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I am using LPsolve for optimizing a portfolio. I have defined the problem as: I am using the Buy and sell Weights as variables and some constraints like churn which specifies 0<= Sum(B+S) <= 20. Now I have several other constraints along with this.

I want to know if there is a way to find which constraints are contradicting each other. I.e., a method returning IIS as an array or a list.

k n p
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  • Please take a look [here](http://lpsolve.sourceforge.net/5.5/Infeasible.htm) on how to identify infeasibilities with LPSolve. – Anders Gustafsson Jul 17 '14 at 11:32
  • Hi Anders thanks for getting back, but the problem to apply this model to my case is as there are 200 variables, and most of them are zero except for those corresponding to extremely high yield or low yield.Where sumproduct(yield*(B-S)) is the objective function. So, the approach of adding dummy variables does not work in my case. – k n p Jul 17 '14 at 14:24

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