Uma Nova Meta-heurística Adaptativa Baseada em Vetor de Avaliações para Otimização de Portfólios de Investimentos
Open Access
- 9 December 2019
- journal article
- research article
- Published by IBERAMIA: Sociedad Iberoamericana de Inteligencia Artificial in INTELIGENCIA ARTIFICIAL
- Vol. 22 (64), 85-101
- https://doi.org/10.4114/intartif.vol22iss64pp85-101
Abstract
This article describes a new adaptive metaheuristic based on a vector evaluated approach for solving multiobjective problems. We called our proposed algorithm Vector Evaluated Meta-Heuristic. Its main idea is to evolve two populations independently, exchanging information between them, i.e., the first population evolves according to the best individual of the second population and vice-versa. The choice of which algorithm will be executed on each generation is carried out stochastically among three evolutionary algorithms well known in the literature: PSO, DE, ABC. In order to evaluate the results, we used an established metric in multiobjective evolutionary algorithms called hypervolume. Tests have shown that the adaptive metaheuristic reaches the best hyper-volumes in three of ZDT benchmarks functions and, also, in two portfolios of a real-world problem called portfolio investment optimization. The results show that our algorithm improved the Pareto curve when compared to the hypervolumes of each heuristic separately.Keywords
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