Deterministic Annealing and Nonlinear Assignment

For combinatorial optimization problems that can be formulated as Ising or Potts spin systems, the Mean Field (MF) approximation yields a versatile and simple ANN heuristic, Deterministic Annealing. For assignment problems the situation is more complex -- the natural analog of the MF approximation lacks the simplicity present in the Potts and Ising cases. In this article the difficulties associated with this issue are investigated, and the options for solving them discussed. Improvements to existing Potts-based MF-inspired heuristics are suggested, and the possibilities for defining a proper variational approach are scrutinized.Comment: 15 pages, 3 figure

Adiabatic evolution on a spatial-photonic Ising machine

Combinatorial optimization problems are crucial for widespread applications but remain difficult to solve on a large scale with conventional hardware. Novel optical platforms, known as coherent or photonic Ising machines, are attracting considerable attention as accelerators on optimization tasks formulable as Ising models. Annealing is a well-known technique based on adiabatic evolution for finding optimal solutions in classical and quantum systems made by atoms, electrons, or photons. Although various Ising machines employ annealing in some form, adiabatic computing on optical settings has been only partially investigated. Here, we realize the adiabatic evolution of frustrated Ising models with 100 spins programmed by spatial light modulation. We use holographic and optical control to change the spin couplings adiabatically, and exploit experimental noise to explore the energy landscape. Annealing enhances the convergence to the Ising ground state and allows to find the problem solution with probability close to unity. Our results demonstrate a photonic scheme for combinatorial optimization in analogy with adiabatic quantum algorithms and enforced by optical vector-matrix multiplications and scalable photonic technology.Comment: 9 pages, 4 figure

Portfolio selection using neural networks

In this paper we apply a heuristic method based on artificial neural networks in order to trace out the efficient frontier associated to the portfolio selection problem. We consider a generalization of the standard Markowitz mean-variance model which includes cardinality and bounding constraints. These constraints ensure the investment in a given number of different assets and limit the amount of capital to be invested in each asset. We present some experimental results obtained with the neural network heuristic and we compare them to those obtained with three previous heuristic methods.Comment: 12 pages; submitted to "Computers & Operations Research

Asymptotic behavior of memristive circuits

The interest in memristors has risen due to their possible application both as memory units and as computational devices in combination with CMOS. This is in part due to their nonlinear dynamics, and a strong dependence on the circuit topology. We provide evidence that also purely memristive circuits can be employed for computational purposes. In the present paper we show that a polynomial Lyapunov function in the memory parameters exists for the case of DC controlled memristors. Such Lyapunov function can be asymptotically approximated with binary variables, and mapped to quadratic combinatorial optimization problems. This also shows a direct parallel between memristive circuits and the Hopfield-Little model. In the case of Erdos-Renyi random circuits, we show numerically that the distribution of the matrix elements of the projectors can be roughly approximated with a Gaussian distribution, and that it scales with the inverse square root of the number of elements. This provides an approximated but direct connection with the physics of disordered system and, in particular, of mean field spin glasses. Using this and the fact that the interaction is controlled by a projector operator on the loop space of the circuit. We estimate the number of stationary points of the approximate Lyapunov function and provide a scaling formula as an upper bound in terms of the circuit topology only.Comment: 20 pages, 8 figures; proofs corrected, figures changed; results substantially unchanged; to appear in Entrop