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Introduction:

Applying mathematics to a problem of the real world mostly means, at first,

modeling the problem mathematically, maybe with hard restrictions, idealizations,

or simplifications, then solving the mathematical problem, and finally drawing

conclusions about the real problem based on the solutions of the mathematical

problem. Since about 60 years, a shift of paradigms has taken placein some

sense, the opposite way has come into fashion. The point is that the world has done

well even in times when nothing about mathematical modeling was known. More

specifically, there is an enormous number of highly sophisticated processes and

mechanisms in our world which have always attracted the interest of researchers

due to their admirable perfection. To imitate such principles mathematically and to

use them for solving a broader class of problems has turned out to be extremely

helpful in various disciplines.

Simple models of nerve cells (neurons) and the way they interact; can be used for

function approximation, machine learning, pattern recognition, etc.

Fuzzy Control:

Humans are often able to control processes for which no analytic model is available.

Such knowledge can be modeled mathematically by means of linguistic control rules

and fuzzy sets

Simulated Annealing:

Robust probabilistic optimization method mimicking the solidification of a crystal

under slowly decreasing temperature; applicable to a wide class of problems.

The fourth class of such methods will be the main object of study in this lectures

Genetic Algorithms (GAs).

Generally speaking, genetic algorithms are simulations of evolution, of what kind

ever. In most cases, however, genetic algorithms are nothing else than probabilistic

optimization methods which are based on the principles of evolution. This idea

appears first in 1967 in J. D. Bagleys thesis The Behavior of Adaptive Systems

Which Employ Genetic and Correlative Algorithms [1]. The theory and applicability

was then strongly influenced by J. H. Holland, who can be considered as the pioneer

of genetic algorithms [27, 28]. Since then, this field has witnessed a tremendous

development. The purpose of this lecture is to give a comprehensive overview of

this class of methods and their applications in optimization, program induction, and

machine learning.

Definitions and Terminology:

Definition:

Assume S to be a set of strings (in non-trivial cases with some underlying

grammar). Let X be the search space of an optimization problem as above, then a

function c : X S x 7 c(x) is called coding function. Conversely, a function c :

S X s 7 c(s) is called decoding function.

the needs of the actual problem, are not necessarily bijective. However, it is in most

of the cases useful to work with injective decoding functions.

Finally, we can write down the general formulation of the encoded maximization

problem:

Find an s0 S

such that

f = f c is as large as possible

Algorithm.

t := 0;

Compute initial population B0;

WHILE stopping condition not fulfilled DO

BEGIN

select individuals for reproduction;

create offsprings by crossing individuals;

eventually mutate some individuals;

compute new generation

END

As obvious from the above algorithm, the transition from one generation to the next

consists of four basic components:

Selection:

Mechanism for selecting individuals (strings) for reproduction according to their

fitness (objective function value).

Crossover:

Method of merging the genetic information of two individuals; if the coding is

chosen properly, two good parents produce good children.

Mutation:

In real evolution, the genetic material can by changed randomly by erroneous

reproduction or other deformations of genes, e.g. by gamma radiation. In genetic

algorithms, mutation can be realized as a random deformation of the strings with a

certain probability. The positive effect is preservation of genetic diversity and, as an

effect, that local maxima can be avoided.

Sampling:

Procedure which computes a new generation from the previous one and its

offsprings. Compared with traditional continuous optimization methods, such as

Newton or gradient descent methods, we can state the following significant

differences:

1. GAs manipulate coded versions of the problem parameters instead of the

parameters themselves, i.e. the search space is S instead of X itself.

2. While almost all conventional methods search from a single point, GAs always

operate on a whole population of points (strings). This contributes much to the

robustness of genetic algorithms. It improves the chance of reaching the global

optimum and, vice versa, reduces the risk of becoming trapped in a local stationary

point.

3. Normal genetic algorithms do not use any auxiliary information about the

objective function value such as derivatives. Therefore, they can be applied to any

kind of continuous or discrete optimization problem. The only thing to be done is to

specify a meaningful decoding function.

4. GAs use probabilistic transition operators while conventional methods for

continuous optimization apply deterministic transition operators. More specifically,

the way a new generation is computed from the actual one has some random

components.

Algorithm.

t := 0;

Create initial population B0 = (b1,0, . . . , bm,0);

WHILE stopping condition not fulfilled DO

BEGIN

( proportional selection )

FOR i := 1 TO m DO

BEGIN

x := Random[0, 1];

k := 1;

WHILE k < m & x < Pk j=1 f(bj,t)/ Pm j=1 f(bj,t) DO

k := k + 1;

bi,t+1 := bk,t

END

( one-point crossover )

FOR i := 1 TO m 1 STEP 2 DO

BEGIN

IF Random[0, 1] pC THEN

BEGIN pos := Random{1, . . . , n 1};

FOR k := pos + 1 TO n DO

BEGIN

aux := bi,t+1[k];

bi,t+1[k] := bi+1,t+1[k];

bi+1,t+1[k] := aux

END

END

END

( mutation )

FOR i := 1 TO m DO

FOR k := 1 TO n DO

IF Random[0, 1] < pM THEN

invert bi,t+1[k];

t := t + 1

END

Simulated Annealing

Simulated annealing (SA) is a random-search technique which exploits an analogy

between the way in which a metal cools and freezes into a minimum energy

crystalline structure (the annealing process) and the search for a minimum in a

more general system; it forms the basis of an optimisation technique for

combinatorial and other problems.

Simulated annealing was developed in 1983 to deal with highly nonlinear problems.

SA approaches the global maximisation problem similarly to using a bouncing ball

that can bounce over mountains from valley to valley. It begins at a high

"temperature" which enables the ball to make very high bounces, which enables it

to bounce over any mountain to access any valley, given enough bounces. As the

temperature declines the ball cannot bounce so high, and it can also settle to

become trapped in relatively small ranges of valleys. A generating distribution

generates possible valleys or states to be explored. An acceptance distribution is

also defined, which depends on the difference between the function value of the

present generated valley to be explored and the last saved lowest valley. The

acceptance distribution decides probabilistically whether to stay in a new lower

valley or to bounce out of it. All the generating and acceptance distributions depend

on the temperature.

It has been proved that by carefully controlling the rate of cooling of the

temperature, SA can find the global optimum. However, this requires infinite time.

Fast annealing and very fast simulated reannealing (VFSR) or adaptive simulated

annealing (ASA) are each in turn exponentially faster and overcome this problem.

The method

SA's major advantage over other methods is an ability to avoid becoming trapped in

local minima. The algorithm employs a random search which not only accepts

changes that decrease the objective function f (assuming a minimisation problem),

but also some changes that increase it. The latter are accepted with a probability

p = exp ( -df / T) (1)

where df is the increase in f and T is a control parameter, which by analogy with the

original application is known as the system ''temperature" irrespective of the

objective function involved. The implementation of the basic SA algorithm is

straightforward.

The following figure shows its structure

a generator of random changes in solutions

a means of evaluating the problem functions and

an annealing schedule - an initial temperature and rules for lowering it as the

search progresses

Strengths

1. Simulated annealing can deal with highly nonlinear models, chaotic and noisy

data and many constraints. It is a robust and general technique.

2. Its main advantages over other local search methods are its flexibility and its

ability to approach global optimality.

3. The algorithm is quite versatile since it does not rely on any restrictive

properties of the model.

4. SA methods are easily "tuned". For any reasonably difficult nonlinear or

stochastic system, a given optimisation algorithm can be tuned to enhance

its performance and since it takes time and effort to become familiar with a

given code, the ability to tune a given algorithm for use in more than one

problem should be considered an important feature of an algorithm.

Weaknesses

1. Since SA is a metaheuristic, a lot of choices are required to turn it into an

actual algorithm.

2. There is a clear tradeoff between the quality of the solutions and the time

required to compute them.

3. The tailoring work required to account for different classes of constraints and

to fine-tune the parameters of the algorithm can be rather delicate.

4. The precision of the numbers used in implementation is of SA can have a

significant effect upon the quality of the outcome.

Any efficient optimisation algorithm must use two techniques to find a global

maximum: exploration to investigate new and unknown areas in the search space,

and exploitation to make use of knowledge found at points previously visited to help

find better points. These two requirements are contradictory, and a good search

algorithm must find a tradeoff between the two.

Neural nets

The main difference compared with neural nets is that neural nets learn (how to

approximate a function) while simulated annealing searches for a global optimum.

Neural nets are flexible function approximators while SA is an intelligent random

search method. The adaptive characteristics of neural nets are a huge advantage in

modelling changing environments. However, the power-hungriness of SA limits its

use as a real-time application.

Genetic algorithms

Direct comparisons have been made between ASA/VFSR and publicly-available

genetic algorithm (GA) codes, using a test suite already adapted and adopted for

GA. In each case, ASA outperformed the GA problem. GA is a class of algorithms

that are interesting in their own right; GA was not originally developed as an

optimisation algorithm, and basic GA does not offer any statistical guarantee of

global 5 convergence to an optimal point. Nevertheless, it should be expected that

GA may be better suited for some problems than SA.

Random Search

The brute force approach for difficult functions is a random, or an enumerated

search. Points in the search space are selected randomly, or in some systematic

way, and their fitness evaluated. This is an unintelligent strategy, and is rarely used

by itself.

Suitability

SA appears rapidly to be becoming an algorithm of choice when dealing with

financial instruments [1]. Standard nested regression and local-search methods

usually are applied to develop hybrid securities, e.g. combining markets in interest

rates, foreign exchange, equities and commodities by linking them via options,

futures, forwards, and swaps, to increase profits and reduce risks in investments as

well as in trading.

The potential uses for SA in stock price modelling may be limited. However,

simulated annealing has been reasonably successfully used in the solution of a

complex portfolio selection model [3]. The algorithm was able to handle more

classes of constraints than most other techniques. Trading constraints 6 were,

however, difficult to handle because of the discontinuities they introduced in the

space of feasible portfolios.

modelling techniques, is that interest rates can be fitted to the data much better

than in previously published studies [4]. One study has used SA on a set of several

econometric problems [5], including cost functions arising in the monetary theory of

exchange rate determination, a study of firm production efficiency, and a neural net

model which generates chaos reputed to mirror some economic and financial series.

The authors demonstrated that their SA algorithm performed better, e.g. at least

more reliably finding more optima, than other numerical techniques such as a

genetic algorithms and a quasi-Newton algorithm.

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