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Global Optimization of Some Difficult Benchmark Functions by Host-Parasite Coevolutionary Algorithm

  • Sudhanshu K Mishra

    ()

    (North-Eastern Hill University, Shillong, India)

This paper proposes a novel method of global optimization based on host-parasite co-evolution. It also develops a Fortran-77 code for the algorithm. The algorithm has been tested on 100 benchmark functions (of which the results of 32 relatively harder problems have been reported). In its search ability, the proposed method is comparable to the Differential Evolution method of global optimization. The method has been used for solving the 'completing the incomplete correlation matrix' problem encountered in financial economics. It is found that the proposed methods as well as the Differential Evolution method solves the problem, but the proposed method provides results much faster than the Differential Evolution method.

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File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I1-P1.pdf
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Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 33 (2013)
Issue (Month): 1 ()
Pages: 1-18

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Handle: RePEc:ebl:ecbull:eb-12-00599
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  1. Ingram Olkin, 1981. "Range restrictions for product-moment correlation matrices," Psychometrika, Springer, vol. 46(4), pages 469-472, December.
  2. Igor Grubisic & Raoul Pietersz, 2005. "Efficient Rank Reduction of Correlation Matrices," Finance 0502007, EconWPA.
  3. Mishra, SK, 2006. "Performance of Differential Evolution and Particle Swarm Methods on Some Relatively Harder Multi-modal Benchmark Functions," MPRA Paper 449, University Library of Munich, Germany.
  4. Raoul Pietersz & Patrick J. F. Groenen, 2005. "Rank Reduction of Correlation Matrices by Majorization," Finance 0502006, EconWPA.
  5. Mishra, SK, 2004. "Optimal solution of the nearest correlation matrix problem by minimization of the maximum norm," MPRA Paper 1783, University Library of Munich, Germany.
  6. Mishra, SK, 2006. "Global Optimization by Differential Evolution and Particle Swarm Methods: Evaluation on Some Benchmark Functions," MPRA Paper 1005, University Library of Munich, Germany.
  7. Mishra, SK, 2007. "Completing correlation matrices of arbitrary order by differential evolution method of global optimization: A Fortran program," MPRA Paper 2000, University Library of Munich, Germany.
  8. Mishra, Sudhanshu, 2006. "Some new test functions for global optimization and performance of repulsive particle swarm method," MPRA Paper 2718, University Library of Munich, Germany.
  9. Mishra, SK, 2007. "Minimization of Keane’s Bump Function by the Repulsive Particle Swarm and the Differential Evolution Methods," MPRA Paper 3098, University Library of Munich, Germany, revised 05 May 2007.
  10. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  11. Chesney, Marc & Scott, Louis, 1989. "Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 267-284, September.
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