448 reputation
517
bio website linkedin.com/in/crntaylor
location London, United Kingdom
age 31
visits member for 4 years, 4 months
seen Apr 20 at 9:06

I'm broadly interested in very applied math. I try to apply ideas from mathematics, statistics, machine learning, formal systems and computer science to solve real-world problems. Mostly in applied finance/quantitative trading, but in other areas if the mood takes me.


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accepted An elementary problem in Euclidean geometry
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asked An elementary problem in Euclidean geometry
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accepted Efficient algorithm for finding the minima of a piecewise linear function
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Apr
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comment Efficient algorithm for finding the minima of a piecewise linear function
Brian, typically this problem will need to be solved multiple times per second on a rolling basis - so speed is important, but it only needs to be "good enough". If a general purpose LP solver can solve in, say, less than 100ms, that will be well within the bounds of "good enough".
Apr
17
comment Efficient algorithm for finding the minima of a piecewise linear function
Thanks. I will experiment with this and see how it turns out. Typically I will be considering n ~ 10^6 which may or may not be "extremely large" under your definition!