Using Column Generation to Solve Extensions to the Markowitz Model

We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such type of problems using a method similar to column generation. In this scheme, the original problem is restricted to a subset of the assets resulting in a master convex quadratic problem. Then the dual information of the master problem is used in a sub-problem to propose more assets to consider. We also consider other extensions to the Markowitz model to diversify the portfolio selection within the given intervals for active weights.Comment: 16 pages, 3 figures, 2 tables, 1 pseudocod

On Optimization Modulo Theories, MaxSMT and Sorting Networks

Optimization Modulo Theories (OMT) is an extension of SMT which allows for finding models that optimize given objectives. (Partial weighted) MaxSMT --or equivalently OMT with Pseudo-Boolean objective functions, OMT+PB-- is a very-relevant strict subcase of OMT. We classify existing approaches for MaxSMT or OMT+PB in two groups: MaxSAT-based approaches exploit the efficiency of state-of-the-art MAXSAT solvers, but they are specific-purpose and not always applicable; OMT-based approaches are general-purpose, but they suffer from intrinsic inefficiencies on MaxSMT/OMT+PB problems. We identify a major source of such inefficiencies, and we address it by enhancing OMT by means of bidirectional sorting networks. We implemented this idea on top of the OptiMathSAT OMT solver. We run an extensive empirical evaluation on a variety of problems, comparing MaxSAT-based and OMT-based techniques, with and without sorting networks, implemented on top of OptiMathSAT and {\nu}Z. The results support the effectiveness of this idea, and provide interesting insights about the different approaches.Comment: 17 pages, submitted at Tacas 1

Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması

Mean-variance portfolio optimization model, introduced by Markowitz, provides a fundamental answer to the problem of portfolio management. This model seeks an efficient frontier with the best trade-offs between two conflicting objectives of maximizing return and minimizing risk. The problem of determining an efficient frontier is known to be NP-hard. Due to the complexity of the problem, genetic algorithms have been widely employed by a growing number of researchers to solve this problem. In this study, a literature review of genetic algorithms implementations on mean-variance portfolio optimization is examined from the recent published literature. Main specifications of the problems studied and the specifications of suggested genetic algorithms have been summarized

Efficient Constellation-Based Map-Merging for Semantic SLAM

Data association in SLAM is fundamentally challenging, and handling ambiguity well is crucial to achieve robust operation in real-world environments. When ambiguous measurements arise, conservatism often mandates that the measurement is discarded or a new landmark is initialized rather than risking an incorrect association. To address the inevitable `duplicate' landmarks that arise, we present an efficient map-merging framework to detect duplicate constellations of landmarks, providing a high-confidence loop-closure mechanism well-suited for object-level SLAM. This approach uses an incrementally-computable approximation of landmark uncertainty that only depends on local information in the SLAM graph, avoiding expensive recovery of the full system covariance matrix. This enables a search based on geometric consistency (GC) (rather than full joint compatibility (JC)) that inexpensively reduces the search space to a handful of `best' hypotheses. Furthermore, we reformulate the commonly-used interpretation tree to allow for more efficient integration of clique-based pairwise compatibility, accelerating the branch-and-bound max-cardinality search. Our method is demonstrated to match the performance of full JC methods at significantly-reduced computational cost, facilitating robust object-based loop-closure over large SLAM problems.Comment: Accepted to IEEE International Conference on Robotics and Automation (ICRA) 201

Automated metamorphic testing on the analyses of feature models

Copyright © 2010 Elsevier B.V. All rights reserved.Context: A feature model (FM) represents the valid combinations of features in a domain. The automated extraction of information from FMs is a complex task that involves numerous analysis operations, techniques and tools. Current testing methods in this context are manual and rely on the ability of the tester to decide whether the output of an analysis is correct. However, this is acknowledged to be time-consuming, error-prone and in most cases infeasible due to the combinatorial complexity of the analyses, this is known as the oracle problem.Objective: In this paper, we propose using metamorphic testing to automate the generation of test data for feature model analysis tools overcoming the oracle problem. An automated test data generator is presented and evaluated to show the feasibility of our approach.Method: We present a set of relations (so-called metamorphic relations) between input FMs and the set of products they represent. Based on these relations and given a FM and its known set of products, a set of neighbouring FMs together with their corresponding set of products are automatically generated and used for testing multiple analyses. Complex FMs representing millions of products can be efficiently created by applying this process iteratively.Results: Our evaluation results using mutation testing and real faults reveal that most faults can be automatically detected within a few seconds. Two defects were found in FaMa and another two in SPLOT, two real tools for the automated analysis of feature models. Also, we show how our generator outperforms a related manual suite for the automated analysis of feature models and how this suite can be used to guide the automated generation of test cases obtaining important gains in efficiency.Conclusion: Our results show that the application of metamorphic testing in the domain of automated analysis of feature models is efficient and effective in detecting most faults in a few seconds without the need for a human oracle.This work has been partially supported by the European Commission(FEDER)and Spanish Government under CICYT project SETI(TIN2009-07366)and the Andalusian Government project ISABEL(TIC-2533)