The Scientific World Journal / 2014 / Article / Alg 1

Research Article

Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint

Algorithm 1

Original firefly algorithm.
Generate initial population of fireflies , ( )
Light intensity at point is defined by
Define light absorption coefficient
Define number of iterations IN
while     do
for   to SN  do
  for   to   do
   if     then
   Move firefly towards firefly in dimension
   Attractiveness varies with distance via exp[ ]
   Evaluate new solution, replace the worst with
   better solution and update light intensity
   end if
  end for
end for
 Rank all fireflies and find the current best
end while

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