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MOEA/D with NBI-style Tchebycheff approach for portfolio management

Zhang, Q and Li, H and Maringer, D and Tsang, E (2010) MOEA/D with NBI-style Tchebycheff approach for portfolio management. In: UNSPECIFIED, ? - ?.

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Abstract

MOEA/D is a generic multiobjective evolutionary optimization algorithm. MOEA/D needs a approach to decompose a multiobjective optimization problem into a number of single objective optimization problems. The commonly-used weighted sum approach and the Tchebycheff approach may not be able to handle disparately scaled objectives. This paper suggests a new decomposition approach, called NBI-style Tchebycheff approach, for MOEA/D to deal with such objectives. A portfolio management MOP has been used as an example to test the effectiveness of MOEA/D with NBI-style Tchebycheff approach. © 2010 IEEE.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Published proceedings: 2010 IEEE World Congress on Computational Intelligence, WCCI 2010 - 2010 IEEE Congress on Evolutionary Computation, CEC 2010
Subjects: Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Science and Health > Computer Science and Electronic Engineering, School of
Depositing User: Jim Jamieson
Date Deposited: 15 Aug 2012 13:12
Last Modified: 30 Jan 2019 16:17
URI: http://repository.essex.ac.uk/id/eprint/1991

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