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| 改进的粒子群算法及在CVaR模型中的应用 | |
| 引用本文： | 刘衍民,赵庆祯,牛奔.改进的粒子群算法及在CVaR模型中的应用[J].数学的实践与认识,2011,41(17). |
| 作者姓名： | 刘衍民 赵庆祯 牛奔 |
| 作者单位： | 1. 遵义师范学院数学系,贵州遵义,563002 2. 山东师范大学管理与经济学院,山东济南,250014 3. 深圳大学管理学院,深圳,518060 |
| 基金项目： | 贵州教育厅社科项目(0705204,10ZC077); 遵市科技局项目([2008]21) |
| 摘 要： | 为了求解带有条件风险价值(CVaR)约束的均值-方差模型,提出一种基于广义学习和柯西变异的粒子群算法(CCPSO).在CCPSO算法中,为了提升种群跳出局部最优解的能力,引入一种广义学习策略,提升粒子向最优解飞行的概率;并引入一种动态变异概率,对粒子自身最优位置进行柯西变异,更好地引导种群的飞行;最后,根据全局最优粒子的运行状况,每间隔若干代对其进行变异,以产生全局新的领导者.在基准函数测试中,结果显示CCPSO算法有较好的运行结果.在CVaR模型投资组合优化中,与其它算法相比,CCPSO算法所获结果是有效的,并且优于其它算法. |
| 关 键 词： | 广义学习 粒子群算法 柯西变异 条件风险价值(CVaR) |
Improved Particle Swarm Optimizer and Its Application for CvaR Model |
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| LIUYan-min,ZHAO Qing-zhen,NIU Ben.Improved Particle Swarm Optimizer and Its Application for CvaR Model[J].Mathematics in Practice and Theory,2011,41(17). | |
| Authors: | LIUYan-min ZHAO Qing-zhen NIU Ben |
| Institution: | LIU Yan-min~(1,2),ZHAO Qing-zhen~2,NIU Ben~3 (1.Department of Math,Zunyi Normal College,Zunyi 563002,China) (2.School of Management and Economics,Shandong Normal University,Jinan 250014,China) (3.College of Management,Shenzhen University,Shenzhen 518060,China) |
| Abstract: | In order to solve the mean-variance portfolio model with conditional value-at-risk (CVaR) constraint,a PSO algorithm based on comprehensive learning and Cauchy mutation is proposed.In CCPSO,to improve the ability to escape from local optima,a comprehensive learning strategy is adopted,which increase the probability of flying to the optimal solution. And a dynamic mutation is introduced to make the Cauchy mutation for each pbest.At last,in terms of the condition of the best performing particle(gbest) in the ... |
| Keywords: | comprehensive learning particle swarm optimizer Cauchy mutation conditional value-at-risk |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |