TY - JOUR

T1 - The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization

AU - Boudt, Kris

AU - Wan, Chunlin

PY - 2020/4

Y1 - 2020/4

N2 - The Particle Swarm Optimization (PSO) algorithm is a flexible heuristic optimizer that can be used for solving cardinality constrained binary optimization problems. In such problems, only K elements of the N-dimensional solution vector can be non-zero. The typical solution is to use a mapping function to enforce the cardinality constraint on the trial PSO solution. In this paper, we show that when K is small compared to N, the use of the mapped solution in the velocity vector tends to lead to early stagnation. As a solution, we recommend to use the untransformed solution as a direction in the velocity vector. We use numerical experiments to document the gains in performance when K is small compared to N.

AB - The Particle Swarm Optimization (PSO) algorithm is a flexible heuristic optimizer that can be used for solving cardinality constrained binary optimization problems. In such problems, only K elements of the N-dimensional solution vector can be non-zero. The typical solution is to use a mapping function to enforce the cardinality constraint on the trial PSO solution. In this paper, we show that when K is small compared to N, the use of the mapped solution in the velocity vector tends to lead to early stagnation. As a solution, we recommend to use the untransformed solution as a direction in the velocity vector. We use numerical experiments to document the gains in performance when K is small compared to N.

KW - Binary particle swarm optimization

KW - Cardinality mapping

KW - Portfolio optimization

UR - http://www.scopus.com/inward/record.url?scp=85061637885&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85061637885&partnerID=8YFLogxK

U2 - 10.1007/s11590-019-01398-w

DO - 10.1007/s11590-019-01398-w

M3 - Article

AN - SCOPUS:85061637885

VL - 14

SP - 747

EP - 758

JO - Optimization Letters

JF - Optimization Letters

SN - 1862-4472

IS - 3

ER -