An efficient Differential Evolution based algorithm for solving multi-objective optimization problems

In the present study, a modified variant of Differential Evolution (DE) algorithm for solving multi-objective optimization problems is presented. The proposed algorithm, named Multi-Objective Differential Evolution Algorithm (MODEA) utilizes the advantages of Opposition-Based Learning for generating an initial population of potential candidates and the concept of random localization in mutation step. Finally, it introduces a new selection mechanism for generating a well distributed Pareto optimal front. The performance of proposed algorithm is investigated on a set of nine bi-objective and five tri-objective benchmark test functions and the results are compared with some recently modified versions of DE for MOPs and some other Multi Objective Evolutionary Algorithms (MOEAs). The empirical analysis of the numerical results shows the efficiency of the proposed algorithm.     

Self Balanced Differential Evolution

Differential Evolution (DE) is a well known and simple population based probabilistic approach for global optimization. It has reportedly outperformed a few Evolutionary Algorithms (EAs) and other search heuristics like the Particle Swarm Optimization (PSO) when tested over both benchmark and real world problems. But, DE, like other probabilistic optimization algorithms, sometimes behave prematurely in convergence. Therefore, in order to avoid stagnation while keeping a good convergence speed for DE, two modifications are proposed: one is the introduction of a new control parameter, Cognitive Learning Factor (CLF) and the other is dynamic setting of scale factor. Both modifications are proposed in mutation process of DE. Cognitive learning is a powerful mechanism that adjust the current position of individuals by a means of some specified knowledge. The proposed strategy, named as Self Balanced Differential Evolution (SBDE), balances the exploration and exploitation capability of the DE. To prove efficiency and efficacy of SBDE, it is tested over 30 benchmark optimization problems and compared the results with the basic DE and advanced variants of DE namely, SFLSDE, OBDE and jDE. Further, a real-world optimization problem, namely, Spread Spectrum Radar Polly phase Code Design, is solved to show the wide applicability of the SBDE.     

改进种群多样性的双变异差分进化算法

差分进化算法(DE)是一种基于种群的启发式随机搜索技术,对于解决连续性优化问题具有较强的鲁棒性.然而传统差分进化算法存在种群多样性和收敛速度之间的矛盾,一种改进种群多样性的双变异差分进化算法(DADE),通过引入BFS-best机制(基于排序的可行解选取递减策略)改进变异算子"DE/current-to-best",将其与DE/rand/1构成双变异策略来改善DE算法中种群多样性减少的问题.同时,每个个体的控制参数基于排序自适应更新.最后,利用多个CEC2013标准测试函数对改进算法进行测试,实验结果表明,改进后的算法能有效改善种群多样性,较好地提高了算法的全局收敛能力和收敛速度.     

Self-adaptive randomized and rank-based differential evolution for multimodal problems

Differential Evolution (DE) is a widely used successful evolutionary algorithm (EA) based on a population of individuals, which is especially well suited to solve problems that have non-linear, multimodal cost functions. However, for a given population, the set of possible new populations is finite and a true subset of the cost function domain. Furthermore, the update formula of DE does not use any information about the fitness of the population. This paper presents a novel extension of DE called Randomized and Rank-based Differential Evolution (R2DE) and its self-adaptive version SAR2DE to improve robustness and global convergence speed on multimodal problems by introducing two multiplicative terms in the DE update formula. The first term is based on a random variate of a Cauchy distribution, which leads to a randomization. The second term is based on ranking of individuals, so that R2DE exploits additional information provided by the population fitness. In extensive experiments conducted with a wide range of complexity settings, we show that the proposed heuristics lead to an overall improvement in robustness and speed of convergence compared to several global optimization techniques, including DE, Opposition based Differential Evolution (ODE), DE with Random Scale Factor (DERSF) and the self-adaptive Cauchy distribution based DE (NSDE).     

Fitness based Differential Evolution

Differential Evolution (DE) is a well known and simple population based probabilistic approach for global optimization. It has reportedly outperformed a few Evolutionary Algorithms and other search heuristics like Particle Swarm Optimization when tested over both benchmark and real world problems. But, DE, like other probabilistic optimization algorithms, sometimes exhibits premature convergence and stagnates at suboptimal point. In order to avoid stagnation behavior while maintaining a good convergence speed, a new position update process is introduced, named fitness based position update process in DE. In the proposed strategy, position of the solutions are updated in two phases. In the first phase all the solutions update their positions using the basic DE and in the second phase, all the solutions update their positions based on their fitness. In this way, a better solution participates more times in the position update process. The position update equation is inspired from the Artificial Bee Colony algorithm. The proposed strategy is named as Fitness Based Differential Evolution ( $FBDE$ ). To prove efficiency and efficacy of $FBDE$ , it is tested over 22 benchmark optimization problems. A comparative analysis has also been carried out among proposed FBDE, basic DE, Simulated Annealing Differential Evolution and Scale Factor Local Search Differential Evolution. Further, $FBDE$ is also applied to solve a well known electrical engineering problem called Model Order Reduction problem for Single Input Single Output Systems.     

Option pricing and hedging for optimized Lévy driven stochastic volatility models

This paper pays attention to Ornstein-Uhlenbeck (OU) based stochastic volatility models with marginal law given by Classical Tempered Stable (CTS) distribution and Normal Inverse Gaussian (NIG) distribution, which are subclasses of infinite activity Lévy processes and are compared to finite activity Barndorff-Nielsen and Shephard (BNS) model. They are applied to option pricing and hedging in capturing leptokurtic features in asset returns and clustering effect in volatility that are consistently observed phenomena in underlying asset dynamics. The analytical formula of option pricing can be obtained through use of characteristic functions and Fast Fourier Transform (FFT) technique. Additionally, we introduce two hybrid optimization techniques such as hybrid Particle Swarm optimization (PSO) algorithm and hybrid Differential Evolution (DE) algorithm into parameters calibration schemes to improve the calibration quality for newly constructed models. Finally, we conduct experiments on Chinese emerging option markets to examine the performance of proposed models exploiting hybrid optimization techniques.     

A Differential Evolution algorithm to deal with box, linear and quadratic-convex constraints for boundary optimization

We both propose and test an implicit strategy that is based on changing the search space from points to directions, which in combination with the Differential Evolution (DE) algorithm, is easily implemented for solving boundary optimization of a generic continuous function. In particular, we see that the DE method can be efficiently implemented to find solutions on the boundary of a convex and bounded feasible set resulting when the constraints are bounds on the variables, linear inequalities and quadratic convex inequalities. The computational results are performed on different classes of boundary minimization problems. The proposed technique is compared with the Generalized Differential Evolution method.     

A novel multi-objective memetic algorithm based on opposition-based self-adaptive differential evolution

Under the framework of evolutionary paradigms, many evolutionary algorithms have been designed for handling multi-objective optimization problems. Each of the different algorithms may display exceptionally good performance in certain optimization problems, but none of them can be completely superior over one another. As such, different evolutionary algorithms are being synthesized to complement each other in view of their strengths and the limitations inherent in them. In this study, the novel memetic algorithm known as the Opposition-based Self-adaptive Hybridized Differential Evolution algorithm (OSADE) is being comprehensively investigated through a comparative study with some state-of-the-art algorithms, such as NSGA-II, non-dominated sorting Differential Evolution (NSDE), MOEA/D-SBX, MOEA/D-DE and the Multi-objective Evolutionary Gradient Search (MO-EGS) by using a suite of different benchmark problems. Through the experimental results that are presented by employing the Inverted Generational Distance (IGD) and the Hausdorff Distance performance indicators, it is seen that OSADE is able to achieve competitive, if not better, performance when compared to the other algorithms in this study.     

Global optimization of higher order moments in portfolio selection

We discuss the global optimization of the higher order moments of a portfolio of financial assets. The proposed model is an extension of the celebrated mean variance model of Markowitz. Asset returns typically exhibit excess kurtosis and are often skewed. Moreover investors would prefer positive skewness and try to reduce kurtosis of their portfolio returns. Therefore the mean variance model (assuming either normally distributed returns or quadratic utility functions) might be too simplifying. The inclusion of higher order moments has therefore been proposed as a possible augmentation of the classical model in order to make it more widely applicable. The resulting problem is non-convex, large scale, and highly relevant in financial optimization. We discuss the solution of the model using two stochastic algorithms. The first algorithm is Differential Evolution (DE). DE is a population based metaheuristic originally designed for continuous optimization problems. New solutions are generated by combining up to four existing solutions plus noise, and acceptance is based on evolutionary principles. The second algorithm is based on the asymptotic behavior of a suitably defined Stochastic Differential Equation (SDE). The SDE consists of three terms. The first term tries to reduce the value of the objective function, the second enforces feasibility of the iterates, while the third adds noise in order to enable the trajectory to climb hills.     

A memetic Differential Evolution approach in noisy optimization

This paper proposes a memetic approach for solving complex optimization problems characterized by a noisy fitness function. The proposed approach aims at solving highly multivariate and multi-modal landscapes which are also affected by a pernicious noise. The proposed algorithm employs a Differential Evolution framework and combines within this three additional algorithmic components. A controlled randomization of scale factor and crossover rate are employed which should better handle uncertainties of the problem and generally enhance performance of the Differential Evolution. Two combined local search algorithms applied to the scale factor, during offspring generation, should enhance performance of the Differential Evolution framework in the case of multi-modal and high dimensional problems. An on-line statistical test aims at assuring that only strictly necessary samples are taken and that all pairwise selections are properly performed. The proposed algorithm has been tested on a various set of test problems and its behavior has been studied, dependent on the dimensionality and noise level. A comparative analysis with a standard Differential Evolution, a modern version of Differential Evolution employing randomization of the control parameters and four metaheuristics tailored to optimization in a noisy environment has been carried out. One of these metaheuristics is a classical algorithm for noisy optimization while the other three are modern Differential Evolution based algorithms for noisy optimization which well represent the state-of-the-art in the field. Numerical results show that the proposed memetic approach is an efficient and robust alternative for various and complex multivariate noisy problems and can be exported to real-world problems affected by a noise whose distribution can be approximated by a Gaussian distribution.     

A reassessment of the Snyman–Fatti dynamic search trajectory method for unconstrained global optimization

The aim of this paper is to present a thorough reassessment of the Snyman–Fatti (SF) Multi-start Global Minimization Algorithm with Dynamic Search Trajectories, first published twenty years ago. The reassessment is done with reference to a slightly modified version of the original method, the essentials of which are summarized here. Results of the performance of the current code on an extensive set of standard test problems commonly in use today, are presented. This allows for a fair assessment to be made of the performance of the SF algorithm relative to that of the popular Differential Evolution (DE) method, for which test results on the same standard set of test problems used here for the SF algorithm, are also given. The tests show that the SF algorithm, that requires relatively few parameter settings, is a reliably robust and competitive method compared to the DE method. The results also indicate that the SF trajectory algorithm is particularly promising to solve minimum potential energy problems to determine the structure of atomic and molecular clusters.     

A novel hybrid differential evolution and particle swarm optimization algorithm for unconstrained optimization

An algorithm called DE-PSO is proposed which incorporates concepts from DE and PSO, updating particles not only by DE operators but also by mechanisms of PSO. The proposed algorithm is tested on several benchmark functions. Numerical comparisons with different hybrid meta-heuristics demonstrate its effectiveness and efficiency.     

Optimization of Nonlinear Mechanical Systems under Constraints with the Particle Swarm Method

In recent years, stochastic optimization methods have gained increasing attention in parameter optimization of mechanical systems. Most popular techniques are Evolutionary Computation and the Simulating Annealing algorithm, which are applied more frequently to mechanical problems due to the increasing computing resources available now. Since theses methods do not require any gradient information, they are well suited for non‐smooth or discontinuous optimization tasks occurring in nonlinear multibody systems. In addition to these techniques, Kennedy and Eberhart [5] introduced the Particle Swarm Optimization method (PSO) based on the simulation of bird flocking. In this work, the efficiency of an extended PSO algorithm has been compared with an Evolutionary Strategy (ES) [6] and an Adapted Simulated Annealing method (ASA) [4]. In order to solve optimization tasks with both equality and inequality constraints the PSO algorithm has been extended by the Augmented Lagrangian Multiplier Method [2]. The proposed method shows often superior results and is quite simple to implement. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

A dynamic global and local combined particle swarm optimization algorithm

Particle swarm optimization (PSO) algorithm has been developing rapidly and many results have been reported. PSO algorithm has shown some important advantages by providing high speed of convergence in specific problems, but it has a tendency to get stuck in a near optimal solution and one may find it difficult to improve solution accuracy by fine tuning. This paper presents a dynamic global and local combined particle swarm optimization (DGLCPSO) algorithm to improve the performance of original PSO, in which all particles dynamically share the best information of the local particle, global particle and group particles. It is tested with a set of eight benchmark functions with different dimensions and compared with original PSO. Experimental results indicate that the DGLCPSO algorithm improves the search performance on the benchmark functions significantly, and shows the effectiveness of the algorithm to solve optimization problems.     

Empirical analysis of self-adaptive differential evolution

Differential evolution (DE) is generally considered as a reliable, accurate, robust and fast optimization technique. DE has been successfully applied to solve a wide range of numerical optimization problems. However, the user is required to set the values of the control parameters of DE for each problem. Such parameter tuning is a time consuming task. In this paper, a self-adaptive DE (SDE) algorithm which eliminates the need for manual tuning of control parameters is empirically analyzed. The performance of SDE is investigated and compared with other well-known approaches. The experiments conducted show that SDE generally outperform other DE algorithms in all the benchmark functions. Moreover, the performance of SDE using the ring neighborhood topology is investigated.     

A new multi-threshold image segmentation approach using state transition algorithm

Thresholding plays an important role in image segmentation and image analysis. In this paper, the normalized histogram of an image is fitted by a linear combined normal distribution functions and each normal distribution function represents a class of pixels, whereas the parameters like the mean, the variance and the weights in the fitting function are undetermined. By transforming the fitting problem into a nonlinear and non-convex optimization problem, the state transition algorithm (STA) which is a new global optimization method is used to choose the optimal parameters of the fitting function. The effectiveness of proposed approach in multilevel thresholding problems is tested by several experimental results. By comparing with OTSU, particle swarm optimization (PSO), genetic algorithm (GA) and differential evolution (DE) algorithm, it has shown that STA has competitive performance in terms of both optimization results and thresholding segmentation.     

Enhancing performance of particle swarm optimization through an algorithmic link with genetic algorithms

Evolutionary Algorithms (EAs) are emerging as competitive and reliable techniques for several optimization tasks. Juxtapositioning their higher-level and implicit correspondence; it is provocative to query if one optimization algorithm can benefit from another by studying underlying similarities and dissimilarities. This paper establishes a clear and fundamental algorithmic linking between particle swarm optimization (PSO) algorithm and genetic algorithms (GAs). Specifically, we select the task of solving unimodal optimization problems, and demonstrate that key algorithmic features of an effective Generalized Generation Gap based Genetic Algorithm can be introduced into the PSO by leveraging this algorithmic linking while significantly enhance the PSO’s performance. However, the goal of this paper is not to solve unimodal problems, neither is to demonstrate that the modified PSO algorithm resembles a GA, but to highlight the concept of algorithmic linking in an attempt towards designing efficient optimization algorithms. We intend to emphasize that the evolutionary and other optimization researchers should direct more efforts in establishing equivalence between different genetic, evolutionary and other nature-inspired or non-traditional algorithms. In addition to achieving performance gains, such an exercise shall deepen the understanding and scope of various operators from different paradigms in Evolutionary Computation (EC) and other optimization methods.     

Massively parallel differential evolution—pattern search optimization with graphics hardware acceleration: an investigation on bound constrained optimization problems

This paper presents a novel parallel Differential Evolution (DE) algorithm with local search for solving function optimization problems, utilizing graphics hardware acceleration. As a population-based meta-heuristic, DE was originally designed for continuous function optimization. Graphics Processing Units (GPU) computing is an emerging desktop parallel computing technology that is becoming popular with its wide availability in many personal computers. In this paper, the classical DE was adapted in the data-parallel CPU-GPU heterogeneous computing platform featuring Single Instruction-Multiple Thread (SIMT) execution. The global optimal search of the DE was enhanced by the classical local Pattern Search (PS) method. The hybrid DE–PS method was implemented in the GPU environment and compared to a similar implementation in the common computing environment with a Central Processing Unit (CPU). Computational results indicate that the GPU-accelerated SIMT-DE-PS method is orders of magnitude faster than the corresponding CPU implementation. The main contribution of this paper is the parallelization analysis and performance analysis of the hybrid DE–PS with GPU acceleration. The research results demonstrate a promising direction for high speed optimization with desktop parallel computing on a personal computer.     

Step-size Adaptation in a Multi-objective Differential Evolution Algorithm

If Differential Evolution (DE) is applied to multi-objective optimization problems, some of its features like automatic problem-specific step-size adaptation gets lost. This can be resolved by modifying the DE equations. Three strategies are proposed and compared with existing algorithms. It is shown, that the proposed strategies deliver a superior convergence and preserve the positive characteristics of DE known from solving mono-objective optimization problems. (© 2016 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

A dynamic clustering based differential evolution algorithm for global optimization

A dynamic clustering based differential evolution algorithm (CDE) for global optimization is proposed to improve the performance of the differential evolution (DE) algorithm. With population evolution, CDE algorithm gradually changes from exploring promising areas at the early stages to exploiting solution with high precision at the later stages. Experiments on 28 benchmark problems, including 13 high dimensional functions, show that the new method is able to find near optimal solutions efficiently. Compared with other existing algorithms, CDE improves solution accuracy with less computational effort.