Many good evolutionary algorithms have been proposed in the
past. However, frequently, the question arises that given a
problem, one is at a loss of which algorithm to choose. In this
paper, we propose a novel algorithm portfolio approach to address
the above problem. A portfolio of evolutionary algorithms is first
formed. Artificial Bee Colony (ABC), Covariance Matrix
Adaptation Evolutionary Strategy (CMA-ES), Composite DE
(CoDE), Particle Swarm Optimization (PSO2011) and Self
adaptive Differential Evolution (SaDE) are chosen as component
algorithms. Each algorithm runs independently with no
information exchange. At any point in time, the algorithm with the
best predicted performance is run for one generation, after which
the performance is predicted again. The best algorithm runs for
the next generation, and the process goes on. In this way,
algorithms switch automatically as a function of the
computational budget. This novel algorithm is named Multiple
Evolutionary Algorithm (MultiEA). Experimental results on the
full set of 25 CEC2005 benchmark functions show that MultiEA
outperforms i) Multialgorithm Genetically Adaptive Method for
Single Objective Optimization (AMALGAM-SO); ii) Populationbased
Algorithm Portfolio (PAP); and iii) a multiple algorithm
approach which chooses an algorithm randomly (RandEA). The
properties of the prediction measures are also studied. The
portfolio approach proposed is generic. It can be applied to
portfolios composed of non-evolutionary algorithms as well.