模拟退火算法在贷款组合优化决策中的应用

Application of simulated annealing algorithm to optimal decision of loan's po rtfolio

针对贷款组合优化决策模型的求解问题,以模拟退火算法为基础,利用设置记忆器和在算法后链接一个局部搜索过程的方法,对原有算法进行了改进。该算法可在求解大规模组合优化问题的迭代过程中实现快速调整,以兼顾解的质量和运行时间,快速找到最优解,克服了原有算法的随机性。数值计算结果表明,该算法具有很强的适用性。

The simulated annealing algorithm is extended by setting a m emorial de vice and linking a local search process in the algorithm. The improved algorithm is used to solve optimal decision problems of loan's portfolio. During the iter ation process for solving large combinatorial optimization, the proposed algorit hm can be quickly adjusted, so that it can pay attention to the quality of solut ion and running time, find the optimal solution fast, and overcome the randomnes s of the original algorithm. Numerical results show robustness of the proposed algorithm for loan's portfolio.