Abstract
Most of the Evolutionary Algorithms (EA) use a population of candidate solutions to explore the search space following specific rules during an iterative process. These algorithms are designed expecting a good balance between exploration and exploitation during the search process. Besides, the diversity of the population is crucial to properly explore the search space. This article introduces an improved version of the Differential Evolution (DE) algorithm, which employs the moving average (MA) to determine when the population should diversify or intensify by using additional operators. The MA is one of the most used stock market indicators, providing recommendations for selling or buying stocks based on historical data. Here, the MA of the historical fitness and dimension-wise diversity is analyzed to determine if the DE continues operating normally or should diversify or intensify the search using additional operators. An exhaustive benchmark involving 37 optimization functions with different complexity levels confirmed the effectiveness of the proposed approach.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
Some functions can also be found at https://www.sfu.ca/~ssurjano/optimization.html.
- 2.
The convergence curves for the 50 dimensions also have advantages for MADE. However, they were not considered due to the space limitation.
References
Aalto, J., Lampinen, J.: A mutation adaptation mechanism for differential evolution algorithm. In: 2013 IEEE Congress on Evolutionary Computation, pp. 55–62. IEEE (2013)
Aalto, J., Lampinen, J.: A mutation and crossover adaptation mechanism for differential evolution algorithm. In: 2014 IEEE Congress on Evolutionary Computation (CEC), pp. 451–458. IEEE (2014)
Cheng, S., Shi, Y., Qin, Q., Zhang, Q., Bai, R.: Population diversity maintenance in brain storm optimization algorithm. J. Artif. Intell. Soft Comput. Res. 4(2), 83–97 (2014)
Civicioglu, P., Besdok, E.: Bezier search differential evolution algorithm for numerical function optimization: a comparative study with crmlsp, mvo, wa, shade and lshade. Expert Syst. Appl. 165, 113875 (2021)
Goldberg, D.E., Holland, J.H.: Genetic algorithms and machine learning. Mach. Learn. 3, 95–99 (1988). https://doi.org/10.1023/A:1022602019183
Hussain, K., Salleh, M.N.M., Cheng, S., Naseem, R.: Common benchmark functions for metaheuristic evaluation: a review. JOIV: Int. J. Inf. Visualization 1(4–2), 218–223 (2017)
Hussain, K., Salleh, M.N.M., Cheng, S., Shi, Y.: On the exploration and exploitation in popular swarm-based metaheuristic algorithms. Neural Comput. Appl. 31(11), 7665–7683 (2018). https://doi.org/10.1007/s00521-018-3592-0
Hyndman, R.J.: Moving averages. In: Lovric, M. (ed.) International Encyclopedia of Statistical Science, pp. 866–869. Springer, Heidelberg (2011). https://doi.org/10.1007/978-3-642-04898-2_380
Indera, N., Yassin, I., Zabidi, A., Rizman, Z.: Non-linear autoregressive with exogeneous input (narx) bitcoin price prediction model using pso-optimized parameters and moving average technical indicators. J. Fund. Appl. Sci. 9(3S), 791–808 (2017)
Kennedy, J., Eberhart, R.: Particle swarm optimization. In: Proceedings of ICNN 1995-International Conference on Neural Networks, vol. 4, pp. 1942–1948. IEEE (1995)
Kukkonen, S., Coello, C.A.C.: Applying exponential weighting moving average control parameter adaptation technique with generalized differential evolution. In: 2016 IEEE Congress on Evolutionary Computation (CEC), pp. 4755–4762. IEEE (2016)
Metghalchi, M., Marcucci, J., Chang, Y.H.: Are moving average trading rules profitable? Evidence from the European stock markets. Appl. Econ. 44(12), 1539–1559 (2012)
Oliva, D., Martins, M.S.: A Bayesian based hyper-heuristic approach for global optimization. In: 2019 IEEE Congress on Evolutionary Computation (CEC), pp. 1766–1773. IEEE (2019)
Oliva, D., et al.: Balancing the influence of evolutionary operators for global optimization. In: 2020 IEEE Congress on Evolutionary Computation (CEC), pp. 1–8. IEEE (2020)
Roy, P.K., Sur, A., Pradhan, D.K.: Optimal short-term hydro-thermal scheduling using quasi-oppositional teaching learning based optimization. Eng. Appl. Artif. Intell. 26(10), 2516–2524 (2013)
Scoczynski, M., et al.: A selection hyperheuristic guided by Thompson sampling for numerical optimization. In: Proceedings of the Genetic and Evolutionary Computation Conference Companion, pp. 1394–1402 (2021)
Shen, X., Zou, D., Duan, N., Zhang, Q.: An efficient fitness-based differential evolution algorithm and a constraint handling technique for dynamic economic emission dispatch. Energy 186, 115801 (2019)
Shi, Y., Eberhart, R.C.: Population diversity of particle swarms. In: 2008 IEEE Congress on Evolutionary Computation (IEEE World Congress on Computational Intelligence), pp. 1063–1067. IEEE (2008)
Slowik, A., Kwasnicka, H.: Evolutionary algorithms and their applications to engineering problems. Neural Comput. Appl. 32(16), 12363–12379 (2020). https://doi.org/10.1007/s00521-020-04832-8
Storn, R., Price, K.: Differential evolution-a simple and efficient heuristic for global optimization over continuous spaces. J. Global Optim. 11(4), 341–359 (1997)
Tanabe, R., Fukunaga, A.S.: Improving the search performance of shade using linear population size reduction. In: 2014 IEEE congress on evolutionary computation (CEC), pp. 1658–1665. IEEE (2014)
Tizhoosh, H.R.: Opposition-based learning: a new scheme for machine intelligence. In: International Conference on Computational Intelligence for Modelling, Control and Automation and International Conference on Intelligent Agents, Web Technologies and Internet Commerce (CIMCA-IAWTIC 2006), vol. 1, pp. 695–701. IEEE (2005)
Wang, S., Li, Y., Yang, H.: Self-adaptive mutation differential evolution algorithm based on particle swarm optimization. Appl. Soft Comput. 81, 105496 (2019)
Wilcoxon, F.: Individual comparisons by ranking methods. In: Kotz, S., Johnson, N.L. (eds.) Breakthroughs in Statistics. Springer Series in Statistics (Perspectives in Statistics), pp. 196–202. Springer, New York (1992). https://doi.org/10.1007/978-1-4612-4380-9_16
Zhang, J., Sanderson, A.C.: Jade: self-adaptive differential evolution with fast and reliable convergence performance. In: 2007 IEEE Congress on Evolutionary Computation, pp. 2251–2258. IEEE (2007)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2022 Springer Nature Switzerland AG
About this paper
Cite this paper
Navarro, M.A. et al. (2022). Improving the Convergence and Diversity in Differential Evolution Through a Stock Market Criterion. In: Jiménez Laredo, J.L., Hidalgo, J.I., Babaagba, K.O. (eds) Applications of Evolutionary Computation. EvoApplications 2022. Lecture Notes in Computer Science, vol 13224. Springer, Cham. https://doi.org/10.1007/978-3-031-02462-7_11
Download citation
DOI: https://doi.org/10.1007/978-3-031-02462-7_11
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-031-02461-0
Online ISBN: 978-3-031-02462-7
eBook Packages: Computer ScienceComputer Science (R0)