Sunday, April 29, 2018

Piecewise nonlinear functions

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In [1] a question is posed how we can model the piecewise nonlinear function depicted below: Model the dashed line h(x) We want to m...
Wednesday, April 25, 2018

Regular Expression Tester

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On a regular basis (pun intended), I am using regular expressions for simple parsing tasks. Writing or debugging a regular expression is not...
Thursday, April 19, 2018

Covariance Matrix not positive definite in portfolio models

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When solving mean-variance portfolio optimization models, the majority of solvers will require the variance-covariance matrix is positiv...
Friday, April 13, 2018

A difficult MIP construct: counting consecutive 1's

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In [1] following modeling question is posed: Given binary variables \(x_i \in \{0,1\}\), I want to form an integer variable \(z_i\) that...

MATLAB: LP more expensive than MIP?

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A strange report: The model has variables that assume automatically 0-1 values. When we throw the model into intlinprog it solves much fa...
Wednesday, April 11, 2018

FICO Xpress Mosel is now FREE and OPEN

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Little bit of old news: https://community.fico.com/community/fico-optimization-community/blog/2018/01/04/fico-xpress-mosel-is-now-free-and...
Sunday, April 8, 2018

K best solutions for an assignment problem

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Men's K-2 1000 metres medalist at the 1960 Summer Olympics in Rome The problem is simple: Find the \(k\) best solutions for an...
1 comment:
Friday, April 6, 2018

Python constraint solver

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In [1] a small problem is stated: We need to assign 7 devices to 3 locations The maximum number of devices assigned to a location is: l...

Speed Dating Scheduling

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Speed Networking at Cité Internationale Universitaire de Paris [ source ] In [1] a question is posed about a speed dating like probl...
Wednesday, April 4, 2018

SOCP reformulations of a min distance problem

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In [1] I discussed a geometric problem: find a point (in 2d or 3d space) as close as possible to a number of given lines. In the comments i...