A New VNS Metaheuristic Using MADS as a Local Optimizer

We propose a new hybrid metaheuristic VNSMADS that is an implementation of the Variable Neighbourhood Search (VNS) algorithm with the Mesh Adaptive Direct Search (MADS) as the local search. Because MADS is a Derivative‐Free Optimization method, the targeted problems may be non‐smooth on black box functions possessing several local optima. Constraints other than bounds on the variables are not considered. VNSMADS is applied on a real‐world problem from Finance: the portfolio selection problem using the investor preferences. Numerical results show the efficiency of our approach. Copyright © 2012 John Wiley & Sons, Ltd.