Utilizing Dependence among Variables in Evolutionary Algorithms for Mixed-Integer Programming: A Case Study on Multi-Objective Constrained Portfolio Optimization

Abstract

A lot of real-world applications could be modeled as the Mixed-Integer Non-Linear Programming (MINLP) problems, and some prominent examples include portfolio optimization, resource allocation, image classification, as well as path planning. Actually, most of the models for these applications are non-convex and always involve some conflicting objectives. Hence, the Multi-Objective Evolu-