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A Global Stochastic Optimization Method for Large Scale Problems

W. El Alem;  A. El Hami;  R. Ellaia — 2010

Mathematical Modelling of Natural Phenomena

In this paper, a new hybrid simulated annealing algorithm for constrained global optimization is proposed. We have developed a stochastic algorithm called ASAPSPSA that uses Adaptive Simulated Annealing algorithm (ASA). ASA is a series of modifications to the basic simulated annealing algorithm (SA) that gives the region containing the global solution of an objective function. In addition, Simultaneous Perturbation Stochastic Approximation (SPSA)...

The Mean-Variance-CVaR model for Portfolio Optimization Modeling using a Multi-Objective Approach Based on a Hybrid Method

R. Aboulaich;  R. Ellaia;  S. El Moumen — 2010

Mathematical Modelling of Natural Phenomena

In this paper we present a new hybrid method, called SASP method. We propose the hybridization of two methods, the simulated annealing (SA), which belong to the class of global optimization based on the principles of thermodynamics, and the descent method were we estimate the gradient using the simultaneous perturbation. This hybrid method gives better results. We use the Normal Boundary Intersection approach (NBI) based on the SASP method to solve...

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