| The names Fred Glover and Manuel Laguna
occur
frequently in tabu
search. Their paper
Tabu
Search forms an
good
and informal
introduction to the topic.
Also
of interest is
their paper
comparing three metaheuristic
algorithms,
consisting of Evolver,
Genocop and
their own product,
Optquest. Evolver is
highlighted in the genetic
algorithm section
of this website, Genocop is also a genetic
algorithm and Optquest is
a
tabu/scatter search
module of Crystal Ball,
referred to below.
An interesting paper is Characterising
search
spaces for tabu search, which investigates
which algorithm
-
tabu search
or GA - is more efficient
when applied to the location–allocation
and the
quadratic
assignment problems. (We
found
GAs dramatically better for portfolio
optimisation
when comparing two very specific software
appications
of these two
algorithms.)
One refinement of the tabu algorithm is
reactive tabu search,
developed by Roberto
Battiti and described in
the article The
Reactive Tabu Search.
Although it is not applied to an
investment problem, the
paper Design and Evaluation
of Tabu Search
Algorithms for
Multiprocessor Scheduling
by Arne
Thesen
nevertheless provides some
interesting
insights on
the general
characteristics of tabu search.
Designing
Portfolios Of
Financial
Products Via
Integrated Simulation and
Optimisation Models does exactly
that.
Tabu
search is just one aspect
of solving the
problem.
|
