Wednesday, September 7, 2016

Weapons of Math Destruction

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                        https://www.amazon.com/Weapons-Math-Destruction-Increases-Inequality/dp/0553418815 “Models are opinion...
1 comment:
Friday, September 2, 2016

Two-dimensional linear interpolation with SOS2 variables

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Suppose we want to implement an interpolation scheme for some 2D function \(z=f(x,y)\). We assume we have some data points \((x_i,y_j,z_{i,j...
1 comment:
Wednesday, August 31, 2016

Semi-continuous variables

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A semi-continuous (or semicontinuous) variable \(x\) is a continuous variable between bounds \([\ell,u]\) that also can assume the value zer...
Thursday, August 25, 2016

Optimization in the news

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https://techcrunch.com/2016/08/24/sigopt-series-a/ I don’t know this company, but it is good to see funding is available for optimization ...
Wednesday, August 24, 2016

Back to basics: a very simple scheduling problem

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In this post an extremely simple scheduling problem is proposed. But as we shall see, there are still a few interesting things to say abou...
Friday, August 19, 2016

Multi-objective optimization: an illustration

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I saw some demonstrations of dynamic plots with the animation package in R .  So I was looking for a small example where I could try this o...
Thursday, August 18, 2016

gdxrrw and R 3.3.1

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From this post : I have written a dispatch model in GAMS which optimizes by minimizing system costs. I want to loop runs of the model; Run...
Wednesday, August 17, 2016

Portfolio Optimization: Maximize the Sharpe Ratio

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The problem of finding the portfolio with the largest Sharpe Ratio can be written as:  \[\boxed{\begin{align}\max\>&\frac{r^Tx-r_f...
1 comment:
Monday, August 15, 2016

10+ Free Open Source Solvers

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http://www.butleranalytics.com/free-open-source-solvers/ I am pretty sure Gurobi and Mosek should not be in this list. Update: Gurobi has ...
Tuesday, August 9, 2016

Wolfram Language

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In http://blog.wolfram.com/2016/08/08/today-we-launch-version-11/ a new version of Mathematica is announced. More emphasis on the underlyi...