Many optimal control, estimation and design problems can be formulated as so-called dynamic optimization problems, which are optimization problems with differential equations and other constraints. State-of-the-art methods based on collocation, which enforce the differential equations at only a finite set of points, can struggle to solve certain dynamic optimization problems, such as those with high-index differential algebraic equations, consistent overdetermined constraints or problems with singular arcs. We show how numerical methods based on integrating the differential equation residuals can be used to solve dynamic optimization problems where collocation methods fail. Furthermore, we show that integrated residual methods can be computationally more efficient than direct collocation.

This seminar takes place at RAL (Rutherford Appleton Lab). 

In this talk I will review some recent results concerning the qualitative behaviour of symplectic integrators applied to Hamiltonian PDEs, such as the nonlinear wave equation or Schrödinger equations. 

Additionally, I will discuss the problem of numerical resonances, the existence of modified energy and the existence and stability of numerical solitons over long times. 

These are works with B. Grébert, D. Bambusi, G. Maierhofer and K. Schratz. 

In the fast-paced world of trading, where exabytes of data and advanced mathematical models offer powerful insights, how do you harness these to anticipate market shifts and evolving prices? Numbers alone only tell part of the story. Beneath the surface lies the unpredictable force of human behaviour – the delicate balance of buyers and sellers shaping the market’s course. 

In this talk, we’ll uncover how these forces intertwine, revealing insights that not only harness data but challenge conventional thinking about the future of trading.

Speaker: Chris Horrobin (Head of European and US people development for Optiver)

Speaker bio

Chris Horrobin is Head of European and US people development for Optiver. Chris started his career trading US and German bond options, adding currency and European index options into the mix before moving to focus primarily on index options. Chris spent his first three years in Amsterdam before transferring to Sydney. 

During these years, Chris traded some of the biggest events of his career including Brexit and Trump (first time around) and before moving back to Europe led the positional team in his last year. Chris then moved out of trading and into our training team running our trading education space for four years, owning both the design and execution of our renowned internship and grad programs. 

The Education Team at Optiver is central to the Optiver culture and focus on growth – both of employees and the company. Chris has now extended his remit to cover the professional development of hires throughout the business.