yang, Weihao Hu, Cong Chen, Mohsen Soltani, Zhe Chen
2018 2018 IEEE Congress on Evolutionary Computation (CEC)  
To improve the performance of the IPSO, an adaptive method for parameter control is used to help to find a better solution.  ...  The LCOE, which concerns three aspects: electrical power losses, power captured by wind turbines (WT) and investment, is selected to set up the objective function.  ...  ACKNOWLEDGMENT The authors would like to thank the Norwegian Centre for Offshore Wind Energy (NORCOWE) under grant 193821/S60 from the Research Council of Norway (RCN).  ... 
doi:10.1109/cec.2018.8477866 dblp:conf/cec/HouYHCSC18 fatcat:fbznw6phbbewhn5wahegqrsl4a

Portfolio Optimization for Defence Applications

Kyle Robert Harrison, Saber Elsayed, Ivan Garanovich, Terence Weir, Michael Galister, Sharon Boswell, Richard Taylor, Ruhul Sarker
2020 IEEE Access  
The problem of designing an effective future defense force is quite complex and challenging.  ...  One methodology that is often employed in this domain is portfolio optimization, whereby the objective is to select a diverse set of assets that maximize the return on investment.  ...  A case study consisting of five offensive units and four defensive units was considered in the experimental section using an adaptive immune genetic algorithm.  ... 
doi:10.1109/access.2020.2983141 fatcat:yxvillvsmjemrp4ooomfqrhaiq

Integrated offshore wind farm design: Optimizing micro‐siting and cable layout simultaneously

Thomas Marge, Sara Lumbreras, Andrés Ramos, Benjamin F. Hobbs
2019 Wind Energy  
In addition, the model provides insights on the effects of turbine spacing that can be used to simplify the design process or to support negotiations for surface concession at the earlier stages of a project  ...  We use Jensen's equations to approximate the wake effect in an efficient manner, calibrating it with years of mast data.  ...  strategies such as heuristics, 49 genetic algorithms, 47 or immune system algorithms 47 have also been applied in this setting.  ... 
doi:10.1002/we.2396 fatcat:qgz2wt4f75hu7oep3yxx6fcz4i

That's C, baby. C! [article]

Roberto Bagnara
2019 arXiv   pre-print
The problem is due to the fact that the semantics of the C programming language is not fully defined: non-definite behavior, predefined macros, different library implementations, peculiarities of the translation  ...  The paper starts with an exercise that admits a solution.  ...  Acknowledgments I am grateful to the following people who provided useful comments and advice on previous versions of this paper: Abramo Bagnara (BUGSENG), Paolo Bandini (University of Parma and BUGSENG  ... 
arXiv:1909.06353v1 fatcat:6ostzcwbanfafoomnjzn3tdrza

Optimal Immunization Policy Using Dynamic Programming [article]

Atiye Alaeddini, Daniel Klein
2020 arXiv   pre-print
Policy makers are responsible for making important decisions, faced with the daunting task of choosing from amongst many possible options.  ...  We present here a description of an AI-based method and illustrate how this method can improve our ability to find an optimal vaccination strategy.  ...  To demonstrate the effectiveness of the AI-based approach for planning under uncertainty in this project, in this section we consider the problem of finding optimal time for supplemental immunization activities  ... 
arXiv:1910.08677v2 fatcat:h2fht3yppnbwjcqrkqwgycqxse
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