Alternating Direction Methods for Sparse Covariance Selection

The mathematical model of the widely-used sparse covariance selection problem (SCSP) is an NP-hard combinatorial problem, whereas it can be well approximately by a convex relaxation problem whose maximum likelihood estimation is penalized by the $L_1$ norm. This convex relaxation problem, however, is still numerically challenging, especially for large-scale cases. Recently, some efficient first-order methods … Read more

On the Central Paths and Cauchy Trajectories in Semidefinite Programming

In this work, we study the properties of central paths, defined with respect to a large class of penalty and barrier functions, for convex semidefinite programs. The type of programs studied here is characterized by the minimization of a smooth and convex objective function subject to a linear matrix inequality constraint. So, it is a … Read more

The Delivery Man Problem with Time Windows

In this paper, a variant of the Traveling Salesman Problem with Time Windows is considered, which consists in minimizing the sum of travel durations between a depot and several customer locations. Two mixed integer linear programming formulations are presented for this problem: a classical arc flow model and a sequential assignment model. Several polyhedral results … Read more

Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation

Portfolio optimisation for a Fund of Hedge Funds (“FoHF”) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation methods such as mean-variance optimisation are not appropriate for such problems and global search optimisation algorithms could … Read more