组合选择的混合元启发式:与精确解算器和搜索空间分析的比较

2015 Federated Conference on Computer Science and Information Systems (FedCSIS) Pub Date : 2015-11-09 DOI:10.15439/2015F7

G. D. Tollo

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引用次数: 2

摘要

本文采用一种元启发式方法来求解一个np困难且难以用标准优化方法求解的约束公式中的投资组合选择问题。我们将算法的性能与精确求解器进行比较，并表明不同的数学公式会导致不同的算法行为。结果表明，我们的方法可以有效地用于解决手头的问题，并且一个健全的吸引力分析盆地可以帮助开发人员和从业者设计实验分析。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Hybrid metaheuristic for Portfolio Selection: Comparison with an exact solver and search space analysis

In this paper we use a metaheuristic approach to solve the Portfolio Selection problem, in a constrained formulation which is NP-hard and difficult to be solved by standard optimization methods. We are comparing the algorithm's performances with an exact solver and we are showing that different mathematical formulations lead to different algorithm's behaviour. Results show that our approach can be efficiently used to solve the problem at hand, and that a sound basin of attraction analysis may help developers and practitioners to design the experimental analysis.

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来源期刊

2015 Federated Conference on Computer Science and Information Systems (FedCSIS)

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