遗传算法求解投资组合决策和流水车间调度问题的研究

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1、天津大学硕士学位论文遗传算法求解投资组合决策和流水车间调度问题的研究姓名：李晓明申请学位级别：硕士专业：运筹学与控制论指导教师：林丹20061201ABSTRACTGeneticAlgorithmisastochasticsearchoptimizationalgorithmwhichismoreusedandeffective．From1960，astochasticoptimizationtechnologycalled‘'EvolutionaryAlgorithms”，whichsimulatesthenatureevolutionaryprocess，showsits900dqua

2、litiesinsolvingthecomplexoptimizationproblemswhichareharddonebythetraditionaloptimizationalgorithms．NowtheEvolutionaryAlgorithmshasthreeresearchlocations：GeneticAlgorithm，EvolutionaryProgrammingandEvolutionStrategies．AndGeneticAlgorithmismostuseful，it’Snotonlyusedforsingleobjectiveoptimizationprob

3、lems，butalsocanbettersolvelotsofmulti—objectiveoptimizationproblems．ThepaperstudiesandanalyzesthetheoriesandgeneralapplicationsoftheGeneticAlgorithmsanditincludeslastcontents．I．ThepaperintroducesrelatedbiologyknowledgeandgivesabriefreviewofthedevelopmenthistoryofEAs．Thenthepaperconcludesthemaincha

4、ractersofEAsandsumsupthepresentsituati．onofthetheoriesandapplicationsofEAs．2．BasedontheclassicalMarkowitzportfoliomodel，animprovedportfolioisproposedforportfolio．selectionwithmin．inlumtransactionlots，transactionCOSTSandupperlimitonthemaximumamountofinvestedcapitalinanysecttrity．Theportfolioselecti

5、onmodeling，asanonlinearintegerprogrammingproblem,isdifficultwiththetraditionaloptimizationmethods．Ageneticalgorithmbaseonintegercodinggeneticoperationisdesignedtoproposethemodel．Itisillustratedviaanumericalexamplethatthegeneticalgorithmcanbe-usedtosolvetheportfoliooptimizationproblemefficiently．3．

6、Forthebi．objectiveFlowShopschedulingproblemswheretheobjectivesaretakentobetheminimizationofmakespanandtotaltardinesstime，amulti-objectivegeneticalgorithmisproposedtoobtaintheParetooptimalsolutionsefficiently．ThismethodbuildsOlltheselectionstrategyofNSGA-II，Computationalexperimentisperformedonthete

7、stproblemsgeneratedrandomly,andtheresultsdemonstratetheefficiencyandrobustnessofthesuggestedalgorithm．KEYWORDS：GeneticAlgorithm，Multi-objective，NSGA—II，ParetoSolution,PortfolioSelection，MinimumTransactionLots，Tra