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Author: Burcu Adıgüzel Mercangöz Publisher: Springer Nature ISBN: 3030702812 Category : Business & Economics Languages : en Pages : 355
Book Description
This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz’s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio’s decreases depending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset. The book explains PSO in detail and demonstrates how to implement Markowitz’s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.
Author: Burcu Adıgüzel Mercangöz Publisher: Springer Nature ISBN: 3030702812 Category : Business & Economics Languages : en Pages : 355
Book Description
This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz’s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio’s decreases depending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset. The book explains PSO in detail and demonstrates how to implement Markowitz’s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.
Author: Maurice Clerc Publisher: John Wiley & Sons ISBN: 111861397X Category : Computers Languages : en Pages : 182
Book Description
This is the first book devoted entirely to Particle Swarm Optimization (PSO), which is a non-specific algorithm, similar to evolutionary algorithms, such as taboo search and ant colonies. Since its original development in 1995, PSO has mainly been applied to continuous-discrete heterogeneous strongly non-linear numerical optimization and it is thus used almost everywhere in the world. Its convergence rate also makes it a preferred tool in dynamic optimization.
Author: Brian Walker Publisher: Nova Science Publishers ISBN: 9781536108286 Category : Electric power systems Languages : en Pages : 0
Book Description
Particle swarm optimisation (PSO) is one of the recently developed swarm intelligent optimisation technologies that offer the advantages of simplicity and fast biological convergence. The technique originated from the theory of artificial life and evolution, which is based on the optimisation that is achieved as a result of swarm behaviour. PSO can be easily implemented due to fewer parameters for adjustment hence it has been applied broadly in various engineering fields. This book reviews advances in research and applications of PSO.
Author: Jun Sun Publisher: CRC Press ISBN: 1439835772 Category : Computers Languages : en Pages : 419
Book Description
Although the particle swarm optimisation (PSO) algorithm requires relatively few parameters and is computationally simple and easy to implement, it is not a globally convergent algorithm. In Particle Swarm Optimisation: Classical and Quantum Perspectives, the authors introduce their concept of quantum-behaved particles inspired by quantum mechanics, which leads to the quantum-behaved particle swarm optimisation (QPSO) algorithm. This globally convergent algorithm has fewer parameters, a faster convergence rate, and stronger searchability for complex problems. The book presents the concepts of optimisation problems as well as random search methods for optimisation before discussing the principles of the PSO algorithm. Examples illustrate how the PSO algorithm solves optimisation problems. The authors also analyse the reasons behind the shortcomings of the PSO algorithm. Moving on to the QPSO algorithm, the authors give a thorough overview of the literature on QPSO, describe the fundamental model for the QPSO algorithm, and explore applications of the algorithm to solve typical optimisation problems. They also discuss some advanced theoretical topics, including the behaviour of individual particles, global convergence, computational complexity, convergence rate, and parameter selection. The text closes with coverage of several real-world applications, including inverse problems, optimal design of digital filters, economic dispatch problems, biological multiple sequence alignment, and image processing. MATLAB®, Fortran, and C++ source codes for the main algorithms are provided on an accompanying downloadable resources. Helping you numerically solve optimisation problems, this book focuses on the fundamental principles and applications of PSO and QPSO algorithms. It not only explains how to use the algorithms, but also covers advanced topics that establish the groundwork for understanding.
Author: Andrea E. Olsson Publisher: ISBN: 9781616685270 Category : Mathematical optimization Languages : en Pages : 0
Book Description
Particle swarm optimisation (PSO) is an algorithm modelled on swarm intelligence that finds a solution to an optimisation problem in a search space or model and predicts social behaviour in the presence of objectives. The PSO is a stochastic, population-based computer algorithm modelled on swarm intelligence. Swarm intelligence is based on social-psychological principles and provides insights into social behaviour, as well as contributing to engineering applications. This book presents information on particle swarm optimisation such as using mono-objective and multi-objective particle swarm optimisation for the tuning of process control laws; convergence issues in particle swarm optimisation; study on vehicle routing problems using enhanced particle swarm optimisation and others.
Author: Jason Brownlee Publisher: Machine Learning Mastery ISBN: Category : Computers Languages : en Pages : 412
Book Description
Optimization happens everywhere. Machine learning is one example of such and gradient descent is probably the most famous algorithm for performing optimization. Optimization means to find the best value of some function or model. That can be the maximum or the minimum according to some metric. Using clear explanations, standard Python libraries, and step-by-step tutorial lessons, you will learn how to find the optimum point to numerical functions confidently using modern optimization algorithms.
Author: Godfrey C. Onwubolu Publisher: Springer ISBN: 3540399305 Category : Technology & Engineering Languages : en Pages : 716
Book Description
Presently, general-purpose optimization techniques such as Simulated Annealing, and Genetic Algorithms, have become standard optimization techniques. Concerted research efforts have been made recently in order to invent novel optimization techniques for solving real life problems, which have the attributes of memory update and population-based search solutions. The book describes a variety of these novel optimization techniques which in most cases outperform the standard optimization techniques in many application areas. New Optimization Techniques in Engineering reports applications and results of the novel optimization techniques considering a multitude of practical problems in the different engineering disciplines – presenting both the background of the subject area and the techniques for solving the problems.
Author: Pakize Erdogmus Publisher: BoD – Books on Demand ISBN: 1789231485 Category : Mathematics Languages : en Pages : 112
Book Description
This book is intended to gather recent studies on particle swarm optimization (PSO). In this book, readers can find the recent theoretical developments and applications on PSO algorithm. From the theoretical aspect, PSO has preserved its popularity because of the fast convergence rate, and a lot of hybrid algorithms have recently been developed in order to increase the performance of the algorithm. At the same time, PSO has also been used to solve different kinds of engineering optimization problems. In this book, a reader can find engineering applications of PSO, such as environmental economic dispatch and grid computing.
Author: Parsopoulos, Konstantinos E. Publisher: IGI Global ISBN: 1615206671 Category : Business & Economics Languages : en Pages : 328
Book Description
"This book presents the most recent and established developments of Particle swarm optimization (PSO) within a unified framework by noted researchers in the field"--Provided by publisher.
Author: Alex Lazinica Publisher: BoD – Books on Demand ISBN: 9537619486 Category : Computers Languages : en Pages : 490
Book Description
Particle swarm optimization (PSO) is a population based stochastic optimization technique influenced by the social behavior of bird flocking or fish schooling.PSO shares many similarities with evolutionary computation techniques such as Genetic Algorithms (GA). The system is initialized with a population of random solutions and searches for optima by updating generations. However, unlike GA, PSO has no evolution operators such as crossover and mutation. In PSO, the potential solutions, called particles, fly through the problem space by following the current optimum particles. This book represents the contributions of the top researchers in this field and will serve as a valuable tool for professionals in this interdisciplinary field.
Author: Burcu Adıgüzel Mercangöz
Author: Burcu Adıgüzel Mercangöz
Author: Maurice Clerc
Author: Brian Walker
Author: Jun Sun
Author: Andrea E. Olsson
Author: Jason Brownlee
Author: Godfrey C. Onwubolu
Author: Pakize Erdogmus
Author: Parsopoulos, Konstantinos E.
Author: Alex Lazinica