GRASP/Δ: An efficient algorithm for the multi-objective portfolio optimization problem

Alejandro Estrada-Padilla,Claudia Gómez-Santillán,Héctor Joaquín Fraire-Huacuja,Laura Cruz-Reyes,Nelson Rangel-Valdez,María Lucila Morales-Rodríguez, Héctor José Puga-Soberanes

Expert Systems with Applications（2023）

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摘要

•A GRASP/Δ algorithm to optimize in the fuzzy trapezoidal numbers domain.•Optimization of local search to explore solutions’ neighborhood space.•An efficient local computation mechanism to update objective values.•Competitiveness on benchmark compared against state-of-the-art algorithms.

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关键词

Local computation algorithm,GRASP algorithm,Multi-objective portfolio optimization problem,Uncertainty,Trapezoidal fuzzy numbers

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