On a Synchronization Problem With Multiple Instances

Journal of Computational and Applied Mathematics

23 Pages Posted: 15 Oct 2020 Last revised: 10 Jun 2021

See all articles by Dries Cornilly

Dries Cornilly

Asteria Investment Managers

Giovanni Puccetti

University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)

Ludger Rüschendorf

University of Freiburg

Steven Vanduffel

Vrije Universiteit Brussel (VUB)

Date Written: April 6, 2021

Abstract

We study a synchronization problem with multiple instances. First, we show that the problem we consider can be formulated as the problem of finding an intra-column rearrangement for multiple matrices (which reflect problem instances) such that the row sums across the various matrices show minimum variability. To obtain the optimal rearrangement, we introduce the Block Swapping Algorithm (BSA) and a further customization of it that we label as the Customized Block Swapping Algorithm (Cust BSA). A numerical study shows that the two algorithms we propose yield high-quality solutions and also deal efficiently with high-dimensional set-ups.

Keywords: Optimization; Anti-monotonicity; Rearrangement Algorithm; ALCS

Suggested Citation

Cornilly, Dries and Puccetti, Giovanni and Rüschendorf, Ludger and Vanduffel, Steven, On a Synchronization Problem With Multiple Instances (April 6, 2021). Journal of Computational and Applied Mathematics, Available at SSRN: https://ssrn.com/abstract=3681186 or http://dx.doi.org/10.2139/ssrn.3681186

Dries Cornilly

Asteria Investment Managers ( email )

Rue du Rhône 62
Geneva, 1204
Switzerland

Giovanni Puccetti

University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) ( email )

Via Conservatorio, 7
Milan, 20122
Italy

Ludger Rüschendorf

University of Freiburg ( email )

Fahnenbergplatz
Freiburg, D-79085
Germany

Steven Vanduffel (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brabant 1050
Belgium

HOME PAGE: http://www.stevenvanduffel.com

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