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.

Friday, November 30, 2012

Don’t always trust what a solver is saying

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This is supposed to be a fairly difficult MIQP. However, when I run it I get quickly: INFEASIBLE: Tried aggregator 2 ...
3 comments:
Sunday, November 25, 2012

GAMS qp interface not very coherent

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It is possible to write quadratically constrained problems (and QPs in particular) in GAMS and solve them efficiently with solvers like Cple...
Friday, November 23, 2012

Smoothing

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In a scheduling model for maintenance of power generators the objective is to smooth the reserves. The authors use a quadratic objective to ...
Wednesday, November 21, 2012

1 vs 4 threads

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Running a small MIP using 1 thread: Optimize a model with 177 rows, 549 columns and 3800 nonzeros Presol...
6 comments:

Data errors

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Even small tables can contain errors. An example data set in a published paper about scheduling maintenance of power generators looks like: ...
2 comments:
Friday, November 16, 2012

Intel

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For parallel MIP the GPU based solutions such as http://www.nvidia.com/object/tesla-supercomputing-solutions.html are not very useful (alth...
1 comment:
Tuesday, November 6, 2012

Gurobi integer feasibility tolerance

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The integer feasibility tolerance determines when a fractional variable can be considered “automatically” integer during the branch-and-boun...
4 comments:
Wednesday, October 31, 2012

GAMS and MsgBox

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It is remarkably difficult to show a Windows message box in GAMS and react on it at execution time: $onecho > q.vbs Sele...
1 comment:
Monday, October 29, 2012

Notation

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In http://www.youtube.com/watch?v=Ry5i8DGZrJs&list=EC3940DD956CDF0622&index=5&feature=plpp_video (approx. 2nd minute), Stephen ...
2 comments:
Friday, October 26, 2012

Portfolio Optimization

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During a course the question posed was to find a small portfolio of n stocks with a good Sharpe Ratio. Of course we use an MINLP to help us...
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Erwin Kalvelagen
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