Is forex a discrete optimisation problem

Is forex a discrete optimisation problem

Then the problem becomes exactly the knapsack problem. In particular, the knapsack problem is a special case of your problem, which means your problem is at least as hard as the knapsack problem, as any algorithm for your problem could also be used to solve the knapsack problem. Moreover, the knapsack problem is NP-hard, so your problem is too the most difficult problems in discrete optimisation. Typical special structures, which can be tackled by discrete optimisation, are minimal production rates, minimal utilisation rates, minimal transport amounts: these structures lead to so-called semi-continuous variables. The question, how a telecommunication net- 08/07/ · Discrete optimization would be something like the classic Traveling Salesman problem - you are finding a sequence of discrete points that satisfies some optimization criteria

computer science - Discrete constrained optimization problem - Mathematics Stack Exchange

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What would be the best way to solve -- either analytically or algorithmically in this case preferably using Python -- a discrete constrained optimization problem of the form.

This is a quadratic integer programming problem, is forex a discrete optimisation problem. Like all integer programming problems with polynomial objective functions, it can be transformed into a linear integer programming problem and solved by branch-and-bound or cutting plane methods.

There are a number of open-source and proprietary commercial software packages that can solve the transformed problem for you CBC, SCIP, CPLEX, GuRoBi, etc. The linearization technique is as follows. This is supported, for example, by GuRoBi. In practice, a lot will depend on the size of the problem.

For problems like this, which commonly arise in mathematical finance, branch and bound on the QP formulation is generally the best approach. I'd look at CPLEX, GuRoBi, Mosek, or XPRESS for such problems. I'm not aware of any good open-source solver for them. Here's the code I ended up writing to solve this problem to optimality using Gurobi's Python API:. Sign up to join this community. The best answers are voted up and rise to the top. Stack Overflow for Teams — Collaborate and share knowledge with a private group.

Create a free Team What is Teams? Learn more. Discrete constrained optimization problem Ask Question. Asked 2 years, 2 months ago. Active 2 years, 1 month ago. Viewed times.

computer-science constraints discrete-optimization python, is forex a discrete optimisation problem. edited Jul 26 '19 at asked Jul 26 '19 at Casimir Casimir 7 7 bronze badges. Add a comment. Active Oldest Votes. answered Jul 26 '19 at Brian Borchers Brian Borchers 9, 2 2 gold badges 18 18 silver badges 26 26 bronze badges. So it sounds like GuRoBi is my best bet? Is there anything similar but perhaps not quite as suited that's open source?

I'm not quite sure how to use it though. I assume to solve the quadratic formulation using branch and bound I need a Python version of this Matlab script replacing the call to CPLEX with Gurobi routines? You'll need to read their documentation. RobPratt RobPratt Only works in Jupyter notebooks.

Else use os. values Define the model objective to minimize the sum of pairwise correlations. dot dvars. dot dvars model. setObjective obj, GRB. optimize Save selected materials to dataframe and CSV file. iloc[[bool var. edited Aug 6 '19 at answered Aug 6 '19 at Sign up or log in Sign up using Google. Sign up using Facebook. Sign up using Email and Password. Post is forex a discrete optimisation problem a guest Name. Email Required, but never shown.

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algorithms - Solving a discrete optimization problem - Computer Science Stack Exchange

the most difficult problems in discrete optimisation. Typical special structures, which can be tackled by discrete optimisation, are minimal production rates, minimal utilisation rates, minimal transport amounts: these structures lead to so-called semi-continuous variables. The question, how a telecommunication net- 08/07/ · Discrete optimization would be something like the classic Traveling Salesman problem - you are finding a sequence of discrete points that satisfies some optimization criteria 08/12/ · Forex Backtesting in the Real World. In the academic world, perhaps, optimization can be defined as the process of searching for the best signals, timing, entry points, etc. However, this is a very “theoretical” approach. In the real world we use machine-learning to find the best possible result and it Estimated Reading Time: 3 mins