Algorithm Portfolios


Book Description

This book covers algorithm portfolios, multi-method schemes that harness optimization algorithms into a joint framework to solve optimization problems. It is expected to be a primary reference point for researchers and doctoral students in relevant domains that seek a quick exposure to the field. The presentation focuses primarily on the applicability of the methods and the non-expert reader will find this book useful for starting designing and implementing algorithm portfolios. The book familiarizes the reader with algorithm portfolios through current advances, applications, and open problems. Fundamental issues in building effective and efficient algorithm portfolios such as selection of constituent algorithms, allocation of computational resources, interaction between algorithms and parallelism vs. sequential implementations are discussed. Several new applications are analyzed and insights on the underlying algorithmic designs are provided. Future directions, new challenges, and open problems in the design of algorithm portfolios and applications are explored to further motivate research in this field.




Automatic Algorithm Selection for Complex Simulation Problems


Book Description

To select the most suitable simulation algorithm for a given task is often difficult. This is due to intricate interactions between model features, implementation details, and runtime environment, which may strongly affect the overall performance. An automated selection of simulation algorithms supports users in setting up simulation experiments without demanding expert knowledge on simulation. Roland Ewald analyzes and discusses existing approaches to solve the algorithm selection problem in the context of simulation. He introduces a framework for automatic simulation algorithm selection and describes its integration into the open-source modelling and simulation framework James II. Its selection mechanisms are able to cope with three situations: no prior knowledge is available, the impact of problem features on simulator performance is unknown, and a relationship between problem features and algorithm performance can be established empirically. The author concludes with an experimental evaluation of the developed methods.




Online Algorithms for the Portfolio Selection Problem


Book Description

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.




Configurable Intelligent Optimization Algorithm


Book Description

Presenting the concept and design and implementation of configurable intelligent optimization algorithms in manufacturing systems, this book provides a new configuration method to optimize manufacturing processes. It provides a comprehensive elaboration of basic intelligent optimization algorithms, and demonstrates how their improvement, hybridization and parallelization can be applied to manufacturing. Furthermore, various applications of these intelligent optimization algorithms are exemplified in detail, chapter by chapter. The intelligent optimization algorithm is not just a single algorithm; instead it is a general advanced optimization mechanism which is highly scalable with robustness and randomness. Therefore, this book demonstrates the flexibility of these algorithms, as well as their robustness and reusability in order to solve mass complicated problems in manufacturing. Since the genetic algorithm was presented decades ago, a large number of intelligent optimization algorithms and their improvements have been developed. However, little work has been done to extend their applications and verify their competence in solving complicated problems in manufacturing. This book will provide an invaluable resource to students, researchers, consultants and industry professionals interested in engineering optimization. It will also be particularly useful to three groups of readers: algorithm beginners, optimization engineers and senior algorithm designers. It offers a detailed description of intelligent optimization algorithms to algorithm beginners; recommends new configurable design methods for optimization engineers, and provides future trends and challenges of the new configuration mechanism to senior algorithm designers.




The Science of Algorithmic Trading and Portfolio Management


Book Description

The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. Helps readers design systems to manage algorithmic risk and dark pool uncertainty. Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.




Machine Learning for Asset Management


Book Description

This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.




Instance-Specific Algorithm Configuration


Book Description

This book presents a modular and expandable technique in the rapidly emerging research area of automatic configuration and selection of the best algorithm for the instance at hand. The author presents the basic model behind ISAC and then details a number of modifications and practical applications. In particular, he addresses automated feature generation, offline algorithm configuration for portfolio generation, algorithm selection, adaptive solvers, online tuning, and parallelization. The author's related thesis was honorably mentioned (runner-up) for the ACP Dissertation Award in 2014, and this book includes some expanded sections and notes on recent developments. Additionally, the techniques described in this book have been successfully applied to a number of solvers competing in the SAT and MaxSAT International Competitions, winning a total of 18 gold medals between 2011 and 2014. The book will be of interest to researchers and practitioners in artificial intelligence, in particular in the area of machine learning and constraint programming.




Reactive Search and Intelligent Optimization


Book Description

Reactive Search and Intelligent Optimization is an excellent introduction to the main principles of reactive search, as well as an attempt to develop some fresh intuition for the approaches. The book looks at different optimization possibilities with an emphasis on opportunities for learning and self-tuning strategies. While focusing more on methods than on problems, problems are introduced wherever they help make the discussion more concrete, or when a specific problem has been widely studied by reactive search and intelligent optimization heuristics. Individual chapters cover reacting on the neighborhood; reacting on the annealing schedule; reactive prohibitions; model-based search; reacting on the objective function; relationships between reactive search and reinforcement learning; and much more. Each chapter is structured to show basic issues and algorithms; the parameters critical for the success of the different methods discussed; and opportunities for the automated tuning of these parameters.




Principles and Practice of Constraint Programming - CP 2003


Book Description

This book constitutes the refereed proceedings of the 9th International Conference on Principles and Practice of Constraint Programming, CP 2003, held in Kinsale, Ireland in September/October 2003. The 48 revised full papers and 34 revised short papers presented together with 4 invited papers and 40 abstracts of contributions to the CP 2003 doctoral program were carefully reviewed and selected from 181 submissions. A wealth of recent results in computing with constraints is addressed ranging from foundational and methodological issues to solving real-world problems in a variety of application fields.




Integration of AI and OR Techniques in Constraint Programming for Combinatorial Optimization Problems


Book Description

This book constitutes the refereed proceedings of the 9th International Conference on Integration of AI and OR Techniques in Constraint Programming for Combinatorial Optimization Problems, CPAIOR 2012, held in Nantes, France, in May/June 2012. The 26 revised full papers presented were carefully reviewed and selected from 64 submissions. The papers are focused on both theoretical and practical, application-oriented issues in combinatorial optimization and feature current research with a special focus on inference and relaxation methods, integration methods, modeling methods, innovative applications of CP/AI/OR techniques, and implementation of CP/AI/OR techniques and optimization systems.