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Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk-adjusted performance. In addition, when the objective is the minimization of risk, the two new algorithms with risk management show excellent performance. A prototype of a software tool for automated evaluation of algorithms for portfolio selection is given.
With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms supplies a comprehensive survey of existing OLPS principles and presents a collection of innovative strategies that leverage machine learning techniques for financial investment. The book presents four new algorithms based on machine learning techniques that were designed by the authors, as well as a new back-test system they developed for evaluating trading strategy effectiveness. The book uses simulations with real market data to illustrate the trading strategies in action and to provide readers with the confidence to deploy the strategies themselves. The book is presented in five sections that: Introduce OLPS and formulate OLPS as a sequential decision task Present key OLPS principles, including benchmarks, follow the winner, follow the loser, pattern matching, and meta-learning Detail four innovative OLPS algorithms based on cutting-edge machine learning techniques Provide a toolbox for evaluating the OLPS algorithms and present empirical studies comparing the proposed algorithms with the state of the art Investigate possible future directions Complete with a back-test system that uses historical data to evaluate the performance of trading strategies, as well as MATLAB® code for the back-test systems, this book is an ideal resource for graduate students in finance, computer science, and statistics. It is also suitable for researchers and engineers interested in computational investment. Readers are encouraged to visit the authors’ website for updates: http://olps.stevenhoi.org.
This thesis presents methods for minimizing the computational effort of problem solving. Rather than looking at a particular algorithm, we consider the issue of computational complexity at a higher level, and propose techniques that, given a set of candidate algorithms, of unknown performance, learn to use these algorithms while solving a sequence of problem instances, with the aim of solving all instances in a minimum time. An analogous meta-level approach to problem solving has been adopted in many different fields, with different aims and terminology. A widely accepted term to describe it is algorithm selection. Algorithm portfolios represent a more general framework, in which computation time is allocated to a set of algorithms running on one or more processors. Automating algorithm selection is an old dream of the AI community, which has been brought closer to reality in the last decade. Most available selection techniques are based on a model of algorithm performance, assumed to be available, or learned during a separate offline training sequence, which is often prohibitively expensive. The model is used to perform a static allocation of resources, with no feedback from the actual execution of the algorithms. There is a trade-off between the performance of model-based selection, and the cost of learning the model. In this thesis, we formulate this trade-off as a bandit problem. We propose GambleTA, a fully dynamic and online algorithm portfolio selection technique, with no separate training phase: all candidate algorithms are run in parallel, while a model incrementally learns their runtime distributions. A redundant set of time allocators uses the partially trained model to optimize machine time shares for the algorithms, in order to minimize runtime. A bandit problem solver picks the allocator to use on each instance, gradually increasing the impact of the best time allocators as the model improves. A similar approach is adopted for learning restart strategi.
This book consists of eight chapters, authored by distinguished researchers and practitioners, that highlight the state of the art and recent trends in addressing the project portfolio selection and scheduling problem (PPSSP) across a variety of domains, particularly defense, social programs, supply chains, and finance. Many organizations face the challenge of selecting and scheduling a subset of available projects subject to various resource and operational constraints. In the simplest scenario, the primary objective for an organization is to maximize the value added through funding and implementing a portfolio of projects, subject to the available budget. However, there are other major difficulties that are often associated with this problem such as qualitative project benefits, multiple conflicting objectives, complex project interdependencies, workforce and manufacturing constraints, and deep uncertainty regarding project costs, benefits, and completion times. It is well known that the PPSSP is an NP-hard problem and, thus, there is no known polynomial-time algorithm for this problem. Despite the complexity associated with solving the PPSSP, many traditional approaches to this problem make use of exact solvers. While exact solvers provide definitive optimal solutions, they quickly become prohibitively expensive in terms of computation time when the problem size is increased. In contrast, evolutionary and memetic computing afford the capability for autonomous heuristic approaches and expert knowledge to be combined and thereby provide an efficient means for high-quality approximation solutions to be attained. As such, these approaches can provide near real-time decision support information for portfolio design that can be used to augment and improve existing human-centric strategic decision-making processes. This edited book provides the reader with a broad overview of the PPSSP, its associated challenges, and approaches to addressing the problem using evolutionary and memetic computing.
This book describes the latest advances in fuzzy logic, neural networks, and optimization algorithms, as well as their hybrid intelligent combinations, and their applications in the areas such as intelligent control, robotics, pattern recognition, medical diagnosis, time series prediction, and optimization. The topic is highly relevant as most current intelligent systems and devices use some form of intelligent feature to enhance their performance. The book also presents new and advanced models and algorithms of type-2 fuzzy logic and intuitionistic fuzzy systems, which are of great interest to researchers in these areas. Further, it proposes novel, nature-inspired optimization algorithms and innovative neural models. Featuring contributions on theoretical aspects as well as applications, the book appeals to a wide audience.
This book constitutes the refereed proceedings of the First Southern African Conference on Artificial Intelligence Research, SACAIR 2020, held in Muldersdrift, South Africa, in February 2021. Due to the COVID-19 pandemic the SACAIR 2020 has been postponed to February 2021. The 19 papers presented were thoroughly reviewed and selected from 53 submissions. They are organized on the topical sections on ​AI for ethics and society; AI in information systems, AI for development and social good; applications of AI; knowledge representation and reasoning; machine learning theory.
This book constitutes the thoroughly refereed post-conference proceedings of the 9th International Conference on Learning and Optimization, LION 9, which was held in Lille, France, in January 2015. The 31 contributions presented were carefully reviewed and selected for inclusion in this book. The papers address all fields between machine learning, artificial intelligence, mathematical programming and algorithms for hard optimization problems. Special focus is given to algorithm selection and configuration, learning, fitness landscape, applications, dynamic optimization, multi-objective, max-clique problems, bayesian optimization and global optimization, data mining and - in a special session - also on dynamic optimization.
Contains theoretical foundations, applications, and examples of competitive analysis for online algorithms.