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Questions tagged [quadratic-programming]

Quadratic programming (QP) is a special type of mathematical optimization problem. It is the problem of optimizing (minimizing or maximizing) a quadratic function of several variables subject to linear constraints on these variables.

Quadratic programming (QP) is a special type of mathematical optimization problem. It is the problem of optimizing (minimizing or maximizing) a quadratic function of several variables subject to linear constraints on these variables.

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Minimize portfolio variance, constrained to be sufficiently similar to a benchmark portfolio

I am performing portfolio optimization, and I would like to extend the discussion here with the following: I have a vector of weights w_bench that is used as a benchmark. I would like to optimize a portfolio weight vector w_pf that…
AK88
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Gurobi or CPLEX? Quadratic indefinite objective - quadratic positive-semidefinite constraints

I want to minimize a quadratic objective function subject to a set of linear and quadratic constraints. The quadratic objective function is indefinite (non-convex). The quadratic constraints are positive-semidefinite (convex). The variables are…
user436994
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Quadratic programme with a_ix_i^2 terms in objective function

With regards to a quadratic programme, how would I set up an objective function like min⁡ ∑a_i (x_i )^2 in the matrix form for packages “quadprog” or “limSolve” (for this package I'm not sure if it needs to be in matrix form)? From the discussion…
NeilC
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Quadratic Programming CPLEX

I am trying to implement a simple quadratic program using CPLEX's Python API. The sample file qpex1 provided with CPLEX discusses this. The problem, as mentioned in qpex.lp is Maximize obj: x1 + 2 x2 + 3 x3 + [ - 33 x1 ^2 + 12 x1 * x2 - 22 x2 ^2 +…
statBeginner
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scipy.optimize.minimize (COBYLA and SLSQP) ignores constraints initiated within for loop

I'm using scipy.optimize.minimize to solve a complex reservoir optimization model (SQSLP and COBYLA as the problem is constrained by both bounds and constraint equations). There is one decision variable per day (storage), and releases from the…
Kingle
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CGAL Quadratic Programming Package Finds Incorrect Solution

I am using CGAL QP package to solve the following quadratic problem: I am using the following MPS file to define the problem (first_qp.mps): NAME first_qp ROWS E c0 COLUMNS x0 c0 1 x1 c0 1 x2 c0 1 x3 c0 1 x4 c0 1 x5 c0 1 x6 c0 1 x7 …
user2300944
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Minimizing a simple Linear Combination

I know this is this is not a practical thing to do (this question I just so I can understand what is going on), but I am wondering why SciPy can’t minimize the following linear combination (it returns the initial weights and only does 1…
ladca
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Extremely Sparse Integer Quadratic Programming

I am working on an optimization problem with a huge number of variables (upwards of hundreds of millions). Each of them should be a 0-1 binary variable. I can write it in the form (maximize x'Qx) where Q is positive semi-definite, and I am using…
Andy Dienes
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Quadratic programming in Pyodide

I would like to know if there is any library, which I can use in Pyodide and which has a function, similar to "quadprog" in Matlab or multiple external libraries in Python (McGibbon's quadprog, CVXOPT etc.) doing quadratic optimization over convex…
DIgg
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CVXPY returns Infeasible/Inaccurate on Quadratic Programming Optimization Problem

I am trying to use CVXPY to solve a nonnegative least squares problem (with the additional constraint that the sum of entries in the solution vector must equal 1). However, when I run CVXPY on this simple quadratic program using the SCS solver, I…
Frank Liu
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CVXPY Quadratic Programming; ArpackNoConvergence error

I'm trying to use the Python package CVXPY to solve a convex quadratic programming problem of the first form here: https://www.cvxpy.org/examples/basic/quadratic_program.html, using the following code x = np.variable(2 * N) prob =…
Qwertiops
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Quadratic programming maximization -- matrix not positive definite

I am trying to optimize the following simple objective function using the quadprog program in R: max_{x} x'Ax Most optimization problems I see use minimization, but if I simply use -A instead of A, I get an error that A is no longer positive…
pigtowndandy
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Why am I getting this DCPError?

I'm trying to optimize a binary portfolio vector to be greater than a benchmark using CVXPY. import cvxpy as cp import numpy as np # Generate a random non-trivial quadratic program. n = 10 # number of options np.random.seed(1) mu =…
George
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R quadratic programming in high dimension

Does there exist in R an interface to a quadratic programming solver that can handle 2000+ parameters and 20000+ constraints ? I know that my constraints are not contradictory (a solution exists), but there are too many of them and rounding errors…
lrnv
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Setting optimalitytarget parameter in python for cplex solver pyomo

i am trying to optimize a quadratic objective function in pyomo with cplex solver and i get this CPLEX Error 5002: objective is not convex. QP with an indefinite objective can be solved to local optimality with optimality target 2, or to global…
dinesh singamsetti
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