(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 approach, seeMixed-Integer Quadratic Programming Portfolio Optimization:...
Bienstock, D.: Computational study of a family of mixed-integer quadratic programming problems. Math. Program. 74, 121-140 (1995)Bonami, P., Lodi, A., and Zarpellon, G. (2018). Learning a Classification of Mixed-Integer Quadratic Programming Problems. In Integration of Constraint Programming,...
This example shows how to solve a Mixed-Integer Quadratic Programming (MIQP) portfolio optimization problem using the intlinprog Mixed-Integer Linear Programming (MILP) solver. The idea is to iteratively solve a sequence of MILP problems that locally approximate the MIQP problem. For the problem...
Mixed Integer Linear Programming problems are generally solved using a linear-programming based branch-and-bound algorithm. Overview Basic LP-based branch-and-bound can be described as follows. We begin with the original MIP. Not knowing how to solve this problem directly, we remove all of the ...
Publication|Publication Mixed-integer quadratic programming (MIQP) is the problem of optimizing a quadratic function over points in a polyhedral set where some of the components are restricted to be integral. In this paper, we prove that the decision version of mixed-integer quadratic programming...
quadratic programming (SQP) stabilised by using trust regions. It can deal with both convex and nonconvex problems and problems with possibly expensive function evaluations. In addition, it is not assumed that the mixed integer problem has to be relaxable; the function evaluations are requested ...
We present computational experience with a branch-and-cut algorithm to solve quadratic programming problems where there is an upper bound on the number of positive variables. Such problems arise in financial applications. The algorithm solves the largest real-life problems in a few minutes of run-...
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 ...
In general, Bonmin tackles MINLP (Mixed Integer NonLinear Programming) problems which is more general than MIQP (Mixed Integer Quadratic Programming) problems, but the performance, when specialized commercial solvers (Gurobi, CPLEX, Mosek; some potentially limited to CMIQP -> convex) are unavailable,...
Mixed-integer linear programming(MILP) is one variant of LP in which some or all of the variables are restricted to be integers [121]. The use of MILP techniques is necessary when binary or integer variables are included within the optimization problem. For example, in smart charging schemes,...