1,900 research outputs found
Cover-Encodings of Fitness Landscapes
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
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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