Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem

K. Liagkouras () and K. Metaxiotis
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K. Liagkouras: University of Piraeus
K. Metaxiotis: University of Piraeus

Annals of Operations Research, 2019, vol. 272, issue 1, No 7, 119-137

Abstract: Abstract This paper examines the incorporation of useful information extracted from the evolutionary process, in order to improve algorithm performance. In order to achieve this objective, we introduce an efficient method of extracting and utilizing valuable information from the evolutionary process. Finally, this information is utilized for optimizing the search process. The proposed algorithm is compared with the NSGAII for solving some real-world instances of the fuzzy portfolio optimization problem. The proposed algorithm outperforms the NSGAII for all examined test instances.

Keywords: Information; Fuzzy systems; Portfolio optimization; Evolutionary algorithms (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10479-018-2876-1

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