Parallel Designs for Metaheuristics that Solve Portfolio Selection Problems Using Fuzzy Outranking Relations

In decision-making, the multiobjective portfolio selection problem (MPSP) consists of the selection of alternatives based on preferences of a particular decision-maker (DM). In real-world applications, MPSP has several conflicting criteria that DMs must consider to determine an appropriate solution. So far, only fuzzy outranking relations have been used in a relational system of preferences to guide the search process of genetic algorithms (NOSGAII), and ant colony optimization (NOACO) to approximate the region of interest (RoI) of MPSP involving DM’s preferences. The NOSGAII and NOACO strategies are sequential, and they face a real challenge when solving high-dimensional instances which is a decrement in the computational efficiency due to the increment in the number of objectives. The present research proposes to use parallelism to tackle the efficiency situation in metaheuristics. The study first identifies which approach approximates better the RoI, and then, it analyzes the effect of parallelism in the performance. The results showed that NOACO found more best compromises in almost all the instances than NOSGAII. Hence, it can be concluded that NOACO approximates better the RoI. Also, the results showed a better average speedup with coarse-grained parallelism in NOACO than with data-flow parallelism, suggesting the conclusion that ants independently working are faster than ants working collaboratively. Finally, the main contributions are (1) the analysis of the performance of the two approaches for MPSP, (2) the five parallel designs for NOACO, and (3) the parallel NOACO that speedups up to 2× the sequential version when solving MPSP.