We had our first taste of the problem with mean-variance optimization at a hedge fund some years back. We loaded the positions into an optimizer, pressed the button, and discovered 25% of the ...

FICO Xpress 9.8 features a GPU-accelerated implementation of the hybrid gradient algorithm, yielding up to 50x speedups for very large optimization problems FICO Xpress Optimization has the widest ...

Great progress has been made in the past few years in our understanding of nonconvex optimizations. In this talk, I will share with you three of our works in this direction. In one, we study low-rank ...

Over the course of my 25-year career in the mathematical optimization software industry, I’ve lost count of how many times I’ve been asked this question: “Can you tell me what mathematical ...