差分进化简介及实现
算子课上我讲的PPT，主题是查分演化计算，用到了变异算子，交叉算子和选择算子。复盘分析差分进化与遗传算法相似，这一点，对遗传算法稍微了解的人都会有这样的疑问。该PPT未对二者的区别和联系进行分析。我对二者都有一定的了解，并做过二者的简单实现，理应在这方面做出思考。遗憾的是，演讲结束后，老师问到这个问题，我没有做出较好的回答。介绍完算法的原理后，举了一个非凸函数寻优的例子，并且展示了函数的3D图像和最优函数值演变曲线，这一点很好。介绍图像时，首先要介绍坐标轴的含义和单位，这一点没有照顾好。很明显的一个缺陷是： 缺少该算法在工业上的应用实例。让人感觉该算法只存在于纸面上，却无实际应用价优化问题和近似最优解差分演化算法CONTENTS引言ρ优化问题是一种以数学为基础,用于求解各种工程问题基本原理的应用技术。应用实例优缺点ρ绝大多数的工程问题的求解都可以转换为优化问题,算法改进但是部分问题属于NP问题,很难找到解析解,比如:0研完点1背包、组合优化问题、任务指派等。某些情况下,退而求其次,找到近似最优解即可。针对优化问题的近似解求解,目前已成为了当前一个热点研究方向,催生出一系列的智能算法。智能算法的研究差分演化算法CONTENTS◎1975年: J Holland根据生物进化过程提出了遗传算引言法基本原理ρ1982年: Kirkpatrick模拟冶金学的退火过程提出了模拟应用实例退火算法。优缺点算法改进◎1991年: dorigo.M根据蚂蚁觅食的群体行为提出了蚁研完点群算法。◎1995年: Kennedy根据鸟类觅食的群体行为提出了粒子群算法。ρ1997年: Rainer storr和 Kenneth price.在遗传算法等进化思想的基础上,提出了差分进化算法( DifferentialEvolution, DE差分进化算法简介差分演化算法CONTENTS引言由 Rainer storn和 Kenneth price在1997年为求解切比雪基本原理夫多项式而提出。应用实例优缺点◎是一种随机的并行直接搜索算法,它可以对非线性、不算法改进可微、连续空间函数进行最小化,以其易用性、稳健性研完点和强大的全局寻优能力在多个领域取得成功。◎应用:在约東优化计算、聚类优化计算、飞线性优化控制、神经网络优化、滤波器设计、阵列天线方向图综合等参考文献差分演化算法CONTENTSE Storn, Rainer and Price, Kenneth. Differential evolution引言a simple and efficient heuristic for global optimization over基本原理continuous spaces. Journal of global optimization, 1997应用实例优缺点国杨启文,蔡亮,薛云灿.差分进化算法综述.模式识别与人算法改进工智能,2008研完点圖王培崇,钱旭,王月,虎晓红.差分进化计算研究综述.计算机工程应用,2009E Das, Swagatam and Suganthan, Ponnuthurai Nagaranam. Differential evolution: a survey of the state-of-the-artEvolutionary Computation, IEEE Transactions on, 2011优化问题表示差分演化算法左图是两个参数的函右侧是最优化问题的形式化CONTENTS数的3D图像,可以描述。第一行是目标函数,引基本原理将xy平面的矩形作为表示求函数极小值;然后是应用实例解空间,优化问题就约束条件。优缺点是从解空间中搜索最算法改进大最小值研完点min f(x1, x2st.x;∈[L;,U1≤j≤算法框架差分演化算法迭代过程CONTENTS引种群初始化变异交叉选择基本原理应用实例优缺点种群初始化在解空间中随机、均匀地产生M个个体,每算法改进个个体由n个染色体组成,作为第0代种群,标记为研完点X(0)=(x;1(0),x12(00i=1.2..…,M◎变异、交叉、选择三步操作迭代执行,直到算法收敛。第g次迭代的第i个个体标记为X(g)=(x;1(g),x;2(g),…,x1n(g)1.2.M种群初始化差分演化算法在n维空间里随机产生满足约束条件的M个染色体,第i个染色体的第个维取值方式如下rand(0,1)产生0到1的均匀分布CONTENTS的随机数):引基本原理;(0)=L+mnd(0,1)(U,-L)应用实例M优缺点算法改进研完点均匀分布随机分布聚群分布变异算子差分演化法在第8次迭代中,对个体X(g)=(x18,x12(g),…,xn(g),从种群中随机选择3个个体Xn1(g),X12(g),Xp3(g),且p1≠p2≠CONTENTS13≠i,则引H(g)=Xn1(g)+F.(Xn2(g)-X3)基本原理应用实例其中△p2,n3(8)=Ⅹn2(g)-X(8)是差分向量;F是缩放因子,优缺点用于控制差分向量的影响力算法改进研完点F(xm-x,:)0
- 2021-05-07下载
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Building Trading Bots Using Java [2016]
Building Trading Bots Using JavaEnglish | 6 Jan. 2017 | ISBN: 1484225198 | 300 Pages | PDF | 6.22 MBBuild an automated currency trading bot from scratch with java. In this book, you will learn about the nitty-gritty of automated trading and have a closer look at Java, the Spring Framework, event-Building Trading Bots Using Javahekhar VarshneyGrangesSwitzerlandISBN13(pbk):978-1-4842-2519-6ISBN-13(electronic): 978-1-4842-2520-2DOI10.1007/978-1-4842-2520-2Library of Congress Control Number: 2016961228Copyright o 2016 by Shekhar VarshneyThis work is subject to copyright All rights are reserved by the Publisher, whether the wholeor part of the material is concerned, specifically the rights of translation, reprinting, reuse ofillustrations, recitation, broadcasting, reproduction on microfilms or in any other physicalway, and transmission or information storage and retrieval, electronic adaptation, computersoftware, or by similar or dissimilar methodology now known or hereafter developedTrademarked names, logos, and images may appear in this book. Rather than use a trademarksymbol with every occurrence of a trademarked name, logo, or image we use the names, logos,nd images only in an editorial fashion and to the benefit of the trademark owner, with nointention of infringement of the trademarkThe use in this publication of trade names, trademarks, service marks, and similar terms, even ifthey are not identified as such, is not to be taken as an expression of opinion as to whetheror notthey are subject to proprietary rightsWhile the advice and information in this book are believed to be true and accurate at thedate of publication, neither the authors nor the editors nor the publisher can accept any legalresponsibility for any errors or omissions that may be made. The publisher makes no warranty,express or implied, with respect to the material contained hereinManaging Director: Welmoed SpahrLead Editor: Steve AnglinEditorial Board: Steve Anglin, Pramila Balan, Laura Berendson, Aaron Black, Louise Corrigan,Jonathan gennick, Robert Hutchinson, Celestin Suresh John, Nikhil KarkalJames Markham, Susan McDermott, Matthew Moodie, Natalie Pao, Gwenan SpearingCoordinating Editor: Mark PowersCopy Editor: Kezia EndsleyCompositor: SPi GlobalIndexer: SPi GlobaArtist: SPi GlobalDistributed to the book trade worldwide by Springer Science+ Business Media New York,233 Spring Street, 6th Floor, New York, NY 10013. Phone 1-800-SPRINGER, fax(201)348-4505e-mailorders-ny@springer-sbm.comorvisitwww.springeronline.com.ApressMedia,Llcisa California LlC and the sole member(owner) is Springer Science Business Media FinanceInc(SSBM Finance Inc). SSBM Finance Inc is a Delaware corporationForinformationontranslationspleasee-mailrights@apress.comorvisitwww.apress.comApress and friends of ed books may be purchased in bulk for academic, corporate, or promotionaluse eBook versions and licenses are also available for most titles For more information referenceourSpecialbUlkSales-ebookLicensingwebpageatwww.apress.com/bulk-salesAny source code or other supplementary materials referenced by the author in this text areavailabletoreadersatwww.apress.com.Fordetailedinformationabouthowtolocateyourbookssourcecodegotowww.apress.com/source-code/.ReaderscanalsoaccesssourcecodeatSpringerlink in the Supplementary Material section for each chapter.Printed on acid-free paperedicated to the angels in my lifemy mother, my wife Preshita, and my two daughters Mihika and anyaLast but not the least, my college professor, Dr. Rajat Moona,who sowed the seeds of computer programming in my dnaContents at a glanceAbout the authorChapter 1: Introduction to Trading Bota.Chapter 2: Account Management27Chapter 3: Tradeable Instruments47Chapter 4: Event Streaming: Market Data EventsChapter 5: Historic Instrument Market Data aeEERaar75Chapter 6: Placing Orders and trades97Chapter 7: Event Streaming: Trade/Order/Account Events159Chapter 8: Integration with Twitter aamna■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■175Chapter 9: Implementing Strategies.am.203Chapter 10: Heartbeating ammmmmmmmmmmn 219Chapter 11: E-Mail Notifications ammmmatmmammmmmmmnmamman 231Chapter 12: Configuration, Deployment, and Running the Bot 243Chapter 13: Unit Testing■■■■■■■■■■■■口■■■■■■■■■■■■■■■■■■■口■■■■■■■■■■■■■■■■■■口■■■■■263Index…277ContentsAbout the author,i币Chapter 1: Introduction to Trading Bot m mmmemmIRD■■■■■■■■■■■■■■■■■■■■■■■■■What Is a Trading Bot?Why do We need a trading bot?...3The capabilities of the Trading BotDesign goalsCode organization and software Stack Used .OANDA REST API as Reference Implementation.m....ammann. 8Opening an oanda practice Account80 ANDA JS0 N Keys…………Constructor Dependencies for OANDA Implementations15Event-Driven architectureG0 ogle eventBus…18Provider helper Interface20Trading Config class.........mmonann......mtnonnn.......tnn 22Obtaining the Source Code.aaeeaaaee... 24Try It Yourself section..aaaaaa.. 24Chapter 2: Account Managementa27Account provider interface31A Concrete Implementation for AccountDataProvider32Encapsulating Everything Behind a Generic AccountlnfoService37Try It yourself43VIlCONTENTSChapter 3: Tradeable Instruments47InstrumentA Concrete Implementation for InstrumentDataProvider52Encapsulating Everything Behind a Generic Instrumentservice56Try It yourself58Chapter 4: Event Streaming: Market Data Events mmmmmmmmmm. 61Streaming Market Data Interface.A Concrete Implementation for MarketData StreamingService .m..63Downstream Market data event disseminationMarketEventcallback……69Try It Yourself,…70Chapter 5: Historic Instrument Market Data mmmmmmmm 75How to read a candlestick75Enum Defining the Candlestick Granularity76Define pojo to hold candlestick information77Historical Data Provider Interface79A Concrete Implementation for HistoricMarketDataProvidern81Discussion An Alternate Database Implementation85Candlesticks for Moving Average Calculations....88MovingAverage calculation Service89Try lt YourselfChapter 6: Placing Orders and Trades■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■■97Order pojo definition98Order Management provider Interface101A Concrete Implementation for Order ManagementProvider,103A Simple orderInfoService,115CONTENTSValidating Orders Before Execution: PreOrderValidationService... 116Putting It All Together in an OrderExecution Service .mmmm... 121Trade pojo definition124Trade Management provider Interface127A Concrete Implementation for TradeManagementProvider129Encapsulating Read Operations Behind TradelnfoService.....m. 136Try It yourself144Chapter 7: Event Streaming: Trade/order/Account Events m 159Streaming Event Interface161A Concrete Implementation for Events StreamingService162Try It Yourself171Chapter 8: Integration with Twitter■■■■■■■■■■■■■■■■■■■■175Creating a Twitter Application175Spring Social180Using and Configuring Spring Social180Harvesting FX Tweets181Tweetharvester Interface wmmm. 185XTWeethandler Interface,,,………AbstractFxtweethandler base class186User-Specific TweetHandlersTry lt Yourself.Chapter 9: Implementing Strategies.aa203Copy Twitter Strategy204Fade the Move Strategy210Try It Yourself214CONTENTSChapter 10: Heartbeating ammammmmmmmmmmmmmmm 219HeartBeatPayload. ..m......m. 219Streaming the Heartbeat Interface220A Concrete Implementation for HeartBeatstreamingService221HeartBeatcallback Interface223DefaultheartBeatservice223Try It Yourself226Chapter 11: E-Mail notifications n231Notification Design.EmailPayLoad poJoEmailContentgenerator interface……232Sample Implementations.EventEmailNotifier service mm...m. 235Try It Yourself.237Chapter 12: Configuration, Deployment, and running the bot m 243Configuring the Trading Bot243Core Beans configuration244Twitter-Related Beans Configuration.....................247Provider Beans Configuration248Strategies configuration…254Services Configuration254Building the Bot...,,,,,…,,……256Running the bot.....,,……259CONTENTSChapter 13: Unit Testinga263Using Mockito as a Mocking Framework.Mocking Http iNteraction..............m....................e........................ 264Mocking Streams.The versatile verify Mockit0…....,.,,…271Mocking Twitter Interaction .EclEmma Code Coverage Tool for Eclipse ide.nDDDDDDDDDm274Index■■■■■■■■■■■■■■■■■■■口En277
- 2020-12-07下载
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