LLMDE: A Large Language Model-Driven Differential Evolution Algorithm for Portfolio Optimization

Mathematical optimization is a powerful tool for structured decision-making across domains such as resource allocation and planning. Formulating optimization models faithful to reality, though, remains a significant bottleneck as it typically demands both domain expertise and optimization knowledge that are often scarce. Recent advances in large language models (LLMs) promise to bridge this gap, enabling the generation of candidate optimization models from natural language descriptions. However, there is no guarantee that any single LLM-generated model is reliable, and existing approaches that output only one model are therefore risky. In this work, we propose a novel algorithm that generates a portfolio of optimization models, designed to be robust to the limitations of LLMs. Our method exploits the observation that a single LLM can play two distinct roles $\unicode{x2014}$ as a stochastic generator and as a reasoning evaluator $\unicode{x2014}$ and proposes a unified framework that leverages both capabilities in a complementary manner. We provide theoretical guarantees showing that, as long as either the generator or the evaluator is well-aligned with human preferences, the portfolio is guaranteed to contain high-quality candidates, enabling a principled human-in-the-loop process in which a decision-maker can review multiple candidates before committing to one. We further validate our approach empirically, demonstrating strong performance across a range of optimization modeling tasks.

Designing effective multi-objective Bayesian optimization (MOBO) algorithms requires balancing many interdependent design choices whose optimal configuration is problem-dependent and typically demands deep expertise. We extend the LLaMEA framework to MOBO, using large language models as mutation and crossover operators within evolutionary strategies to generate complete algorithm implementations, with SMAC hyperparameter optimization integrated into the evolutionary loop. Across nine evolutionary runs we generated approximately 900 algorithms and benchmarked them on twelve synthetic problems (ZDT, DTLZ, WFG) and three real-world engineering problems (RE), using a BoFire qParEGO implementation as a state-of-the-art Bayesian-optimization baseline. On the synthetic suite the strongest generated algorithm attains the highest mean normalized hypervolume (0.971, vs. 0.869 for qParEGO) while requiring roughly 60x less wall-clock time; a Friedman test with post-hoc analysis places the two in a single top-performing group, and per-problem tests find the generated algorithm significantly better than qParEGO on 7 of the 12 problems and never worse, matching state-of-the-art accuracy at an order-of-magnitude lower cost. On the three unseen real-world engineering problems a generated algorithm attains the best mean normalized hypervolume (0.985, vs. 0.971 for qParEGO)--significantly better than qParEGO on two of the three problems--at roughly 3.4x lower wall-clock cost, confirming that the gains transfer beyond the synthetic regime. LLM-driven evolutionary search can thus discover algorithm designs that achieve Pareto-efficient trade-offs difficult to reach through manual design.

Large language models (LLMs) are increasingly integrated with evolutionary computation to support optimization tasks. This survey primarily focuses on evolutionary optimization, i.e., optimization based on evolutionary computation. For brevity, we use the term optimization throughout to denote this scope. However, existing surveys typically examine isolated roles of LLMs and do not provide a unified view that connects optimization modeling with optimization solving. To address this gap, we systematically review recent developments through a workflow-oriented framework. First, we organize the literature into two primary stages: LLMs for optimization modeling and LLMs for optimization solving (in this survey, the terms optimization modeling and optimization solving are used as concise forms of optimization problem modeling and optimization problem solving, respectively). Second, we divide the solving stage into three paradigms according to the role of the LLM: stand-alone optimizers, low-level components embedded in optimization algorithms, and high-level managers for algorithm selection and generation. Third, we analyze representative methods, identify their technical limitations, and clarify their relationships with traditional optimization approaches. We further substantiate this taxonomy through benchmark systematization, baseline comparisons, and practitioner-oriented guidance, and we review interdisciplinary applications across the natural sciences, engineering, and machine learning. Based on the resulting analysis, we identify research directions toward dynamic, self-evolving, and agentic optimization ecosystems. An up-to-date collection of related literature is maintained at https://github.com/ishmael233/LLM4OPT.