International Journal of Computer Mathematics, ( ISI ), Volume (2), No (1), Year (2016-6) , Pages (1-19)

Title : ( Mixed Tabu Machine for portfolio optimization problem )

Authors: انسیه حاجی نژاد , Sohrab Effati , Reza Ghanbari ,

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n this paper, we introduce a novel artificial neural network to solve the portfolio optimization problem. The proposed neural network is called the Mixed Tabu Machine since its structure is similar to the Tabu Machine, but includes both discrete and continuous variables. Similar to the Hopfield network, the state of the Mixed Tabu Machine is updated to find the global minimum energy state. To escape from local minimum states of the energy in the Mixed Tabu Machine, the state transition mechanism is controlled by a tabu search in both discrete and continuous search spaces. The experimental results for five standard benchmark data sets show that the Mixed Tabu Machine can clearly obtain good results in very small computation time.

Keywords

, Tabu Machine, Hopfield network, Portfolio optimization
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@article{paperid:1057789,
author = {انسیه حاجی نژاد and Effati, Sohrab and Ghanbari, Reza},
title = {Mixed Tabu Machine for portfolio optimization problem},
journal = {International Journal of Computer Mathematics},
year = {2016},
volume = {2},
number = {1},
month = {June},
issn = {0020-7160},
pages = {1--19},
numpages = {18},
keywords = {Tabu Machine; Hopfield network; Portfolio optimization problem},
}

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%0 Journal Article
%T Mixed Tabu Machine for portfolio optimization problem
%A انسیه حاجی نژاد
%A Effati, Sohrab
%A Ghanbari, Reza
%J International Journal of Computer Mathematics
%@ 0020-7160
%D 2016

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