A Regularized Newton Method for Computing Ground States of Bose-Einstein condensates

In this paper, we propose a regularized Newton method for computing ground states of Bose-Einstein condensates (BECs), which can be formulated as an energy minimization problem with a spherical constraint. The energy functional and constraint are discretized by either the finite difference, or sine or Fourier pseudospectral discretization schemes and thus the original infinite dimensional nonconvex minimization problem is approximated by a finite dimensional constrained nonconvex minimization problem. Then an initial solution is first constructed by using a feasible gradient type method, which is an explicit scheme and maintains the spherical constraint automatically. To accelerate the convergence of the gradient type method, we approximate the energy functional by its second-order Taylor expansion with a regularized term at each Newton iteration and adopt a cascadic multigrid technique for selecting initial data. It leads to a standard trust-region subproblem and we solve it again by the feasible gradient type method. The convergence of the regularized Newton method is established by adjusting the regularization parameter as the standard trust-region strategy. Extensive numerical experiments on challenging examples, including a BEC in three dimensions with an optical lattice potential and rotating BECs in two dimensions with rapid rotation and strongly repulsive interaction, show that our method is efficient, accurate and robust.Comment: 25 pages, 6 figure

Portfolio selection problems in practice: a comparison between linear and quadratic optimization models

Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional Value-at-Risk (LACVaR) models, where the assets are limited with the introduction of quantity and cardinality constraints. We propose a completely new approach for solving the LAM model, based on reformulation as a Standard Quadratic Program and on some recent theoretical results. With this approach we obtain optimal solutions both for some well-known financial data sets used by several other authors, and for some unsolved large size portfolio problems. We also test our method on five new data sets involving real-world capital market indices from major stock markets. Our computational experience shows that, rather unexpectedly, it is easier to solve the quadratic LAM model with our algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of the best commercial codes for mixed integer linear programming (MILP) problems. Finally, on the new data sets we have also compared, using out-of-sample analysis, the performance of the portfolios obtained by the Limited Asset models with the performance provided by the unconstrained models and with that of the official capital market indices