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    Cover-Encodings of Fitness Landscapes

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    The traditional way of tackling discrete optimization problems is by using local search on suitably defined cost or fitness landscapes. Such approaches are however limited by the slowing down that occurs when the local minima that are a feature of the typically rugged landscapes encountered arrest the progress of the search process. Another way of tackling optimization problems is by the use of heuristic approximations to estimate a global cost minimum. Here we present a combination of these two approaches by using cover-encoding maps which map processes from a larger search space to subsets of the original search space. The key idea is to construct cover-encoding maps with the help of suitable heuristics that single out near-optimal solutions and result in landscapes on the larger search space that no longer exhibit trapping local minima. We present cover-encoding maps for the problems of the traveling salesman, number partitioning, maximum matching and maximum clique; the practical feasibility of our method is demonstrated by simulations of adaptive walks on the corresponding encoded landscapes which find the global minima for these problems.Comment: 15 pages, 4 figure

    Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

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    We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding schemes, and present numerical examples that show high success rates. The formulation incorporates transaction costs (including permanent and temporary market impact), and, significantly, the solution does not require the inversion of a covariance matrix. The discrete multi-period portfolio optimization problem we solve is significantly harder than the continuous variable problem. We present insight into how results may be improved using suitable software enhancements, and why current quantum annealing technology limits the size of problem that can be successfully solved today. The formulation presented is specifically designed to be scalable, with the expectation that as quantum annealing technology improves, larger problems will be solvable using the same techniques.Comment: 7 pages; expanded and update
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