Yet Another Math Programming Consultant

I am a full-time consultant and provide services related to the design, implementation and deployment of mathematical programming, optimization and data-science applications. I also teach courses and workshops. Usually I cannot blog about projects I am doing, but there are many technical notes I'd like to share. Not in the least so I have an easy way to search and find them again myself. You can reach me at erwin@amsterdamoptimization.com.

Monday, September 27, 2010

Student mails

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I get many mails from students asking for help. I usually try to give a small hint and direct them to get more help from their supervisor. H...
3 comments:

GAMS macro problems

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I am working on a model that is using the preprocessor tool described in http://www.mpsge.org/inclib/gams-f.htm . There were a few minor iss...
1 comment:
Monday, September 20, 2010

Google or-tools

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The first OR-tool from Google is a preliminary constraint programming solver, available from here: https://code.google.com/p/or-tools/ . The...
Wednesday, September 8, 2010

Efficient frontier-like analysis

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I needed to perform an optimization run of the form: for different λ’s. Essentially something like an efficient frontier but in this case...
Monday, August 23, 2010

Long running horizon

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I am experimenting with a timber model. These models have typically long horizons, which can cause some problems with some solvers. As the m...
2 comments:
Thursday, August 19, 2010

Cplex new version

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In some cases a new version of a solver can perform worse on some models. Here is a particular unfortunate example, where Cplex 12.1 finds s...
3 comments:
Saturday, August 14, 2010

QP Models with GAMS/Knitro

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> My large QP portfolio model does not solve with GAMS/KNITRO. Yes, for large problems you will get: Memory estimate for Hessian i...
6 comments:
Wednesday, August 11, 2010

Simplex vs barrier

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For some models the barrier algorithm is very fast compared to the Simplex method (for an example see http://yetanothermathprogrammingconsul...
2 comments:
Tuesday, August 10, 2010

Gurobi recovery in difficult LP

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It is interesting to see how Gurobi recovers from numerical trouble in a difficult (dense) LP, when using the primal simplex algorithm: It...
1 comment:
Monday, August 9, 2010

OR in MIP

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Question: If we have two non-negative variables, X1, X2 >= 0 and we know at least one of them is zero. How shall we linearize the cons...
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Erwin Kalvelagen
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