Paper Info
Title
Equality Constraint-Handling Technique With Various Mapping Points: The Case Of Portfolio Replication Problem
Abstract
For solving an equality constrained optimization problem, it is difficult to find an optimal solution by using any evolutionary algorithms. We propose a new technique that handles an equality constraint in this paper. The technique transforms variables of solution on equality constrained search space to them on unconstrained search space through trigonometrical functions. Thus, this paper presents the contribution that an evolutionary algorithm effectively finds good feasible solutions without evolutionary stagnation because an unconstrained space consists only of feasible solutions. However, our technique searches mapping points only on the part of constrained space because it cannot transform the constrained space to fully unconstrained space. Therefore, we expand such a space consisting of various mapping points by exchanging trigonometrical functions on EDA (Estimation of Distribution Algorithm). In numerical experiments, for portfolio replication problems, we demonstrate the effectiveness of our technique.
Year
DOI
Venue
2015
10.1109/CEC.2015.7257205
2015 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION (CEC)
Field
DocType
Citations 
Histogram,Mathematical optimization,Estimation of distribution algorithm,Evolutionary algorithm,Computer science,Evolutionary computation,Portfolio,Constrained optimization problem,Benchmark (computing),Constrained optimization
Conference
0
PageRank 
References 
Authors
0.34
8
2
Name
Order
Citations
PageRank
Yukiko Orito1137.69
Yoshiko Hanada22011.42