9,425 research outputs found
Cut Size Statistics of Graph Bisection Heuristics
We investigate the statistical properties of cut sizes generated by heuristic
algorithms which solve approximately the graph bisection problem. On an
ensemble of sparse random graphs, we find empirically that the distribution of
the cut sizes found by ``local'' algorithms becomes peaked as the number of
vertices in the graphs becomes large. Evidence is given that this distribution
tends towards a Gaussian whose mean and variance scales linearly with the
number of vertices of the graphs. Given the distribution of cut sizes
associated with each heuristic, we provide a ranking procedure which takes into
account both the quality of the solutions and the speed of the algorithms. This
procedure is demonstrated for a selection of local graph bisection heuristics.Comment: 17 pages, 5 figures, submitted to SIAM Journal on Optimization also
available at http://ipnweb.in2p3.fr/~martin
Optimization of Trading Physics Models of Markets
We describe an end-to-end real-time S&P futures trading system. Inner-shell
stochastic nonlinear dynamic models are developed, and Canonical Momenta
Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell
trading models dependent on these indicators. Recursive and adaptive
optimization using Adaptive Simulated Annealing (ASA) is used for fitting
parameters shared across these shells of dynamic and trading models
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