A Variables Clustering Based Differential Evolution Algorithm to Solve Multistage Goal Programming Model in Defense Projects Portfolio

Abstract

The multistage goal programming model is popular to model the defense projects portfolio optimization problem in recent years. However, as its high-dimensional variables and large-scale solution space, the addressed model is hard to be solved in an acceptable time. To deal with this challenge, we propose an improved differential evolution algorithm which combines three novel strategies i.e. the variables clustering based evolution, the whole randomized parameters, and the child-individual based selection. The simulation results show that this algorithm has the fastest convergence and the best global searching capability in 6 test instances with different scales of solution space, compared with classical differential evolution algorithm (CDE), genetic algorithm (GA) and particle swarm optimization (PSO) algorithm.

Portfolio Optimization for Defence Applications

“…Zhou et al [66] considered the problem of optimizing defence project portfolios using goal programming. The portfolios were optimized using a modified variant of differential evolution.…”