An algorithm for computing Frechet means on the sphere

For most optimisation methods an essential assumption is the vector space structure of the feasible set. This condition is not fulfilled if we consider optimisation problems over the sphere. We present an algorithm for solving a special global problem over the sphere, namely the determination of Frechet means, which are points minimising the mean distance … Read more

Non-Convex Mixed-Integer Nonlinear Programming: A Survey

A wide range of problems arising in practical applications can be formulated as Mixed-Integer Nonlinear Programs (MINLPs). For the case in which the objective and constraint functions are convex, some quite effective exact and heuristic algorithms are available. When non-convexities are present, however, things become much more difficult, since then even the continuous relaxation is … Read more

A branch and bound algorithm for the global optimization of Hessian Lipschitz continuous functions

We present a branch and bound algorithm for the global optimization of a twice differentiable nonconvex objective function with a Lipschitz continuous Hessian over a compact, convex set. The algorithm is based on applying cubic regularisation techniques to the objective function within an overlapping branch and bound algorithm for convex constrained global optimization. Unlike other … Read more

Unbounded Convex Sets for Non-Convex Mixed-Integer Quadratic Programming

This paper introduces a fundamental family of unbounded convex sets that arises in the context of non-convex mixed-integer quadratic programming. It is shown that any mixed-integer quadratic program with linear constraints can be reduced to the minimisation of a linear function over a set in the family. Some fundamental properties of the convex sets are … 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