Surrogate-assisted evolutionary multi-objective optimisation applied to a pressure swing adsorption system

L Stander, M Woolway, TL Van Zyl - Neural Computing and Applications, 2022 - Springer
The complexity of chemical plant systems (CPS) makes optimising their design and
operation challenging tasks. This complexity also results in analytical and numerical …

Surrogate-assisted hyper-parameter search for portfolio optimisation: multi-period considerations

TL van Zyl, M Woolway, A Paskaramoorthy - Neural Computing and …, 2023 - Springer
Portfolio management is a multi-period multi-objective optimisation problem subject to
various constraints. However, portfolio management is treated as a single-period problem …

Twin-delayed deep deterministic policy gradient algorithm for portfolio selection

N Baard, TL van Zyl - 2022 IEEE Symposium on Computational …, 2022 - ieeexplore.ieee.org
State-of-the-art RL algorithms have shown suboptimal performance in some market
conditions with regard to the portfolio selection problem. The reason for suboptimal …

Fusion of sentiment and asset price predictions for portfolio optimization

M Muthivhi, TL van Zyl - 2022 25th International Conference on …, 2022 - ieeexplore.ieee.org
The fusion of public sentiment data in the form of text with stock price prediction is a topic of
increasing interest within the financial community. However, the research literature seldom …

Cryptocurrency Trading Agent Using Deep Reinforcement Learning

U Suliman, TL van Zyl… - 2022 9th International …, 2022 - ieeexplore.ieee.org
Cryptocurrencies are peer-to-peer digital assets monitored and organised by a blockchain
network. Price prediction has been a significant focus point with various machine learning …

A Learnheuristic Approach to A Constrained Multi-Objective Portfolio Optimisation Problem

S Bullah, TL van Zyl - Proceedings of the 2023 7th International …, 2023 - dl.acm.org
Multi-objective portfolio optimisation is a critical problem researched across various fields of
study as it achieves the objective of maximising the expected return while minimising the risk …

An Empirical Comparison of Cross-Validation Procedures for Portfolio Selection

A Paskaramoorthy, TL van Zyl… - 2022 IEEE Symposium …, 2022 - ieeexplore.ieee.org
We present the constrained portfolio selection problem as a learning problem requiring
hyper-parameter specification. In practice, hyper-parameters are typically selected using a …

Artificial Intelligence for Portfolio Selection: A Bibliometric Review

U Arya, R Tiwari, H Kargeti, JS Chauhan… - 2023 International …, 2023 - ieeexplore.ieee.org
Technology has transformed nearly every field. Financial analysts are using FinTech for
collecting data, extracting valuable insights, making predictions. The paper explores …

Exploring the effectiveness of surrogate-assisted evolutionary algorithms on the batch processing problem

MZ Variawa, TL Van Zyl, M Woolway - arXiv preprint arXiv:2210.17149, 2022 - arxiv.org
Real-world optimisation problems typically have objective functions which cannot be
expressed analytically. These optimisation problems are evaluated through expensive …

Pareto Driven Surrogate (Par Den-Sur) Assisted Optimisation of Multi-period Portfolio Backtest Simulations

T van Zyl, M Woolway, A Paskaramoorthy - Authorea Preprints, 2023 - techrxiv.org
Portfolio management is a multi-period multi-objective optimization problem subject to a
wide range of constraints. However, in practice, portfolio management is treated as a single …