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Modeling parts of an optimization problem as an optimal value function that depends on a top-level decision variable is a regular occurrence in optimization and an essential ingredient for methods such as Benders Decomposition. It often…
The Portfolio Optimization task has long been studied in the Financial Services literature as a procedure to identify the basket of assets that satisfy desired conditions on the expected return and the associated risk. A well-known approach…
Classic cache-oblivious parallel matrix multiplication algorithms achieve optimality either in time or space, but not both, which promotes lots of research on the best possible balance or tradeoff of such algorithms. We study modern…
In this paper, we propose a nonlinear positivity-preserving finite volume element(FVE) scheme for anisotropic diffusion problems on quadrilateral meshes. Based on an overlapping dual partition, the one-sided flux is approximated by the…
The Ising model is defined by an objective function using a quadratic formula of qubit variables. The problem of an Ising model aims to determine the qubit values of the variables that minimize the objective function, and many optimization…
We propose an SQP algorithm for mathematical programs with vanishing constraints which solves at each iteration a quadratic program with linear vanishing constraints. The algorithm is based on the newly developed concept of $\mathcal…
In this note, we describe an experiment on portfolio optimization using the Quadratic Unconstrained Binary Optimization (QUBO) formulation. The dataset we use is taken from a real-world problem for which a classical solution is currently…
In the present work, a novel particle merging scheme is proposed for PIC-DSMC simulations, based on the solution of a Non-negative Least Squares problem. The merging algorithm conserves arbitrary moments of the velocity distribution…
This paper presents key enhancements to our previous work~\cite{naghmouchi2024mixed} on a hybrid Benders decomposition (HBD) framework for solving mixed integer linear programs (MILPs). In our approach, the master problem is reformulated as…
In the Maximum Duo-Preservation String Mapping problem we are given two strings and wish to map the letters of the former to the letters of the latter so as to maximise the number of duos. A duo is a pair of consecutive letters that is…
In this paper, we solve a maximization problem where the objective function is quadratic and convex or concave and the constraints set is the reachable value set of a convergent discrete-time affine system. Moreover, we assume that the…
The L1-regularized Gaussian maximum likelihood estimator (MLE) has been shown to have strong statistical guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure of a Gaussian Markov…
In this paper, robust transceiver design based on minimum-mean-square-error (MMSE) criterion for dual-hop amplify-and-forward MIMO relay systems is investigated. The channel estimation errors are modeled as Gaussian random variables, and…
Quantum block encoding (QBE) is a crucial step in the development of most quantum algorithms, as it provides an embedding of a given matrix into a suitable larger unitary matrix. Historically, the development of efficient techniques for QBE…
This work considers Maximum Likelihood Estimation (MLE) of a Toeplitz structured covariance matrix. In this regard, an equivalent reformulation of the MLE problem is introduced and two iterative algorithms are proposed for the optimization…
In this paper, we consider the nonconvex quadratically constrained quadratic programming (QCQP) with one quadratic constraint. By employing the conjugate gradient method, an efficient algorithm is proposed to solve QCQP that exploits the…
Recent works on quantum algorithms for solving semidefinite optimization (SDO) problems have leveraged a quantum-mechanical interpretation of positive semidefinite matrices to develop methods that obtain quantum speedups with respect to the…
Quantum annealing is getting increasing attention in combinatorial optimization. The quantum processing unit by D-Wave is constructed to approximately solve Ising models on so-called Chimera graphs. Ising models are equivalent to quadratic…
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated…
Rigorous quantum dynamics calculations provide essential insights into complex scattering phenomena across atomic and molecular physics, chemical reaction dynamics, and astrochemistry. However, the application of the gold-standard quantum…