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Optimal selection of interdependent IT Projects for implementation in multi periods has been challenging in the framework of real option valuation. This paper presents a mathematical optimization model for multi-stage portfolio of IT…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
Simulated annealing (SA) is a key algorithm for solving combinatorial optimization problems, which model numerous real-world systems. While SA is commonly used to solve quadratic unconstrained binary optimization (QUBO) problems, many…
In recent years, Signal Temporal Logic (STL) has gained traction as a practical and expressive means of encoding control objectives for robotic and cyber-physical systems. The state-of-the-art in STL trajectory synthesis is to formulate the…
The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer…
We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued constraints and propose an extended version of…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…
High-dimensional portfolio optimization faces significant computational challenges under complex constraints, with traditional optimization methods struggling to balance convergence speed and global exploration capability. To address this,…
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…
We present an efficient transcription method for highly oscillatory optimal control problems. For these problems, the optimal state trajectory consists of fast oscillations that change slowly over the time horizon. Out of a large number of…
We continue to investigate the use of quantum computers for building an optimal portfolio out of a universe of 60 U.S. listed, liquid equities. Starting from historical market data, we apply our unique problem formulation on the D-Wave…
The online portfolio selection (OLPS) problem differs from classical portfolio model problems, as it involves making sequential investment decisions. Many OLPS strategies described in the literature capture market movement based on various…
Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…
This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at…
We present a semi-infinite program (SIP) solver for trajectory optimizations of general articulated robots. These problems are more challenging than standard Nonlinear Program (NLP) by involving an infinite number of non-convex, collision…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
In this paper, we present an exact algorithm for optimizing two linear fractional over the efficient set of a multi-objective integer quadratic problem. This type of problems arises when two decision-makers, such as firms, each have a…
We study the solution of a large-scale transportation problem with an additional constraint on the sparsity of inbound flows. Such problems arise in the management of inventory for online retailers that operate with many order fulfillment…
An investment portfolio consists of $n$ algorithmic trading strategies, which generate vectors of positions in trading assets. Sign opposite trades (buy/sell) cross each other as strategies are combined in a portfolio. Then portfolio…