This example shows how to solve a Mixed-Integer Quadratic Programming (MIQP) portfolio optimization problem using the problem-based approach.
Example showing how to optimize a portfolio, a quadratic programming problem, with integer and other constraints.
minx(8x1+x2)subjectto⎧⎪⎪⎨⎪⎪⎩x2isanintegerx1+2x2≥−14−4x1−x2≤−332x1+x2≤20. Write the objective function vector and vector of integer variables. Get f = [8;1]; intcon = 2; Convert all inequalities into the form A*x <= b by multiplying “greater...
Mixed-Integer Quadratic Programming Portfolio Optimization: Solver-Based Example showing how to optimize a portfolio, a quadratic programming problem, with integer and other constraints. Cutting Stock Problem: Solver-Based Solve a cutting stock problem using linear programming with an integer programming ...
Matlab solvers for MINLP problem (Mixed-Integer Nonlinear Programming). Sparse and Dense integer nonlinear optimization tools and subsolvers.
In this work, we propose a new approach called "Sequential Linear Programming (SLP) algorithm" for finding an approximate global minimum of continuous and mixed-integer nonconvex quadratic programs (qps). In order to compare our algorithm with the existing approaches, we have developed an ...
TOMLAB /MISQP TOMLAB /MISQPintegrates The MathWorks' MATLAB and the MISQP and NLPQL solvers from Klaus Schittkowski. Features and capabilities The MISQP solver handles dense mixed-integer nonlinear programming problems by a modified sequential quadratic programming (SQP) method. Under the assumption ...
The actuator allocation problem was formulated in the flexible format of a Mixed-Integer Quadratic Programming problem, where the cost function reflects the desired allocation behavior and the constraints ensure that only feasible allocations are performed. The algorithm can be easily adapted to specific...
Matlab interface for cplex, http://control.ee.ethz.ch/ hybrid/cplexint.php 2004. 16 Quadratic assignment problemMixed integer linear programmingThe Quadratic Assignment Problem (QAP) can be solved by linearization, where one formulates the QAP as a mixed integer linear programming (MILP) problem....
This example shows how to solve a Mixed-Integer Quadratic Programming (MIQP) portfolio optimization problem using the problem-based approach. The idea is to iteratively solve a sequence of mixed-integer linear programming (MILP) problems that locally approximate the MIQP problem. For the solver-based...