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Genetic Algorithms for Portfolio Optimization with Weighted Sum Approach

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dc.contributor.authorFaia, Ricardo
dc.contributor.authorPinto, Tiago
dc.contributor.authorVale, Zita
dc.contributor.authorCorchado, Juan Manuel
dc.contributor.authorSoares, João
dc.contributor.authorLezama, Fernando
dc.date.accessioned2021-09-22T15:14:31Z
dc.date.available2021-09-22T15:14:31Z
dc.date.issued2018
dc.description.abstractThe use of metaheuristics to solve real-life problems has increased in recent years since they are easy to implement, and the problems become easy to model when applying metaheuristic approaches. However, arguably the most important aspect is the simulation time since results can be obtained from metaheuristic methods in a much smaller time, and with a good approximation to the results obtained with exact methods. In this work, the Genetic Algorithm (GA) metaheuristic is adapted and apphed to solve the optimization of electricity markets participation portfolios. This work considers a multiobjective model that incorporates the calculation of the profit and the risk incurred in the electricity negotiations. Results of the proposed approach are compared to those achieved with an exact method, and it can be concluded that the proposed GA model can achieve very close results to those of the deterministic approach, in much quicker simulation time.pt_PT
dc.description.sponsorshipThis work has received funding from the European Union's Horizon 2020 research and innovation programme under the Marie Sklodowska-Curie grant agreement No 641794 (project DREAM-GO) and grant agreement No 703689 (project ADAPT); and from FEDER Funds through COMPETE program and from National Funds through FCT under the project UID/EEA/00760/2013pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1109/SSCI.2018.8628773pt_PT
dc.identifier.isbn978-1-5386-9276-9
dc.identifier.urihttp://hdl.handle.net/10400.22/18487
dc.language.isoengpt_PT
dc.publisherIEEEpt_PT
dc.relationEnabling Demand Response for short and real-time Efficient And Market Based smart Grid Operation - An intelligent and real-time simulation approach
dc.relationAdaptive Decision support for Agents negotiation in electricity market and smart grid Power Transactions
dc.relation.publisherversionhttps://ieeexplore.ieee.org/document/8628773pt_PT
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/pt_PT
dc.subjectEletricity Marketspt_PT
dc.subjectGenetic Algorithmspt_PT
dc.subjectMetaheuristicpt_PT
dc.subjectPortfolio Optimizaitonpt_PT
dc.titleGenetic Algorithms for Portfolio Optimization with Weighted Sum Approachpt_PT
dc.typeconference object
dspace.entity.typePublication
oaire.awardTitleEnabling Demand Response for short and real-time Efficient And Market Based smart Grid Operation - An intelligent and real-time simulation approach
oaire.awardTitleAdaptive Decision support for Agents negotiation in electricity market and smart grid Power Transactions
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/5876/UID%2FEEA%2F00760%2F2013/PT
oaire.awardURIinfo:eu-repo/grantAgreement/EC/H2020/641794/EU
oaire.awardURIinfo:eu-repo/grantAgreement/EC/H2020/703689/EU
oaire.citation.conferencePlaceBangalore, Indiapt_PT
oaire.citation.endPage1829pt_PT
oaire.citation.startPage1823pt_PT
oaire.citation.title2018 IEEE Symposium Series on Computational Intelligence (SSCI)pt_PT
oaire.fundingStream5876
oaire.fundingStreamH2020
oaire.fundingStreamH2020
person.familyNameFaia
person.familyNamePinto
person.familyNameVale
person.familyNameSoares
person.familyNameLezama
person.givenNameRicardo Francisco Marcos
person.givenNameTiago
person.givenNameZita
person.givenNameJoão
person.givenNameFernando
person.identifier78FtZwIAAAAJ
person.identifierR-000-T7J
person.identifier632184
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person.identifier.ciencia-id9B12-19F6-D6C7
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person.identifier.ciencia-id1612-8EA8-D0E8
person.identifier.ciencia-idE31F-56D6-1E0F
person.identifier.orcid0000-0002-1053-7720
person.identifier.orcid0000-0001-8248-080X
person.identifier.orcid0000-0002-4560-9544
person.identifier.orcid0000-0002-4172-4502
person.identifier.orcid0000-0001-8638-8373
person.identifier.ridT-2245-2018
person.identifier.ridA-5824-2012
person.identifier.ridA-6945-2017
person.identifier.scopus-author-id35219107600
person.identifier.scopus-author-id7004115775
person.identifier.scopus-author-id35436109600
person.identifier.scopus-author-id36810077500
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.identifierhttp://doi.org/10.13039/501100008530
project.funder.identifierhttp://doi.org/10.13039/501100008530
project.funder.nameFundação para a Ciência e a Tecnologia
project.funder.nameEuropean Commission
project.funder.nameEuropean Commission
rcaap.rightsopenAccesspt_PT
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