Skip to main content

Genetic Algorithm to Optimize Fitness Function with Sampling Error and its Application to Financial Optimization Problem

  • Chapter
Evolutionary Computation in Dynamic and Uncertain Environments

Part of the book series: Studies in Computational Intelligence ((SCI,volume 51))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 169.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 219.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 219.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. A. N. Aizawa and B. W. Wah. Dynamic control of genetic algorithms in a noisy environment. In Proceedings of the Fifth Intl. Conference on Genetic Algorithms, pages 48-55, 1993.

    Google Scholar 

  2. A. N. Aizawa and B. W. Wah. Scheduling of genetic algorithms in a noisy environment. Evolutionary Computation, 2(2):97-122, 1994.

    Article  Google Scholar 

  3. Basle Committee on Banking Supervision. Amendment to the Capital Accord to Incorporate Market Risk. Bank for International Settlements, 1996.434 Masaru Tezuka, Masaharu Munetomo, and Kiyoshi Akama

    Google Scholar 

  4. T. Beker and L. Hadany. Noise and elitism in evolutionary computation. In Soft Computing Systems - Design, Management and Applications, HIS2002, volume 87, pages 193-201, 2002.

    Google Scholar 

  5. A. C. Davison and D. V. Hinkley. Bootstrap Methods and Their Application.Cambridge University Press, 1997.

    Google Scholar 

  6. L. J. Eshelman and J. D. Schaffer. Real-coded genetic algorithms and intervalschemata. In L. D. Whitley, editor, Foundations of Genetic Algorithms 2. Morgan Kaufman, 1993.

    Google Scholar 

  7. J. M. Fitzpatrick and J. J. Grefensette. Genetic algorithms in noisy environments. Machine Learning, 3:101-120, 1988.

    Google Scholar 

  8. D. B. Fogel. Real-valued vectors. In T. Bäck, D. B. Fogel, and Z. Michalewicz, editors, Handbook of Evolutionary Computation, pages C1.3:1-1. Institute of Physics Publishing and Oxford University Press, 1997.

    Google Scholar 

  9. D. E. Goldberg and K. Deb. A comparative analysis of selection schemes used in genetic algorithms. In G. J. E. Rawlins, editor, Foundations of Genetic Algorithms. Morgan Kaufman, 1991.

    Google Scholar 

  10. T. Higuchi, S. Tsutsui, and M. Yamamura. Simplex crossover for real-coded genetic algolithms. Transactions of the japanese Society for Artificial Intelligence, 16(1):147-155, 2001.

    Article  Google Scholar 

  11. B. F. J. Manly. Multivariate Statistical Methods. Chapman and Hall Ltd., 1986.

    Google Scholar 

  12. B. L. Miller and D. E. Goldberg. Genetic algorithms, selection schemes and the varying effects of noise. Evolutionary Computation, 4(2):113-131, 1996.

    Article  Google Scholar 

  13. J. M. Mulvey. Introduction to financial optimization: Mathematical programming special issue. Mathematical Programming, 89(B):205-216, 2001.

    Article  MATH  MathSciNet  Google Scholar 

  14. V. Nissen and J. Propach. Optimization with noisy function evaluations. In Parallel Problem Solving from Nature V, pages 159-168, 1998.

    Google Scholar 

  15. K. Sastry, D. E. Goldberg, and M. Pelikan. Don’t evaluate, inherit. In Proceedings of the Genetic and Evolutionary Computation Conference 2001, pages 551-558, 2001.

    Google Scholar 

  16. M. Tezuka, M. Hiji, Y. Ito, and Y. Kuwajima. Decision support for financing portfolio using genetic algorithm with simulation-based evaluation. In Proceed- ings of the 4th Asia-Pacific conference on Simulated Evolution and Learning (SEAL’02), volume 2, pages 750-754, 2002.

    Google Scholar 

  17. M. Tezuka, M. Hiji, M. Munetomo, and K. Akama. Risk visualization and decision support for supply planning under uncertain demand. IPSJ Journal, 47(3):701-710, 2006.

    Google Scholar 

  18. M. Tezuka, M. Munetomo, and K. Akama. Selection efficiency and sampling error on genetic algorithms optimization under uncertainty. In Proceedings of the 5th international conference on Simulated Evolution and Learning (SEAL 04),2004.

    Google Scholar 

  19. M. Tezuka, M. Munetomo, K. Akama, and M. Hiji. Risk analysis and decision making on the combination strategy of planned and spot procurement. In Proceeding of the Annual Conference of Japan Society for Management Information 2005 Autumn, pages 180-183, 2005.

    Google Scholar 

  20. M. Tezuka, M. Munetomo, K. Akama, and M. HIJI. Genetic algorithm to optimize fitness function with sampling error and its application to financial optimization problem. In 2006 IEEE Congress on Evolutionary Computation, pages 388-394, 2006.

    Google Scholar 

  21. A. H. Wright. Genetic algorithms for real parameter optimization. In G. J. E. Rawlins, editor, Foundations of Genetic Algorithms. Morgan Kaufman, 1991.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 2007 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

Tezuka, M., Munetomo, M., Akama, K. (2007). Genetic Algorithm to Optimize Fitness Function with Sampling Error and its Application to Financial Optimization Problem. In: Yang, S., Ong, YS., Jin, Y. (eds) Evolutionary Computation in Dynamic and Uncertain Environments. Studies in Computational Intelligence, vol 51. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-49774-5_18

Download citation

  • DOI: https://doi.org/10.1007/978-3-540-49774-5_18

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-49772-1

  • Online ISBN: 978-3-540-49774-5

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics