Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk-adjusted performance. In addition, when the objective is the minimization of risk, the two new algorithms with risk management show excellent performance. A prototype of a software tool for automated evaluation of algorithms for portfolio selection is given.

With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms supplies a comprehensive survey of existing OLPS principles and presents a collection of innovative strategies that leverage machine learning techniques for financial investment. The book presents four new algorithms based on machine learning techniques that were designed by the authors, as well as a new back-test system they developed for evaluating trading strategy effectiveness. The book uses simulations with real market data to illustrate the trading strategies in action and to provide readers with the confidence to deploy the strategies themselves. The book is presented in five sections that: Introduce OLPS and formulate OLPS as a sequential decision task Present key OLPS principles, including benchmarks, follow the winner, follow the loser, pattern matching, and meta-learning Detail four innovative OLPS algorithms based on cutting-edge machine learning techniques Provide a toolbox for evaluating the OLPS algorithms and present empirical studies comparing the proposed algorithms with the state of the art Investigate possible future directions Complete with a back-test system that uses historical data to evaluate the performance of trading strategies, as well as MATLAB® code for the back-test systems, this book is an ideal resource for graduate students in finance, computer science, and statistics. It is also suitable for researchers and engineers interested in computational investment. Readers are encouraged to visit the authors’ website for updates: http://olps.stevenhoi.org.

This book consists of eight chapters, authored by distinguished researchers and practitioners, that highlight the state of the art and recent trends in addressing the project portfolio selection and scheduling problem (PPSSP) across a variety of domains, particularly defense, social programs, supply chains, and finance. Many organizations face the challenge of selecting and scheduling a subset of available projects subject to various resource and operational constraints. In the simplest scenario, the primary objective for an organization is to maximize the value added through funding and implementing a portfolio of projects, subject to the available budget. However, there are other major difficulties that are often associated with this problem such as qualitative project benefits, multiple conflicting objectives, complex project interdependencies, workforce and manufacturing constraints, and deep uncertainty regarding project costs, benefits, and completion times. It is well known that the PPSSP is an NP-hard problem and, thus, there is no known polynomial-time algorithm for this problem. Despite the complexity associated with solving the PPSSP, many traditional approaches to this problem make use of exact solvers. While exact solvers provide definitive optimal solutions, they quickly become prohibitively expensive in terms of computation time when the problem size is increased. In contrast, evolutionary and memetic computing afford the capability for autonomous heuristic approaches and expert knowledge to be combined and thereby provide an efficient means for high-quality approximation solutions to be attained. As such, these approaches can provide near real-time decision support information for portfolio design that can be used to augment and improve existing human-centric strategic decision-making processes. This edited book provides the reader with a broad overview of the PPSSP, its associated challenges, and approaches to addressing the problem using evolutionary and memetic computing.

This book constitutes the refereed proceedings of the First Southern African Conference on Artificial Intelligence Research, SACAIR 2020, held in Muldersdrift, South Africa, in February 2021. Due to the COVID-19 pandemic the SACAIR 2020 has been postponed to February 2021. The 19 papers presented were thoroughly reviewed and selected from 53 submissions. They are organized on the topical sections on ​AI for ethics and society; AI in information systems, AI for development and social good; applications of AI; knowledge representation and reasoning; machine learning theory.

This book constitutes the thoroughly refereed post-conference proceedings of the 9th International Conference on Learning and Optimization, LION 9, which was held in Lille, France, in January 2015. The 31 contributions presented were carefully reviewed and selected for inclusion in this book. The papers address all fields between machine learning, artificial intelligence, mathematical programming and algorithms for hard optimization problems. Special focus is given to algorithm selection and configuration, learning, fitness landscape, applications, dynamic optimization, multi-objective, max-clique problems, bayesian optimization and global optimization, data mining and - in a special session - also on dynamic optimization.

Contains theoretical foundations, applications, and examples of competitive analysis for online algorithms.

This book constitutes the refereed proceedings of the 4th International Conference, Latin American Theoretical Informatics, LATIN 2000, held in Punta del Est, Uruguay, in April 2000. The 42 revised papers presented were carefully reviewed and selected from a total of 87 submissions from 26 countries. Also included are abstracts or full papers of several invited talks. The papers are organized in topical sections on random structures and algorithms, complexity, computational number theory and cryptography, algebraic algorithms, computability, automata and formal languages, and logic and programming theory.

Papers presented at the 2003 Neural Information Processing Conference by leading physicists, neuroscientists, mathematicians, statisticians, and computer scientists. The annual Neural Information Processing (NIPS) conference is the flagship meeting on neural computation. It draws a diverse group of attendees -- physicists, neuroscientists, mathematicians, statisticians, and computer scientists. The presentations are interdisciplinary, with contributions in algorithms, learning theory, cognitive science, neuroscience, brain imaging, vision, speech and signal processing, reinforcement learning and control, emerging technologies, and applications. Only thirty percent of the papers submitted are accepted for presentation at NIPS, so the quality is exceptionally high. This volume contains all the papers presented at the 2003 conference.

This book addresses extensible and adaptable computing, a broad range of methods and techniques used to systematically tackle the future growth of systems and respond proactively and seamlessly to change. The book is divided into five main sections: Agile Software Development, Data Management, Web Intelligence, Machine Learning and Computing in Education. These sub-domains of computing work together in mutually complementary ways to build systems and applications that scale well, and which can successfully meet the demands of changing times and contexts. The topics under each track have been carefully selected to highlight certain qualitative aspects of applications and systems, such as scalability, flexibility, integration, efficiency and context awareness. The first section (Agile Software Development) includes six contributions that address related issues, including risk management, test case prioritization and tools, open source software reliability and predicting the change proneness of software. The second section (Data Management) includes discussions on myriad issues, such as extending database caches using solid-state devices, efficient data transmission, healthcare applications and data security. In turn, the third section (Machine Learning) gathers papers that investigate ML algorithms and present their specific applications such as portfolio optimization, disruption classification and outlier detection. The fourth section (Web Intelligence) covers emerging applications such as metaphor detection, language identification and sentiment analysis, and brings to the fore web security issues such as fraud detection and trust/reputation systems. In closing, the fifth section (Computing in Education) focuses on various aspects of computer-aided pedagogical methods.

This book constitutes the refereed proceedings of the 12th International Conference on Optimization and Applications, OPTIMA 2021, held in Petrovac, Montenegro, in September - October 2021. Due to the COVID-19 pandemic the conference was partially held online. The 19 revised full papers presented were carefully reviewed and selected from 38 submissions. The papers are organized in topical sections on ​​mathematical programming; global optimization; stochastic optimization; optimal control; mathematical economics; optimization in data analysis; applications.