Development of Evolutionary Algorithm for Replication of Large Size Data from Small Size Data and Application to Portfolio Replication Problem
| Project/Area Number |
25730148
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Soft computing
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| Research Institution | Hiroshima University |
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Principal Investigator |
ORITO Yukiko 広島大学, 社会科学研究科, 講師 (60364494)
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| Project Period (FY) |
2013-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | 進化計算 / ポートフォリオの複製 / 多峰性 / 不定解 / ソフトコンピューティング / 等式制約の無制約化 / 探索空間の変換 / ポートフォリオ複製 |
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| Outline of Final Research Achievements |
We developed a new evolutionary algorithm for solving optimization problems that have multi-peak landscape and indefinite solutions. Our algorithm replicates the solutions consisting of large size data from small size data.
Our algorithm has the following two contributions. First, our algorithm transforms variables of solution on constrained search space to them on unconstrained search space through trigonometrical functions. It can avoid the problem that evolutionary algorithms fall into local optima. Second, our algorithm effectively searches all variables by changing the searching area.
We applied the algorithm to portfolio replication problem. From the numerical results, our algorithm works well when the size of problem is large.
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Report
(3 results)
Research Products
(36 results)
