International Journal of Machine Learning and Cybernetics

https://doi.org/10.1007/s13042-019-01036-y

ORIGINAL ARTICLE

A self‑adaptive preference model based on dynamic feature analysis

for interactive portfolio optimization
Shicheng Hu1 · Fang Li1 · Yang Liu2 · Song Wang1

Received: 19 February 2019 / Accepted: 5 November 2019

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Abstract
In financial markets, there are various assets to invest in. Recognizing an investor’s preferences is key to selecting a com-
bination of assets that best serves his or her needs. Considering the mean–variance model for the portfolio optimization
problem, this paper proposes an interactive multicriteria decision-making method and explores a self-adaptive preference
model based on dynamic feature analysis (denoted RFFS-DT) to capture the decision maker (DM)’s complex preferences in
the decision-making process. RFFS-DT recognizes the DM’s preference impact factor and constructs a preference model.
To recognize the impact factors of the DM’s preferences, which could change during the decision-making process, three
categories of possible features involved in three aspects of the mean–variance model are defined, and a feature selection
method based on random forest is designed. Because the DM’s preference structure could be unknown a priori, a decision-
tree-based preference model is built and updated adaptively according to the DM’s preference feedback and the selected
features. The effectiveness of RFFS-DT for interactive multicriteria decision making is verified by a series of deliberately
designed comparative experiments.

Keywords Feature selection · Random forest · Preference model · Portfolio optimization

1 Introduction decomposition) [4]. Unfortunately, the output of an EMO

Investment is a fundamental economic activity in our soci-
ety. Because there are many assets with different returns
and risks in the financial market, investors have to choose
assets to gain the highest return possible while incurring the
lowest risk possible. To address this issue, Nobel laureate
Harry Markowitz [1, 2] introduced a portfolio optimization
model, the mean–variance (MV) model, to determine the
optimal allocation of limited capital among a finite num-
ber of available assets. The MV model can be solveed by
an evolutionary multiobjective algorithm (EMO), e.g.,
NSGAII (nondominated sorting genetic algorithm II) [3] and
MOEA/D (multiobjective evolutionary algorithm based on
* Shicheng Hu
hu_shicheng@aliyun.com
1
School of Economics and Management, Harbin Institute
of Technology, No. 2 West Wenhua Road, Weihai 264209,
China
2
School of Computer Science and Technology, Harbin
Institute of Technology, No. 2 West Wenhua Road,
Weihai 264209, China
consists of a large number of nondominated solutions, and
common users do not know how to choose the solution that
is in his or her best interest [5].
For a multiobjective optimization problem, another group
of methods, multicriteria decision-making methods [6, 7],
is more practical than the EMO. Multicriteria decision
making aims to help a DM find the most preferred solution
from the numerous candidates produced by the EMO pro-
cess. There are three types of multicriteria decision-making
approaches: the a priori approach [8, 9], the a posteriori
approach [10, 11] and the interactive approach [12, 13]. For
these approaches, the DM’s preferences are incorporated
before, after and during the EMO process, respectively.
However, for these approaches, the difficulty of obtaining
the preferences of the DM is not considered. The prefer-
ence information given in the a priori approach and the a
posteriori approach should be global, but in the interactive
approach, the preference information could be local, as it can
be interactively adjusted by the DM. From the perspective of
human cognition, an interactive approach is easier to imple-
ment and therefore more feasible for solving multiobjective
optimization problems.

13
Vol.:(0123456789)

Interactive multicriteria decision making (IMCDM)
[12–15] is composed of three parts: an EMO algorithm, the
DM’s preference feedback and a preference model. Initially,
the EMO algorithm runs for a certain number of iterations.
Then, the current nondominated solutions are presented to
the DM for preference feedback. Based on the DM’s feed-
back, a preference model is built to guide the EMO algo-
rithm. This process is continued until the DM is satisfied
with the best of the presented solutions (i.e., the solution
with the highest rank, as evaluated by the preference model).
Many interactive approaches have been proposed, and they
can be grouped into three sets in terms of their preference
models: scalarizing-function-based IMCDM, utility-func-
tion-based IMCDM and neural-network-based IMCDM.
These approaches have investigated each aspect of IMCDM
and achieved fruitful results. However, considering their
overall performance, there are still deficiencies and chal-
lenges to be addressed.
The scalarizing function S(y, p, w), which has a variety of
forms [16], scalarizes a multiobjective optimization problem
into a single objective optimization problem. The DM can
change his or her preferences directly either by specifying
a different expectation p in the means of reference points
[17–20] and categories [21, 22] or by setting a different
weight vector w [23, 24]. Nevertheless, a precise quantitative
vector (p or w) is very difficult to obtain from a typical DM
with bounded rationality [25, 26]. Utility-function-based
IMCDM is very flexible because a wide range of functional
forms, such as linear [27], quadratic [28] and general poly-
nomial functions [25, 29], can meet the requirements of a
DM with complicated preferences. Furthermore, the DM’s
preference feedback can be determined through qualitative
pairwise comparison, which is much easier to implement
than quantity-based preference feedback. However, in this
type of IMCDM, the proper form of the utility function has
to be selected a priori, which is often impossible since the
DM’s preference structure is unknown in most cases; the
neural network can simulate any form of the function, and
its parameters can be learned adaptively during the decision-
making process [30–32]. However, neural-network-based
IMCDM requires the DM to give a ratio value for each pair
of solutions. This highly precise quantification of the prefer-
ence feedback is beyond the scope of a typical human’s cog-
nitive capability [25, 26]. Recently, two dynamic preference
models based on IMCDMs with automatic interaction were
proposed to solve optimization problems related to the self-
organization of heterogeneous wireless networks and object-
level video advertising [33, 34]. These methods have proven
to be very effective and efficient, but their automatic method
of interaction is not suitable for portfolio optimization, in
which the DM’s preference feedback is needed periodically
so that variable preferences can be captured.
13
International Journal of Machine Learning and Cybernetics
In IMCDM, the preference model and preference feed-
back are closely related. From the above analysis, we can
conclude that utility-function-based IMCDM is practical
with regard to preference feedback; however, the func-
tional form of the preference model is difficult to choose in
accordance with the DM’s complicated and variable prefer-
ences. In this paper, for portfolio optimization, we propose
a self-adaptive preference model based on dynamic feature
analysis. Our contributions, as they relate to IMCDM, are
described below.
First, the DM’s preference feedback is based on dynamic
feature analysis. In the IMCDMs proposed thus far, the
DM’s preference feedback is normally given based on the
objective functions of a multiobjective optimization model,
which means that the impact factor on the DM’s preference
is predetermined (i.e., the objective function) and invariable.
However, an optimization model is composed of objective
functions, decision variables and constraints. These three
components are directly mapped to each other by different
formulas and hence intrinsically affect the DM’s preferences.
For example, in a multiobjective TSP (traveling salesman
problem) [35], both the decision variable values that rep-
resent a route and the satisfaction degree of the constraints
can affect the DM’s preferred itinerary. If the DM is always
confronted with objective function values, he/she may not
develop a deeper understanding of the problem during the
decision-making process. As a result, the DM may be unable
to reasonably judge an interaction.
Second, for the preference model, we adopt a decision tree
adaptively built on dynamic feature analysis. The decision
tree is completely constructed by an induction algorithm;
thus, the difficulty of preselecting a proper function form
for the utility function-based preference model is avoided.
During the decision process, if the DM’s preference struc-
ture varies without any prior knowledge, the decision tree
can be updated accordingly; furthermore, through dynamic
feature analysis, the decision tree’s components can be self-
adapted to the DM’s preference feedback. However, for the
utility-function-based preference model, the function form
will not change once selected, and its components are always
restricted to objective functions. Therefore, the self-adaptive
decision-tree-based preference model is much more flexible
than the utility-function-based preference model, and it is
more suitable for capturing the DM’s complicated prefer-
ences in the decision-making process than other models.
The rest of the paper is organized as follows. The dynamic
feature analysis for the portfolio optimization problem is
detailed in Sect. 2. A self-adaptive preference model built
on feature analysis is presented in Sect. 3. The overall frame-
work for interactive portfolio optimization is described in
Sect. 4. The experimental evaluation is reported in Sect. 5.
Finally, conclusions are drawn.
International Journal of Machine Learning and Cybernetics
2 Dynamic feature analysis for portfolio
optimization
Portfolio optimization can be used to solve an optimization
problem involving the allocation of limited capital among
a certain number of assets (e.g., stocks) to gain the highest
return at the lowest risk. The most influential MV model
for portfolio optimization was introduced by Markowitz
[1, 2], and it can be stated as follows:
N
∑ that may be related to the objectives include the following:
max f1 = 𝜔i 𝜇i
i=1
N N
∑ ∑
min f2 = 𝜔i 𝜔j 𝜎ij
i=1 j=1
N zation problem, for any two solutions in the nondominated
∑
s.t. 𝜔i = 1
i=1
0 ≤ 𝜔i ≤ 1, i = 1, … , N
where N is the number of assets available to a DM, 𝜇i
(i = 1, … , N ) is the expected return of asset i, 𝜎ij(i = 1, … , N
; j = 1, … , N ) is the covariance between assets i and j, and
𝜔i is the decision variable indicating the proportion of lim-
ited capital invested in asset i. Equation (1) maximizes the
total returns associated with the portfolio, while Eq. (2)
minimizes the total risks. Equation (3) is the budget con-
straint that requires limited capital to be invested in the
available assets. Equation (4) requires all investments to be
nonnegative.
The MV model can be used to solve a two-objective
optimization problem. To obtain a solution that satisfies
a DM, an EMO must be implemented in an interactive
manner. Apparently, the preference model plays a very
important role in the interactive decision process. Whether
the solution produced by the EMO satisfies the DM mainly
depends on whether the preference model includes the
DM’s true preference information. The DM’s preferences
may change during the interactive process. During each
interaction, the DM cannot reveal the impact factors of his
or her preferences due to his or her bounded rationality. In
this case, the DM’s preference factors can be determined
only from the preference feedback and then embedded
into the preference model. The DM’s preference factors
are determined in two steps: feature definition and feature
selection. In the first step, all features that can impact the
DM’s preferences are defined. In the second step, a sophis-
ticated feature selection method is designed to discern the
DM’s true preference factors.
2.1 Feature definition
When using the MV model for the portfolio optimization
problem, possible features can be defined in terms of three
aspects.
(1) Objective functions
The maximization of the return and the minimization of
risk are the two objectives of the MV model. The features
(1)
Maximum return. By investing, the DM hopes to gain the
highest possible return [36].
Minimum risk. Since the financial market is full of uncer-
tainty, investment may result in capital losses [37]. The min-
(2)
imum risk minimizes any losses.
Expected return. As the MV is a multiobjective optimi-
set, the one with highest return will have the highest risk
(3)
[38]. Considering his or her reason for investing, an inves-
tor may have an expectation for the return regardless of the
(4) possible risk. The investor’s expectation may change dur-
ing the decision-making process. Thus, the margin between
the investor’s expectation and the return of a solution may
impact his or her preferences.
Expected risk. Similar to the expected return, an investor
may also have a level of expected risk.
The distance to the ideal point. Although an ideal solu-
tion with the highest return and the lowest risk does not
exist in the decision domain [39], a solution close to the
ideal point balances the return and risk of the portfolio. The
distance of this solution to the ideal point may impact the
DM’s preferences.
(2) Decision variables
The decision variables represent the proportion of the
budget invested in each asset [38]. The related impact factors
can be defined as follows:
Proportion of each asset. In many cases, when the DM
cannot select the preferred solution from a pair of solutions
in terms of only return and risk, the decision variable values
can provide additional information to help the DM make a
decision.
Expected proportions of some assets. Regarding the
expected return and risk, an investor may have a preference
regarding the expected proportions of some assets, which
can influence his or her preferences.
(3) Constraint conditions
In the MV model, intrinsic constraints (3) and (4) are hard
constraints [40] that should be satisfied during the solution
13

process. With respect to the DM’s uncertain and complicated
preferences, some additional constraints may be embedded
during the interactive decision-making process. These addi-
tional constraints are soft constraints [40] that are not neces-
sarily justified.
Reservation value for return. The reservation value [41]
is the objective value that should be achieved. In investment,
some risky investors desire a minimal return regardless of
the possible risk.
Reservation value for risk. Some risk-averse investors
prefer risk that is below a certain level.
Reservation value for some assets. In the financial mar-
ket, an experienced investor tends to select a portfolio that
includes familiar assets he/she has benefited from in the past.
The investor may have a preference regarding the minimum
proportions that are invested in those assets.
The reservations can be set as soft constraints. The mar-
gin between the reservation values and real values of a port-
folio may impact the DM’s preferences.
2.2 Feature selection method RFFS
Feature selection is applied after the DM articulates his or
her preference on a set of currently nondominated solutions
with defined features. To analyze the correlation between the
possible features and the DM’s preference feedback in the
decision-making process, we design a random-forest-based
feature selection method (RFFS). Random forest [42] is an
ensemble classifier composed of a group of weak learners
(e.g., decision trees). In most cases, random forest exhibits
a high classification accuracy and a short training time [43];
furthermore, due to its randomness, it is not very sensitive
to noise [44].
In the RFFS, the mean decrease in classification accu-
racy of the out-of-bag data [45] of a bootstrap sample is
adopted as the feature/variable importance evaluation cri-
terion; sequential backward selection [46] is employed as
the feature search strategy, and 10-CV (cross-validation) is
used for validation.
The implementation of the RFFS is presented in Fig. 1.
For the implementation of the RFFS, the following vari-
ables should be initialized: the current nondominated solu-
tion set Data with all defined features; the number of random
forests created in each iteration (k = 10 since 10-CV is used
for validation); and the incumbent maximum mean classi-
fication accuracy for k random forests (MaxMeanAcc = 0).
In each iteration, k random forests are created on Data. To
compute their classification accuracies and the mean accu-
racy, LMeanAcc, Data is partitioned into k groups, and each
is used as a test set. The features in Data are sorted in terms
of the variable importance evaluation criterion by the most
accurate random forest selected. The number of iterations
13
International Journal of Machine Learning and Cybernetics
Initialization
Create k random forests
Compute classification accuracy for
each random forest and mean accuracy
LMeanAcc
Select the most accurate random forest
Sort the features in Data
N
LMeanAcc > MaxMeanAcc ?
Y
Delete the least important
feature from Data
MaxMeanAcc = LMeanAcc
N
Number of iterations is reached?
Y
Output Data
Fig. 1  Flowchart of RFFS implementation
is set as the number of features in Data. The output of the
RFFS is Data with the least important features removed.
3 Self‑adaptive preference model RFFS‑DT
The preference model is built on a set of currently nondomi-
nated solutions with a subset of truncated features by the
RFFS, in which the DM’s preference feedback is used for
class labels. Since the truncated feature subset can be var-
ied during the decision-making process, the function-based
model is not suitable due to its preselected function form
with fixed variables/features. Given a dataset, a classifier
can be induced by a learning algorithm without the need for
a preselected structure form, which means that any classifier
can be used as the preference model for the DM’s variable
preference features. However, many opaque classifiers, such
as neural networks and Bayesian classifiers, cannot give a
clear interpretation of their classification results. An ensem-
ble classifier, even though its members may be transparent,
produces output based on a majority vote among its mem-
bers and hence provides no explanation of its classification.
International Journal of Machine Learning and Cybernetics
The decision tree [47] is a sequential model; each path
from a root node to a leaf node represents a classification
rule that closely resembles human reasoning and is thus easy
to understand. Due to its superiority in terms of comprehen-
sibility a decision tree would make the DM feel more com-
fortable than a black-box model. Furthermore, as the DM’s
understanding of the problem improves by learning the deci-
sion tree’s classification rules, his or her preference feedback
may become more confident. As a result, the convergence of
the interactive decision process can be accelerated.
The decision tree (DT)-based preference model is com-
pletely self-adapted to the DM’s preference feedback. At
each interaction, the DM is provided a set of nondominated
solutions with a full set of features. In terms of the DM’s
preference feedback, the RFFS is applied to reduce unim-
portant features. The decision tree model then learns using
the same set of solutions with a subset of truncated features.
Without any assumptions, the generation of the DT-based
preference model during the interactive decision-making
process is dynamic and automatic. In terms of its inter-
pretability, the self-adaptive DT-based preference model
can fulfill the needs of a DM with uncertain and flexible
preferences.
To date, many decision tree induction algorithms have
been proposed [48, 49]. A CART (classification and regres-
sion tree) is employed in our IMCDM due to its simplicity
of implementation, high efficiency, efficacy and wide range
of successful applications [50, 51]. However, to use the MV
model for portfolio optimization, some issues related to the
DT-based preference model must be addressed.
3.1 Establishment of a unified sample space
As a classifier, a decision tree implicitly assumes that the
datasets to be processed are sampled from a space with com-
mon distribution characteristics. However, the DT-based
preference model in our IMCDM is built on a set of cur-
rently nondominated solutions. The different sets of non-
dominated solutions during the iteration process are pro-
duced from local Pareto fronts with different distribution
characteristics. Therefore, they should be mapped into one
space with common distribution characteristics so that the
DT-based preference model is built therein. For an optimi-
zation problem with M objectives, zl (l = 1, 2, …, M), the
nondominated solutions distributed on one Pareto front bal-
ance the objectives differently and can be transformed into
as represented by ratios using the following equation:
z five modules: the EMO, preference feedback, feature selec-
𝜁l = ∑ l (5)
l zl
As l 𝜁l = 1, all the points in space 𝛺= { l 𝜁l = 1}
∑ ∑
observe one characteristic distribution. Equation (5)
establishes a one-to-one map between a local Pareto front
of a multiobjective optimization problem and a unified sam-
ple space 𝛺.
In the MV model, we change objective (1) so that both
objectives (1) and (2) are minimizations, as given in (6) and
(7), respectively, and then apply (5) to them both.
N
∑
min z1 = 1 − f1 = 1 − 𝜔i 𝜇i (6)
i=1
N N
∑ ∑
min z2 = f2 = 𝜔i 𝜔j 𝜎ij (7)
i=1 j=1
As the return f1 in the MV model is less than one, z1 is
always positive, which avoids having a value of zero in the
denominator of Eq. (5).
3.2 Preference model’s guidance for the EMO
The objective of EMO is to produce a set of optimal and
representative solutions, and nondominance and diversity
[52] are used to order the generated solutions. However,
the ultimate goal of IMCDM is to search for a solution that
satisfies the DM [25, 28]. A satisfactory solution should be
optimal and reflect the DM’s preferences; thus, the generated
solutions should be evaluated by a nondominance model and
a preference model. Hence, in the EMO process of IMCDM,
the diversity is replaced by the preference model.
In our IMCDM for the MV model, nondominance and
preference model-based ordering is applied in two parts of
the EMO:
Production of child individuals. Child individuals are pro-
duced from parent individuals. To produce better children,
elitist parents are chosen according to nondominance and
preference model-based ordering.
Production of the child population. Not all the child
individuals produced are better than their parent individu-
als; thus, the two groups are merged and then ordered by
the nondominance and preference model to produce better
individuals.
4 Framework for interactive portfolio
optimization
The framework of our IMCDM for the MV model is
depicted in Fig. 2. This framework is mainly composed of
tion, preference model creation/update and model evalua-
tion. The input includes an instance of the MV model (by
instantiation) and the initial parameter values of IMCDM (by
initialization): s, the population size; max_t, the maximum
13

Instantiation and initialization
Run plain EMO
DM’s preference feedback
Model evaluation
RFFS based feature selection
Create/update
DT-based preference model
Run improved EMO
Terminal condition is met?
End
Fig. 2  Framework of our IMCDM for the MV model
number of generations; max_it, the maximum number of
interactions; gen (= max_t/max_it), the number of itera-
tions between two interactions; st, the number of solutions
presented to the DM for preference feedback. After instan-
tiation and initialization, a plain EMO with nondominance
and diversity-based ordering and selection runs for the
first gen iterations. After the first interaction, the DT-based
preference model is created, and then the improved EMO
with nondominance and preference model-based ordering
and selection runs for the next iterations. The two rankings
for the same set of solutions produced by the preference
model and the DM’s preference feedback are used for model
evaluation.
The DM can articulate his or her preferences in several
ways, such as evaluating each solution [30–32], ranking the
solutions [53–55] or conducting a pairwise comparison [25,
28, 29]. The qualitative pairwise comparison is the easiest
to implement for a DM with bounded rationality [26, 56];
hence, this method is adopted to obtain the DM’s preference
feedback. Meanwhile, Saaty’s AHP (analytical hierarchy
process) [57] is used to rank the solutions.
The terminal condition is either achieving DM satisfac-
tion (the best solution, i.e., the highest ranked solution) or
reaching the maximum number of iterations (max_t) or inter-
actions (max_it).
13
International Journal of Machine Learning and Cybernetics
5 Experimental evaluations
Experimental evaluation aims to verify the effectiveness of
our IMCDM for the MV model by comparing the proposed
preference model RFFS-DT and the function-based prefer-
ence model adopted in the literature. The examples used for
the MV model are generated from the well-known RESSET
financial research database, which includes a wide range of
data that are frequently cited for research on subjects such as
economics, finance, accounting, statistics and mathematics.
RESSET includes the latest data on daily to yearly scales,
and these data can be openly accessed (http://www.resse​
t.cn). For 2017, there are 2849 stocks in 18 categories. We
compute the average monthly return for each stock as its
expected return and randomly select one stock from each
category as an asset for the MV model. The 18 selected
stocks and their returns are listed in the appendix.
5.1 Comparative experimental design
As mentioned in the introduction, a normal IMCDM
includes an EMO, preference feedback and a preference
model. To verify the effectiveness of our proposed RFFS-
DT, IMCDM is run for the same EMO and preference feed-
back but different preference models.
Many EMOs can be used for the MV model. Among
them, NSGAII [3] and MOEA/D [4] are the most influential.
However, recent studies have shown that MOEA/D outper-
forms NSGAII both in terms of diversity and convergence
[29]; hence, MOEA/D is adopted.
Following the literature on IMCDM, we use functions to
mimic DM’s true preferences, by which the DM’s pairwise
comparison-based preference feedback is given. To validate
the comparative results, these functions are designed using
simple and complex formulas as follows:
V(f1 , f2 ) = 10f13 + 0.06f2 (8)
V(f1 , f2 ) = e3.1f1 + 2.64f2 (9)
V(f1 , f2 ) = − ln(f1 ) + 15.625f2 . (10)
These functions assume that only the objective functions
of the optimization problem influence the DM’s preferences.
To mimic the impact of additional factors on the DM’s pref-
erences, we derive another set of functions by appending a
term to the above three functions. We presume the additional
impact factor to be the decision variable x1 of asset no 1. The
derived preference functions are given below:
V(f1 , f2 , x1 ) = 10f13 + 0.06f2 + 0.05x1 (11)
International Journal of Machine Learning and Cybernetics

V(f1 , f2 , x1 ) = e3.1f1 + 2.64f2 + 0.05x1 (12) methods, it inherits the same value for st. In this paper, we
study the effect of two other parameters, max_it and gen, on
our method and determine their optimal values.
V(f1 , f2 , x1 ) = − ln(f1 ) + 15.625f2 + 0.05x1 . (13)
We compare RFFS-DT with the function-based prefer- 5.2 Comparative results
ence models in two cases: a DM with a stable preference
during the decision-making process and a DM with a vari-
able preference during the decision-making process. In the (1) DM with a stable preference
first case, the DM’s preference feedback is given by func-
tions (8)–(13). In the second case, the DM’s preference Tables 1, 2, and 3 show the results of a comparison of
feedback is given by functions (8)–(10) and by functions three preference models; the DM’s preference feedback is
(11)–(13) in different stages of interaction. The two most given based on the polynomial function (8), exponential
cited function-based preference models in the literature are function (9) and logarithmic function (10).
employed for a comparison; these functions are the linear From Table 1, we can see that G-PM has the minimum
function [27] and the general polynomial function [25, 28, DIFF and highest ACC​ (see line 4 in Table 1). Thus, the
29], and they are denoted by L-PM and G-PM, respectively. best solution provided by G-PM is the closest to the DM’s
Two criteria are used to evaluate the effectiveness of most satisfactory solution; however, G-PM is most capable
the different preference models. The first criterion is that of capturing the DM’s preferences. This is because the DM’s
adopted in the literature [25, 28, 29], i.e., the difference/dis- preference is formulated by a specific polynomial function,
tance between the DM’s truly preferred solution determined which can be easily adapted by G-PM, a general polynomial
by the preference function and the best solution produced function. The DIFF and ACC​values produced by RFFS-DT
by the preference model, denoted by DIFF, and the other (see line 2 in Table 1) show that our proposed dynamic fea-
is the accuracy of the preference model, denoted by ACC​. ture analysis-based decision tree preference model can also
The accuracy of the preference model is defined as the per- approximate the DM’s polynomial function-based prefer-
centage of currently nondominated solutions with rankings ence. L-PM (see line 3 in Table 1) shows the worst perfor-
(given by the DM’s preference feedback) that are correctly mance and illustrates that if the function used for modeling
predicted by the preference model. Accuracy represents the
overall reflection of the preference model’s capability to cap-
Table 1  Comparative results under a polynomial function-based pref-
ture the DM’s preference feedback.
erence
The values of the parameters described in Sect. 4 are
set as follows: s = 100, max_t = 100, max_it = 20, gen = 5 Preference models DIFF ACC​
and st = 5. The MV model is a two-objective optimization RFFS-DT 24.65E−09 0.925
problem. We find that a normal MOEA/D with a popula- L-PM 573.05E−09 0.4416
tion size s = 100 and a maximum number of generations G-PM 1.85E−09 0.9845
max_t = 100 can obtain a set of nondominated solutions that
is very close to the true Pareto front. Since our aim is not
to boost MOEA/D performance by fine tuning its param-
Table 2  Comparative results under an exponential function-based
eters but rather to show the improvements achieved by our
preference
novel RFFS-DT for IMCDM, as in [28, 29], we give only the
default values of the two parameters that are usually associ- Preference models DIFF ACC​
ated with the evolutionary algorithm and focus on the three RFFS-DT 0.55E−09 0.936
parameters that are specifically introduced to IMCDM and L-PM 227.12E−09 0.6735
directly impact its performance. First, we choose the default G-PM 5.87E−09 0.84
value for st, which is the number of solutions presented to
the DM for pairwise comparison. Of course, if additional
solutions are offered for feedback, a more appropriate pref-
Table 3  Comparative results under a logarithmic function-based pref-
erence model can be derived; however, this choice will sig-
erence
nificantly increase the DM’s cognitive load. To maintain a
reasonable per-interaction burden on the DM, st is fixed to Preference models DIFF ACC​
5 in the IMCDM [28, 29] ([29] used the same evolution- RFFS-DT 1.79E−07 0.96
ary algorithm MOEA/D as our IMCDM). As our IMCDM L-PM 257.76E−07 0.5468
adopted the same form of preference feedback as these G-PM 12.57E−07 0.82

13

preference has a different form from the one used for the
DM’s preference, it is impossible to capture the DM’s true
preference and unlikely to return a satisfactory solution to
the DM. In other cases, the DM’s preference is shaped by
complex functions such as exponential and logarithmic func-
tions rather than a polynomial function; the results of the
comparison are provided in Tables 2 and 3 show that our
proposed RFFS-DT exhibits the best capability to adapt to
the DM’s preference. Any polynomial function-based pref-
erence model, whether it is L-PM or G-PM, is not suitable
for modeling the DM’s preference with respect to the DIFF
and ACC​values.
Tables 4, 5, and 6 present the results of the comparison
under the DM’s preferences formulated by functions (11),
(12) and (13), respectively. These preference functions
include an additional impact factor term. The performance
of L-PM and G-PM deteriorate considerably, while the
RFFS-DT maintains nearly the same level of performance as
before. As mentioned earlier, both L-PM and G-PM have a
predetermined form (composed of only objective functions)
and cannot embed new terms; therefore, if the change in
the DM’s preference is caused by additional impact factors,
they cannot be adjusted to fit the DM’s true preference only
by updating the coefficient of each term. However, since
the RFFS-DT is built based on dynamic feature analysis, its
structure can adapt to any change in the DM’s preferences.
Table 4  Comparative results under a polynomial function-based pref-
erence with an additional impact factor
Preference models DIFF
RFFS-DT 25.61E−09
L-PM 946.13E−09
G-PM 30.25E−09
Table 5  Comparative results under an exponential function-based
preference with an additional impact factor
Preference models DIFF
RFFS-DT 0.57E−09
L-PM 602.08E−09
G-PM 13.62E−09
Table 6  Comparative results under a logarithmic function-based pref-
erence with an additional impact factor
Preference models DIFF
RFFS-DT 1.66E−07
L-PM 559.98E−07
G-PM 30.03E−07
13
International Journal of Machine Learning and Cybernetics
Furthermore, in contrast to the results shown in Table 1,
the results in Table 4 show that the G-PM’s performance
deteriorates to a greater degree than that of RFFS-DT, thus
confirming that the functional structure has more influence
than the functional parameter in terms of modeling the DM’s
preference.
(2) DM with variable preferences
In this case, the DM’s preference feedback is given based
on functions (8), (9) and (10) for interaction intervals [1,
10], [11, 20] and [21, 40], respectively. We compare only
the performance of RFFS-DT and G-PM since L-PM has
been proven to be the worst preference model in the simple
case of a DM with a stable preference. Table 7 shows the
results of the comparison. It is seen from the DIFF and ACC​
values that RFFS-DT can better capture the DM’s variable
preferences than G-PM.
To gain insight into how the two preference models adapt
to variable preferences during the decision-making process,
we present the ACC​values for each interaction (see Fig. 3).
In the interaction interval [1, 10], the G-PM is more capa-
ble of being adapted to the DM’s preference than RFFS-DT
since the DM’s preference is restricted to a polynomial func-
tion, which is consistent with the previous result shown in
Table 1. In the interaction intervals [11, 20] and [21, 40],
the RFFS-DT exhibits remarkable superiority in modeling
the DM’s preference using a nonpolynomial function, which
coincides with the results shown in Tables 2 and 3. Fur-
thermore, when the DM’s preference changes at interactions
ACC​ no. 11 and no. 21, the ACC​ values drop sharply to nearly
zero but increase in the following interactions. Obviously,
0.9162
RFFS-DT could recover to a much higher degree than G-PM
0.3205
between each pair of adjacent interactions.
0.7131
The results of a comparison between RFFS-DT and
G-PM are illustrated in Table 8 and Fig. 4 when the DM’s
preference feedback is given based on functions (11), (12)
and (13) for the interaction intervals [1, 10], [11, 20] and
[21, 40], respectively. These preference functions are affili-
ACC​ ated with the terms of additional impact factors. IN contrast
to the results shown in Table 7, the results in Table 8 show
0.929
that the performance of RFFS-DT slightly decreases but that
0.4132
G-PM is considerably worse, which demonstrates the sig-
0.671
nificant effectiveness of dynamic feature analysis in building
the RFFS-DT. Furthermore, as shown in Fig. 3, the results of
the comparison shown in Fig. 4 reveal that, under dynamic
feature analysis, RFFS-DT can resume to a very high level of
ACC​ Table 7  Comparative results under variable preferences
Preference models DIFF ACC​
0.949
0.4014 RFFS-DT 0.00024025 0.89
0.603 G-PM 0.00036100 0.5468
International Journal of Machine Learning and Cybernetics

Fig. 3  Accuracy changes in the different stages of interactions

Table 8  Comparative results under variable preferences with addi- 5.3 Study of the effect of critical parameters
tional impact factors
Preference models DIFF ACC​ The effects of the two critical parameters, max_it and gen,
on our IMCDM is studied using the default values of the
RFFS-DT 0.00029307 0.8766
other three parameters, i.e., s, max_t and st. These three
G-PM 0.00078174 0.4380
default values were previously determined empirically as
well as analytically. Since max_t can be defined as a product
of max_it and gen, the values of parameters max_it and gen
accuracy in the same interaction period after a sharp change can be derived. Currently, we can study only the effect of
in the DM’s preference. Due to its predetermined functional either parameter, e.g., gen. In our parametric study, we select
structure, G-PM can resume to a level of accuracy that is the values of gen from the range [1, 10]. For each value of
much lower than that of RFFS-DT. gen, we test RFFS-DT on each of the preference functions
(8)–(13). For each value of gen and each preference function,

Fig. 4  Accuracy changes in the different stages of interaction with additional impact factors

13

our IMCDM is executed in several iterations, and then the
performance indices DIFF and ACC​are averaged. Figures 5
and 6 give the DIFF and ACC​ values changing with the
values of gen. In each figure, (a–f) correspond to preference
functions (8)–(13), respectively.
From these figures, we can see that, in general, the perfor-
mance of IMCDM decreases as the value of gen increases (a
large value of gen leads to a small number of interactions).
The rationale is that when the DM interacts more frequently,
the preference model RFFS-DT will be updated more often,
which means that the DM’s preference information can be
captured by the preference model in a timely and precise
manner, and as a result, a more satisfactory solution can be
found by using the preference model than by using other
models. Nevertheless, if the DM interacts less frequently, the
preference model will capture little preference information,
making it impossible for the search to focus on the DM’s
preferred solution.
In addition to performance measures, cognitive load
criteria must be considered when selecting the appropriate
Fig. 5  DIFF values change with the values of gen
13
International Journal of Machine Learning and Cybernetics
values for the parameters in IMCDM [23, 25]. For exam-
ple, the above figures show the best performance occurs
when gen = 1; however, the DM must provide his or her
preference information after each iteration, and the total
number of max_t interactions is typically beyond the scope
of a DM’s cognitive capability [26, 56]. Therefore, an
appropriate value for gen involves a compromise between
the number of interactions and the performance measures.
Figures 5 and 6 show that, in most cases, both DIFF and
ACC​ decrease mildly until gen = 5, i.e., the maximum
number of interactions, max_it = 20. Hence, these two
values are selected as the default values in the parameter
initialization for our comparative experiments.
6 Conclusions and future directions
For interactive portfolio optimization, this paper pro-
poses a self-adaptive preference model based on dynamic
feature analysis, RFFS-DT, to capture the DM’s complex
International Journal of Machine Learning and Cybernetics
Fig. 6  ACC​values change with the values of gen
preferences during the decision-making process. We first
define three categories of impact factors that may influence
the DM’s preferences and designed a random-forest-based
feature selection method. After each interaction during the
decision process, RFFS is applied to the DM’s preference
feedback to obtain a set of solutions for discerning the DM’s
true preference impact factors. Then, RFFS-DT is built and
updated in terms of the selected features (i.e., impact fac-
tors). In contrast to the current function-based preference
models used in the literature, RFFS-DT is based on the very
general assumption that the DM’s preference structure is
unknown a priori and that his or her preference impact fac-
tors may change unpredictably during the decision-making
process. A comparison of the experimental results demon-
strates the effectiveness of our proposed RFFS-DT, espe-
cially when no information about the DM’s preferences is
available. However, in a real application such as portfolio
optimization, it is unrealistic to assume a certain structure
form and impact factors of the DM’s preference in advance.
Thus, the self-adaptiveness of our proposed RFFS-DT pro-
vides an effective solution for such complicated scenarios.
In terms of machine learning, IMCDM is a process of
target concept (i.e., DM’s true preference) learning from the
DM’s preference feedback. Similar to the IMCDMs in the
literature, our IMCDM adopts a passive learning strategy;
i.e., at each interaction, a certain number of solutions are
randomly selected from the current set of nondominated
solutions for class labeling and preference learning. The
randomly selected sample by passive learning is focused on
diversity but is short of informativeness. Recent studies have
shown that by incorporating diversity and informativeness
into the sample selection, the number of examples needed
13
 International Journal of Machine Learning and Cybernetics

for learning a target concept can be greatly decreased [58,
59]. In future research on our IMCDM, this sampling strat-
egy-based active learning may provide an innovative method
to reduce the number of solutions presented to the DM for
preference feedback at each interaction.
The decision tree-based preference model exhibits more
flexibility in modeling DM’s complicated preferences than
the function-based preference models. However, due to the
intrinsic overfitting, it is unlikely to give full consideration
of the DM’s preference uncertainty in the decision-mak-
ing process. Ambiguity-based active learning [60, 61] is
an alternative to building a more robust preference model
for our IMCDM. Because the preference model is used to
predict the class label for the next generated nondominated
solutions, it should retain considerable generalizability while
taking into consideration the DM’s preference uncertainty.
An appropriate compromise between the generalizability
and uncertainty [62, 63] of a preference model will make
the model robust to the DM’s variable preferences without
any prior knowledge in the decision process and hence help
reduce the number of interactions in our IMCDM.
Acknowledgments The authors thank the referee for his or her com-
ments on the manuscript. This work was supported in part by the
NSFS under Grant No. ZR2016FM27and by the NSFC under Grant
No. 61702139.
Appendix
See Table 9.

Table 9  The 18 selected stocks Stock category and code Company Company in short Expected return
and their returns stock code

Agriculture, forestry, husbandry, fishery (A) 000998 Longping HiTech 0.017050

Mining (B) 600028 Sinopec 0.015300
Manufacturing (C) 600519 Guizhou Moutai 0.065458
Electricity, heating, gas, water, supply (D) 600900 Yangtze Power 0.021958
architecture (E) 002310 Eastern garden 0.032633
Wholesale, retailer (F) 002251 BBK 0.011300
Transportation, storage, post (G) 601111 Air China 0.049533
Accommodation, catering (H) 600754 Jinjiang stake 0.010600
Information (I) 002230 iFlytek 0.076600
Finance (J) 600036 CMBC 0.046683
Estate (K) 000002 Shenzhen Vanke 0.040292
Lease, business service (L) 601888 CITS 0.063708
Science, technique (M) 002178 Yanhua Intel 0.038308
Irrigation, environment, infrastructure (N) 000069 OCT A 0.020350
Education (P) 603377 Oriental Fashion 0.002617
Sanitation, society (Q) 300015 Aier Eye 0.038658
Culture, PE, entertainment (R) 002624 Excel Glob 0.011650
Composite (S) 600455 Broadcom shares 0.057975

13
International Journal of Machine Learning and Cybernetics

References 22. Miettinen K, Mäkelä MM, Kaario K (2006) Experiments with

classification-based scalarizing functions in interactive multi-
objective optimization. Eur J Oper Res 175(2):931–947
1. Markowitz H (1952) Portfolio selection. J Financ 7(1):77–91
23. Luque M, Miettinen K, Eskelinen P, Ruiz F (2009) Incorporating
2. Markowitz H (1959) Portfolio selection: efficient diversification
preference information in interactive reference point methods for
of investments. John Wiley and Sons, New York
multi-objective optimization. Omega 37(2):450–462
3. Deb K, Pratap A, Agarwal S, Meyarivan T (2002) A fast and elit-
24. Vallerio M, Hufkens J, Van IJ, Logist F (2015) An interactive
ist multi-objective genetic algorithm: NSGA-II. IEEE Trans Evol
decision-support system for multi-objective optimization of
Comput 6(2):182–197
nonlinear dynamic processes with uncertainty. Expert Syst Appl
4. Zhang Q, Li H (2007) MOEA/D: a multi-objective evolution-
42(21):7710–7731
ary algorithm based on decomposition. IEEE Trans Evol Comput
25. Battiti R, Passerini A (2010) Brain-computer evolutionary multi-
11(6):712–731
objective optimization: a genetic algorithm adapting to the deci-
5. Xin B, Chen L, Chen J, Ishibuchi H, Hirota K, Liu B (2018) Inter-
sion maker. IEEE Trans Evol Comput 14(5):671–687
active multiobjective optimization: a review of the state-of-the-art.
26. Larichev O (1992) Cognitive validity in design of decision aiding
IEEE Access 6:41256–41279
techniques. J Multi-Criteria Decis Anal 1(3):127–138
6. Bonissone PP, Subbu R, Lizzi J (2009) Multi-criteria decision
27. Pascoletti A, Serafini P (1984) Scalarizing vector optimization
making: a framework for research and applications. IEEE Comput
problems. J Optim Theory Appl 42(4):499–524
Intell Mag 4(3):48–61
28. Deb K, Sinha A, Korhonen PJ, Wallenius J (2010) An interac-
7. Ozbey O, Karwan MH (2014) An interactive approach for mul-
tive evolutionary multi-objective optimization method based on
ticriteria decision making using a Tchebycheff Utility function
progressively approximated value functions. IEEE Trans Evol
approximation. J Multi-Criteria Decis Anal 21(3–4):153–172
Comput 14(5):723–739
8. Ruiz AB, Saborido R, Luque M (2015) A preference-based evo-
29. Mukhlisullina D, Passerini A, Battiti R (2013) Learning to diver-
lutionary algorithm for multi-objective optimization: the weight-
sify in complex interactive multi-objective optimization. Proceed-
ing achievement scalarizing function genetic algorithm. J Global
ings of the 10th Metaheuristics International Conference, Singa-
Optim 62(1):101–129
pore Management University pp. 230–239
9. Li L, Wang Y, Trautmann H, Jing N, Emmerich M (2018) Multi-
30. Sun M, Stam A, Steuer RE (2000) Interactive multiple objective
objective evolutionary algorithms based on target region prefer-
programming using tchebycheff programs and artificial neural
ences. Swarm Evol Comput 40:196–215
networks. Comput Oper Res 27(7):601–620
10. Li L, Yevseyeva I, Basto-Fernandes V, Trautmann H, Jing N
31. Sun M, Stam A, Steuer RE (1996) Solving multiple objective pro-
(2017) Building and using an ontology of preference-based mul-
gramming problems using feed-forward artificial neural networks:
tiobjective evolutionary algorithms. Int Conf Evol Multi-Criterion
the interactive FFANN procedure. Manag Sci 42(6):835–849
Optim 10173:406–421
32. Huang HZ, Tian Z, Zuo MJ (2005) Intelligent interactive multi-
11. Köksalan M, Wallenius J, Zionts S (2013) An early history of
objective optimization method and its application to reliability
multiple criteria decision making. J Multi-Criteria Decis Anal
optimization. IIE Trans 37(11):983–993
20(1–2):87–94
33. Zhang H, Llorca J, Davis CC et al (2012) Nature-inspired self-
12. Phelps SP, Koksalan M (2003) An interactive evolutionary
organization, control, and optimization in heterogeneous wireless
metaheuristic for multi-objective combinatorial optimization.
networks. IEEE Trans Mob Comput 11(7):1207–1222
Manag Sci 49(12):1726–1738
34. Zhang H, Cao X, Ho JKL et al (2017) Object-level video adver-
13. Branke J, Corrente S, Greco S, Słowi´nski R, Zielniewicz P
tising: an optimization framework. IEEE Trans Industr Inf
(2016) Using choquet integral as preference model in interac-
13(2):520–531
tive evolutionary multiobjective optimization. Eur J Oper Res
35. Qamar N, Akhtar N, Younas I (2018) Comparative analysis of
250(3):884–901
evolutionary algorithms for multi-objective travelling salesman
14. Pedro LR, Takahashi RHC (2014) INSPM: an interactive evolu-
problem. Int J Adv Comput Sci Appl 9(2):371–379
tionary multi-objective algorithm with preference model. Inf Sci
36. Masmoudi M, Abdelaziz FB (2018) Portfolio selection problem: a
268(1):202–219
review of deterministic and stochastic multiple objective program-
15. Greco S, Ehrgott M, Figueira JR (2016) Multiple criteria decision
ming models. Ann Oper Res 267(1–2):335–352
analysis state of the art surveys. Springle, New York
37. Källblad S (2017) Risk-and ambiguity-averse portfolio opti-
16. Miettinen K, Mäkelä MM (2002) On scalarizing functions in mul-
mization with quasicon-cave utility functionals. Financ Stoch
tiobjective optimization. OR Spectr 24(2):193–213
21(2):397–425
17. Deb K, Sundar J (2006) Reference point based multi-objective
38. Lwin KT (2015) Evolutionary approaches for portfolio optimiza-
optimization using evolutionary algorithms. Proceedings of the
tion. Dissertation, University of Nottingham
8th ACM annual conference on Genetic and evolutionary com-
39. Gutjahr WJ, Pichler A (2016) Stochastic multi-objective opti-
putation pp. 635–642
mization: a survey on non-scalarizing methods. Ann Oper Res
18. Klamroth K, Miettinen K (2008) Integrating approximation and
236(2):475–499
interactive decision making in multicriteria optimization. Oper
40. Brucker P, Knust S (2012) Resource-constrained project schedul-
Res 56(1):222–234
ing in: complex scheduling. GOR-Publications
19. Wang R, Purshouse RC, Fleming PJ (2013) Preference-inspired
41. Miettinen K, Ruiz F, Wierzbicki AP (2008) Introduction to multi-
coevolutionary algorithms for many-objective optimization. IEEE
objective optimization: interactive approaches. In: Multiobjective
Trans Evol Comput 17(4):474–494
Optimization, pp 27–57
20. Goulart F, Campelo F (2016) Preference-guided evolutionary
42. Breiman L (2001) Random forests. Mach Learn 45(1):5–32
algorithms for many-objective optimization. Inf Sci 329:236–255
43. Biau G, Devroye L, Lugosi G (2008) Consistency of ran-
21. Miettinen K, Mäkelä MM (2006) Synchronous approach
dom forests and other averaging classifiers. J Mach Learn Res
in interactive multi-objective optimization. Eur J Oper Res
9(1):2015–2033
170(3):909–922
44. Mentch L, Hooker G (2014) Quantifying uncertainty in random
forests via confidence intervals and hypothesis tests. J Mach Learn
Res 17(1):841–881

13

45. Verikas A, Gelzinis A, Bacauskiene M (2011) Mining data with
random forests: a survey and results of new tests. Pattern Recogn
44(2):330–349
46. Marill T, Green D (1963) On the effectiveness of receptors in
recognition systems. IEEE Trans Inf Theory 9(1):11–17
47. Grabczewski K (2014) Meta-learning in decision tree induction.
Springer International Publishing, Berlin
48. Safavin SR, Landgrebe D (1991) A survey of decision tree clas-
sifier methodology. IEEE Trans Syst Man Cybern 21(3):660–674
49. Zhang H, Singer BH (2010) Recursive partitioning and applica-
tions. Springer, New York
50. Breiman L, Friedman J, Olshen R, Stone C (1984) Classification
and regression trees. Chapman & Hall, New York
51. Wang R, Kwong S, Wang XZ, Jiang QS (2015) Segment based
decision tree induction with continuous valued attributes. IEEE
Trans Cybern 45(7):1262–1275
52. Bosman PAN, Thierens D (2003) The balance between proximity
and diversity in multi-objective evolutionary algorithms. IEEE
Trans Evol Comput 7(2):174–188
53. Fowler JW, Gel ES, Koksalan MM, Korhonen P, Marquis JL,
Wallenius J (2010) Interactive evolutionary multi-objective opti-
mization for quasi-concave preference functions. Eur J Oper Res
206(2):417–425
54. Sinha A, Korhonen P, Wallenius J, Deb K (2010) An interactive
evolutionary multi-objective optimization method based on poly-
hedral cones. Learn Intell Optim 6073(3):318–332
55. Koksalan M, Karahan I (2010) An interactive territory defin-
ing evolutionary algorithm: iTDEA. IEEE Trans Evol Comput
14(5):702–722
13
International Journal of Machine Learning and Cybernetics
56. Goulart F, Campelo F (2016) Preference-guided evolutionary
algorithms for many-objective optimization. Inf Sci 329:236–255
57. Saaty TL, Vargas LG (2017) Models, methods, concepts &
applications of the analytic hierarchy process. International
7(2):159–172
58. Wang R, Wang XZ, Kwong S, Xu C (2017) Incorporating diver-
sity and informativeness in multiple-instance active learning.
IEEE Trans Fuzzy Syst 25(6):1460–1475
59. Du B, Wang ZM, Zhang LF, Zhang LP, Liu W, Shen JL, Tao
DC (2015) Exploring representativeness and informativeness for
active learning. IEEE Trans Cybern 47(1):1–13
60. Wang R, Chow CY, Kwong S (2016) Ambiguity based multiclass
active learning. IEEE Trans Fuzzy Syst 24(1):242–248
61. Samat A, Gamba P, Liu SC (2018) Fuzzy multiclass active
learning for hyperspectral image classification. IET Image Proc
12(7):1–7
62. Wang XZ, Wang R, Xu C (2018) Discovering the relationship
between generalization and uncertainty by incorporating complex-
ity of classification. IEEE Trans Cybern 48(2):703–715
63. Wang XZ, Xing HJ, Li Y, Hua Q, Dong CR, Pedrycz W (2015) A
study on relationship between generalization abilities and fuzzi-
ness of base classifiers in ensemble learning. IEEE Trans Fuzzy
Syst 23(5):1638–1854
Publisher’s Note Springer Nature remains neutral with regard to
jurisdictional claims in published maps and institutional affiliations.