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University of Portsmouth





The development and use of optimisation models is well established. However, the use of many
models has been restricted in some fields of economic analysis where the problem is large in size
and there are a large number of non-linear interactions. In most cases, the use of linear
approximations or simplification of the model has been necessary in order to derive a solution.

Genetic algorithms (GA) are an evolutionary optimisation approach which are an alternative to
traditional optimisation methods. GA are most appropriate for complex non-linear models where
location of the global optimum is a difficult task. It may be possible to use GA techniques to
consider problems which may not be modelled as accurately using other approaches. Therefore,
GA appears to be a potentially useful approach.

GA follows the concept of solution evolution by stochastically developing generations of

solution populations using a given fitness statistic (for example, the objective function in
mathematical programmes). They are particularly applicable to problems which are large, non-
linear and possibly discrete in nature, features that traditionally add to the degree of complexity
of solution. Due to the probabilistic development of the solution, GA do not guarantee optimality
even when it may be reached. However, they are likely to be close to the global optimum. This
probabilistic nature of the solution is also the reason they are not contained by local optima.

The list of topics to which genetic algorithms have been applied is extensive. These include
scheduling, time-tabling, the travelling salesman problem, portfolio selection, agriculture,
fisheries etc. In this paper the basic features, advantages and disadvantages of the use of GA are
discussed. A brief review of GA software is given. A small nonlinear fisheries bioeconomic
model is used to compare the GA approach with a traditional solution method in order to
measure their relative effectiveness. General observations of the use of GA in nonlinear
programming models are also considered.

 

 


The conceptualisation of GA in current form is generally attributed to Holland, 1975. However,

particularly in the last ten years, substantial research effort has been applied to the investigation
and development of genetic algorithms. Goldberg, 1989 gives an excellent introductory
discussion on GA, as well as some more advanced topics.

Genetic algorithms are a probabilistic search approach which are founded on the ideas of
evolutionary processes. The GA procedure is based on the Darwinian principle of survival of the
fittest. An initial population is created containing a predefined number of individuals (or
solutions), each represented by a genetic string (incorporating the variable information). Each
individual has an associated fitness measure, typically representing an objective value. The
concept that fittest (or best) individuals in a population will produce fitter offspring is then
implemented in order to reproduce the next population. Selected individuals are chosen for
reproduction (or crossover) at each generation, with an appropriate mutation factor to randomly
modify the genes of an individual, in order to develop the new population. The result is another
set of individuals based on the original subjects leading to subsequent populations with better
(min. or max.) individual fitness. Therefore, the algorithm identifies the individuals with the
optimising fitness values, and those with lower fitness will naturally get discarded from the
population.

Ultimately this search procedure finds a set of variables that optimises the fitness of an
individual and/or of the whole population. As a result, the GA technique has advantages over
traditional non-linear solution techniques that cannot always achieve an optimal solution. A
simplified comparison of the GA and the traditional solution techniques is illustrated in Figure 1.
Non-linear programming solvers generally use some form of gradient search technique to move
along the steepest gradient until the highest point (maximisation) is reached. In the case of linear
programming, a global optimum will always be attained (). However, non-linear programming
models may be subject to problems of convergence to local optima, or in some cases, may be
unable to find a feasible solution. This largely depends on the starting point of the solver. A
starting point outside the feasible region may result in no feasible solution being found, even
though feasible solutions may exist. Other starting points may lead to an optimal solution, but it
is not possible to determine if it is a local or global optimum. Hence, the modeller can never be
sure that the optimal solution produced using the model is the ³true´ optimum.

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For the genetic algorithm, the population encompasses a range of possible outcomes. Solutions
are identified purely on a fitness level, and therefore local optima are not distinguished from
other equally fit individuals. Those solutions closer to the global optimum will thus have higher
fitness values. Successive generations improve the fitness of individuals in the population until
the optimisation convergence criterion is met. Due to this probabilistic nature GA tends to the
global optimum, however for the same reasons GA models cannot guarantee finding the optimal
solution.
The GA consists of four main stages: evaluation, selection, crossover and mutation. The
|

 procedure measures the fitness of each individual solution in the population and
assigns it a relative value based on the defining optimisation (or search) criteria. Typically in a
non-linear programming scenario, this measure will reflect the objective value of the given
model. The ||  procedure randomly selects individuals of the current population for
development of the next generation. Various alternative methods(2) have been proposed but all
follow the idea that the fittest have a greater chance of survival. The
 |
procedure takes
two selected individuals and combines them about a crossover point thereby creating two new
individuals. Simple (asexual) reproduction can also occur which replicates a single individual
into the new population. The 
 procedure randomly modifies the genes of an individual
subject to a small mutation factor, introducing further randomness into the population.

This iterative process continues until one of the possible termination criteria is met: if a known
optimal or acceptable solution level is attained; or if a maximum number of generations have
been performed; or if a given number of generations without fitness improvement occur.
Generally, the last of these criteria applies as convergence slows to the optimal solution.

Population size selection is probably the most important parameter, reflecting the size and
complexity of the problem. However, the trade-off between extra computational effort with
respect to increased population size is a problem specific decision to be ascertained by the
modeller, as doubling the population size will approximately double the solution time for the
same number of generations. Other parameters include the maximum number of generations to
be performed, a crossover probability, a mutation probability, a selection method and possibly an
elitist strategy, where the best is retained in the next generation¶s population.

Unlike traditional optimisation methods, GA is better at handling integer variables than

continuous variables. This is due to the inherent granularity of variable gene strings within the
GA model structure. Typically, a variable is implemented with a range of possible values with a
binary string indicating the number of such values; i.e. if   · ,15] and the gene string is 4
characters (e.g. ³1 1 ´) then there are 16 possibilities for the search to consider. To model this
as a continuous variable increases the number of possible values significantly. Similarly, other
variable information which aids the search considerably are upper and lower bound values.
These factors can affect convergence of the model solutions greatly.

 

 





An excellent starting place for information is The Genetic Algorithms Archive(3). It contains
many links to public domain software, to research conducted by leading experts in the field and
other useful pointers.

Until recently the majority of GA software used was primarily available in the public domain or
developed by users specifically for a problem. However, with increased computer power and
further GA enhancements which have been proposed, more commercial systems are becoming
available. One of the leading commercial software packages devoted to GA is the Microsoft
Excel add-in EVOLVER (currently version 4) - see Pascoe, 1996 for a review of EVOLVER V3
compared to a traditional nonlinear programming optimiser. The significant advantage of such a
package is the familiar, user-friendly interface which the developers claim requires no
knowledge of computer programming or GA theory to use. However, in a similar way to using
SOLVER for linear programming, users who know little about the encompassing subject area
will often produce badly structured models.

One of the first publicly available systems was GENESIS (Grefenstette, 1984) which has since
been used as the building block for many other GA systems, such as GENEsYs (Baeck, 1992).
The majority of existing GA tools are written in C/C++. Many are available free for non-
commercial activity. The modeller typically implements the model directly into the code of the
computer program. Generally, the only requirement of a fitness function is to return a value
indicating the quality of the individual solution under evaluation. This gives the modeller almost
unlimited freedom in building the model, therefore a diverse range of modelling structures can
be incorporated into the GA. Although, C/C++ is a robust programming language for algorithmic
software development, this adds to the expertise required by the modeller. Typically, a user-
friendly interface is not available as this is not intrinsic to the GA search process. This is
definitely a disadvantage over the usability and history of development of traditional
optimisation modelling approaches, especially in mathematical programming.

Although GA systems follow the same general algorithmic procedure, each GA system is
designed and implemented in a slightly different way, using alternative random number
generators and various compilers. Therefore no two systems will optimise a model using exactly
the same path. Other differences which have a significant effect on the solution process are the
various parameter options which are implemented in each solver - for example some of the key
parameters are the selection method, crossover rate, mutation rate, recombination scheme, elitist
strategy and population size. SGA, as described by Goldberg, 1989, has one selection method
and one recombination scheme implemented whereas a more developed system such as
GENEsYs has seven selection methods, four recombination schemes and even two alternative
mutation procedures.

GA are particularly applicable to unconstrained (or largely feasible) problems as the individual
solutions of a population are then directly comparable in terms of their fitness. In this case,
where feasibility is assured, the search method has no difficulties in measuring the quality of
solution with respect to infeasibility (see the following example). A number of alternatives have
been proposed for the handling of constraints; e.g. infeasible solution rejection, penalty
functions, maintain feasibility using specialised operators, and repair the infeasible individual.
Penalty functions are the most commonly applied technique. Compared to nonlinear
programming models, less ³active´ variables and constraints are necessary in the model, i.e.
many variables may be dependent on others often described by the constraints, and therefore
explicit definition as control variables may not be necessary (see the following example).
Convergence slows significantly for constrained problems where infeasibility is a factor.
However, GENOCOP3 (Michalewicz, 1996) incorporates methods to enable internal
management of nonlinear constraints, i.e. once obtained feasibility is maintained through
specialised operators.

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A simple fisheries bioeconomic model is discussed below, where 3 classes of boat () catch 3
species of fish () in a given region. An optimal allocation of the resource is sought which
maximises economic profit. Table 1 shows the data definitions. There are 5 variable classes (15
variables) in the nonlinear programme; i.e. boats (!) and effort (!) of boat class , and catch
(!), landings (! ) and fishing mortality (!) of species . This problem is solved with the selected
genetic algorithm solvers as well as a traditional nonlinear programming solver in order to
compare the relative merits of the approaches. Both the continuous and integer forms of the
model are considered, as strictly ! (number of boats) is an integer variable set. This problem
also demonstrates the flexibility of GA and the type of models which can be considered.

" 
: Model data.

Variable Description Values

Pj Price of fish species  {2.5, 2, 1.5}
Fi Fixed Costs of boat class  {1, .8, .8}
Vi Variable Costs of boat class  { . 1, . 8, . 8}
Qij Catchability coefficient of fish species  by boat class  { . 2, . 1, .
. , . 2, . 5
. , . , . 2}
Kj Carrying capacity of fish species  {2 , 25 , 4 }
Rj Growth rate of fish species  { .1, .5, .3}

The mathematical description of the nonlinear programme, with both a nonlinear objective
function and nonlinear constraints, is given below;

(1)

subject to,

(2)

(3)

 |   (  =1,...,3) (4)

!#
!#
!#
!#
!

$ (5)

where the objective function (1) denotes the economic profit for the fishery which is determined
by revenue from landings minus the associated fixed and variable costs of the fishing. Equation
(2) defines the fishing mortality, equation (3) then evaluates catch from this fishing mortality rate
and equation (4) constrains landings to be no greater than catch. The (control) variables !, !
and ! have upper bound values of {1 , 1 , 1 }, {275, 16 , 2 } and {5 , 5 , 5 }
respectively.

By inspection, it is clear in the nonlinear programming problem above that ! are dependent
variables, i.e. their value is dependent on the values of ! and !. In turn ! is dependent on !.
It follows in the fitness function of the GA that these dependent variables can be simply
calculated from the probabilistic (or control) variables ! and !. A simple repair approach is
implemented for equation (4) in the fitness function, where if the constraint is violated then xl* is
reset equal to the relevant xc*. Therefore, when the constrained NLP model is built in the GA it
can be interpreted as an unconstrained 9 variable model(4) where the returned fitness value is the
NLP objective function value of economic profit (
).

The NLP model was solved in GAMS (Brooke, Kendrick and Meerhaus, 1988) using the
CONOPT solver which in the version used was not capable of solving a model with integer
restrictions. Consequently, an approximating approach was used by rounding each variable to its
nearest integer value for the integer solution. Four public domain GA systems were selected for
comparison; GENEsYs (Baeck, 1992), GENOCOP3 (Michalewicz, 1996), FORTGA(5) (Carroll,
1997) and multi-variable SGA(6) (Goldberg, 1989). A population size of 7 and an elitist
strategy was used for each (except SGA which was restricted to a population size of 3 ),
however other parameters were chosen based on several runs of the model. Table 2 shows the
results from the model with continuous variables and table 3 shows the results with the boat
variables having integer restrictions. All optimisations were performed on a Pentium 2 Mhz PC
compatible computer.

" 
%: Continuous Solutions.

R
 
! _
! !|
    | 
GAMS 1176.458 .9 6.96 2.32 275 16 2 .3
GENESYS 1176.458 .9 6.96 2.32 275 16 2 76
GENOCOP3 1176.458 .9 6.96 2.32 275 16 2 19
FORTGA 1176.444 .9 6.95 2.34 275 16 199.22 268
SGA 1176.441 .9 6.93 2.34 275 16 199.56 885

" 
&: Integer Solutions.

R
 
! _
! !|
   | 
GAMS 1171.698 1 7 2 275 16 2 *
GENESYS 1175.799 1 7 3 248.25 159.77 155.14 22
GENOCOP3 1175.799 1 7 3 248.4 159.73 155.21 14
FORTGA 1175.799 1 7 3 248.14 159.77 155.14 67
SGA 1175.797 1 7 3 249.22 159.69 155.18 288

* - This was an approximated solution from the continuous solution.

 - Time in CPU seconds until best solution.

In all the genetic algorithms implemented (tables 2 and 3), convergence to the optimal solution
for the model is very close to full achievement. It is clear in these results that simply
approximating an integer solution to the model from the optimal continuous solution does not
give the optimal integer solution. As expected, it is also noticeable that the GA with integer
restrictions achieves the optimal solution far quicker than the continuous cases. The differences
in solution times between the GA solvers (for exactly the same model structure) is significant.
This highlights the point that different GA implementations are more advanced and may be more
suitable for some model types than others. Also, parameter options and values have a significant
effect.

It should be noted that for the GAMS model, a starting point of the origin (i.e. all variables zero)
is reported to be locally optimal thus stopping optimisation. The solver advises at this point to
use a better starting solution. Any non-zero initial solution for ! and ! is satisfactory.

Figure 1 shows the typical convergence rates between two selection strategies (i.e. tournament
selection and roulette wheel selection) in FORTGA for the integer case. Three runs were
performed with each selection method over 1 , generations and the best run plotted in figure
1. In all runs the tournament selection performed best, achieving the best solution of 1176.444.
Roulette wheel selection was not as successful, converging to a best value of 117 .76 in the
1 , generations completed. For this model, it appears that the convergence is generally
slower using the roulette wheel selection than tournament selection.

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In the genetic algorithms, a maximum generation count was used as the stopping criteria, and
determined by performing a number of optimisations until a satisfactory level was ascertained.
Other parameters were also evaluated through a number of trial runs, although default parameter
values were preferred where possible.

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It is a typical occurrence in modelling real-life problems that approximations are made in order
to accommodate the capability of the solver. This is due to the natural size and complexity of
models, where many of the variable interactions form non-linear relationships in the model.
Where solution is not possible by traditional approaches, GA may be able to offer a viable
alternative. As in the example above, it would not be expected for a constrained mathematical
programming problem to be solved faster by GA, which is a probabilistic search method, than by
a traditional optimisation approach, which is a guided search method and has been developed
and successfully applied to many models of this type over the years. Genetic algorithms should
not be regarded as a replacement for other existing approaches, but as another optimisation
approach which the modeller can use.

The main advantage of GA is that models which cannot be developed using other solution
methods without some form of approximation can be considered in an unapproximated form.
Size of the model, i.e. number of probabilistic variables, has a significant effect on the speed of
solution therefore model specification can be crucial. Unlike other solution methods, integer
variables are easier to accommodate in GA than continuous variables. This is due to the resulting
restricted search space. Further, variable bound values can be applied to achieve similar results.

There are a number of factors which must be taken into consideration when developing a genetic
algorithm model; there are typically many standard parameters which can be modified to affect
the performance of the optimisation (see section 2), variable specification (probabilistic or
deterministic), tight variable bounds, weighting strategies and constraints. Unconstrained
problems are particularly suitable for consideration as constraints require the management of
possible infeasibility, which may slow down the optimisation process considerably. Generally, a
standard genetic algorithm is taken for specific development of the problem under investigation
where the modeller should take advantage of model structure for effective implementation.

The ease of implementation of a model within a GA is directly related to the knowledge of the
modeller on three topics; programming (e.g. C/C++, FORTRAN, PASCAL etc.), model
understanding and basic knowledge of GA. It is beneficial spending time to construct an efficient
model with (few) control variables in a largely feasible variable space. Instruction guides and
manuals of freely available software do not generally cover every aspect of the system being
used, but offer an introduction to the environment along with brief reference topics. Differences
between GA software codes concerning model development and model optimisation are very
small. Parameters are usually either communicated to the program through (a combination of)
the command-line, parameter file and directly in the code.

Constraints are difficult to incorporate into a GA, as generally it is left to the fitness function to
manage and quantify possible infeasibility. For problems where a large feasible set of solutions
exist, constraints do not pose the same problem as for a small feasible set. This is because the
fitness function must generally determine the level of infeasibility and optimality as one fitness
statistic. If feasible solutions are easily determined, then fitness is easily described.

It is difficult to generalise on which is the ³best´ genetic algorithm to use for a given problem,
however the more advanced and highly developed GA solvers will generally offer faster
convergence leading to a more accurate solution. Such GA are significantly more complex than a
basic GA (e.g. SGA), and will typically be used as a µblack-box¶.

As models have become increasingly more detailed, the types of questions which managers hope
to find answers to have also become more complex. New techniques can expand the range and
relevance of models in solving real-world issues. Such a tool will both contribute to the
methodological development of modelling as well as having immediate practical benefits in
terms of increasing the range of management questions that can be addressed by such models.

 

·Baeck, 1998]
Baeck, T. c|
|_ _  , Department of Computer Science, University of
Dortmund, 1992.

·Brooke, 1998]
Brooke, A.D., D. Kendrick and A. Meerhaus, c
c|
|, Scientific Press, 1988.

·Carroll, 1997]
Carroll, D.L., 


c|| c!
"
 |
# $%&Users Guide, 1997.

·Goldberg, 1989]
Goldberg, D.E., || c!
|

&'()
&


|*|

!, Addison-
Wesley, USA, 1989.

·Grefenstette, 1984]
Grefenstette, J.J., _ _
+|
!!|| |

(
 |
|, Proceedings of the
1984 Conference on Intelligent Systems and Machines, 161-165, 1984.

·Holland, 1975]
Holland, J.H., c
(




c
 
+|, University of Michigan Press, USA,
1975.

·Michalewicz, 1996]
Michalewicz, Z., || c!
,"


 
|-_ R
!

, 3rd ed.,
Springer, 1996.

·Pascoe, 1996]
Pascoe, S., A tale of two solvers: Evolver 3. and GAMS 2.25, !|_  .

, 1 6(1),
264-271, 1996.
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1. Linear programming techniques, such as the simplex method and the interior point method,
will always result in an optimal solution, provided such a solution exists and assuming convexity
in the model¶s constraints. Linear programming models do not incur the same problems of local
optima as non-linear programming models.

2. For example: ³roulette wheel selection´ sums individual fitness from a random point in the
population until a random proportion of the population sum of fitness is exceeded thus
identifying an individual; ³tournament selection´ randomly selects two individuals and simply
chooses the individual with best fitness.

3. http://www.aic.nrl.navy.mil:8 /galist/

4. For this small model it may be assumed that landings are equal to catch, therefore reducing it
to a 6 variable model.

5. This was converted from FORTRAN to C in this implementation.

6. The original simple genetic algorithm (SGA) in Goldberg (1989) considered a single variable
with ³roulette wheel´ selection however, for this implementation, multi-variable capabilities
were included with ³tournament´ selection.