Friday, April 9, 2010

MIQP vs Dynamic Programming

Looking at the posting I thought it should be possible to formulate this as a mathematic programming problem. The quadratic objective would yield an MIQP. An example formulation could be: This is not really easy to solve. Even a MIP approximation (minimizing sum of absolute deviations) is not easy: Looks like we are loosing against dynamic programming here.

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