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.

Wednesday, June 30, 2021

Arranging points on a line

›
The problem stated in [1] is: In the original problem, the poster talked about the distance between neighbors. But we don't know in adva...
5 comments:
Saturday, June 12, 2021

Median, quantiles and quantile regression as linear programming problems

›
Quantile regression is a bit of an exotic type of regression [1,2,3]. It can be seen as a generalization of \(\ell_1\) or LAD regression [4]...
5 comments:
Thursday, June 10, 2021

Automatic differentiation and Google

›
  https://syncedreview.com/2021/06/07/deepmind-podracer-tpu-based-rl-frameworks-deliver-exceptional-performance-at-low-cost-35/ (The URL see...
Tuesday, June 8, 2021

Portfolio optimization with risk as constraint?

›
The standard mean-variance portfolio optimization models have the form: Model M1 \[\begin{align}\min\>&\color{darkred}{\math...
Wednesday, June 2, 2021

Total Least Squares: nonconvex optimization

›
Total Least Squares (TLS) is an alternative for OLS ( Ordinary Least Squares ). It is a form of orthogonal regression and also deals with ...
3 comments:
Sunday, May 23, 2021

Solving linear complementarity problems without an LCP solver

›
Introduction The linear complementarity problem (LCP) can be stated as [1]:  LCP Problem \[\begin{align} &\text{Find $\color...
Monday, May 10, 2021

Clustering models

›
In Statistics (nowadays called Data Science or A.I. for public relations reasons), clustering is one of the most popular techniques availabl...
5 comments:
Thursday, April 29, 2021

What is this BRATIO option in GAMS?

›
This is a note about BRATIO, a very exotic GAMS option related to providing an advanced basis to a Simplex-based LP (or NLP) solver. 
Tuesday, April 20, 2021

Inverting a matrix by LP

›
 The questions for this post are: Can we model the inversion of a matrix as an LP problem? (A: yes) Should we do that? (A: no) If we insist,...
2 comments:
Monday, April 19, 2021

Parallel machine scheduling II, three more formulations

›
In [1] two formulations were discussed for a scheduling problem with multiple machines . Here we add a few more. Some of them are a bit stra...
1 comment:
‹
›
Home
View web version

About Me

Erwin Kalvelagen
View my complete profile
Powered by Blogger.