236 questions
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Get Dual Bound of a QP with CPlex
When one wants to solve a convex Quadratic Problem in Cplex with a given time limit, how is it possible to get lower and upper bounds on the actual optimal value ?
The primal and dual objective value ...
- 21
1
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0
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64
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Can I use the Active Set Method through cvxpy? Which solvers support it?
I’m working with quadratic programming (QP) problems and want to use the Active Set Method (ASM) specifically. I’d like to stay within the cvxpy framework for defining and solving the problem.
I know ...
0
votes
1
answer
116
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Discrepancy in qpOASES Optimal Solutions Between C++ and MATLAB Implementations
I have implemented a quadratic programming problem using qpOASES in MATLAB and C++. The optimal solutions differ despite using the same matrices and vectors in both environments. The MATLAB ...
0
votes
1
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221
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Scipy optimize SLSQP: How is the 'ftol' parameter used?
I am wondering how the 'ftol' paramater in scipy.optimize.minimize(method='SLSQP') is used. In the documentation it just says, that it is the precision goal for the value of f, which could mean ...
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0
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558
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Trouble Building osqp-eigen Library
I'm encountering challenges while building and installing the osqp-eigen library in my C++ environment. My objective is to implement a quadratic programming function similar to MATLAB's quadprog() ...
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0
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0
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112
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Significant Difference in Execution Time Between R's solve.QP and Python's scipy.optimize.minimize for Quadratic Programming
I'm working on a quadratic programming problem and have implemented solutions in both R and Python. However, I've noticed a significant difference in execution times between these two implementations, ...
- 217
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0
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177
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Solve Quadratically Constrained Linear Objective Function in R
Context
A bit of context is in order. I am currently migrating an Excel tool (sigh!) to n Shiny app. Excel is using the solver Addin to find an "optimal" solution. Now I am looking for a ...
- 20.6k
0
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1
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104
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Trying to understand why my formulation is non-convex? (gurobipy.GurobiError: Q matrix is not positive semi-definite (PSD))
I am trying to implement a SOCP that I believe to be convex, but when I run it on a small instance I get the error:
gurobipy.GurobiError: Q matrix is not positive semi-definite (PSD). Set NonConvex ...
- 23
0
votes
1
answer
167
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Portfolio Optimization in R with transaction costs
The goal is to rebalance the portfolio using the transaction costs as a penalty.
I tried to rewrite the example for portfolio optimization with transaction costs from the mosek homepage: https://docs....
- 125
1
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0
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723
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CVXPY finds no solution (unbounded) to a problem that definitely has a solution - how to debug
I encountered the following special case where CVXPY was returning a None solution, with status unbounded, for a problem that definitely has a solution.
It doesn't seem like I can enter LaTeX, so @ ...
- 1,602
1
vote
1
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338
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How to solve quadratically constrained linear program in R with clarabel
I'm looking for some help converting a quadratic constraint into the form needed for the clarabel optimization package (second-order cone programming solver).
Firstly, here is just the linear part of ...
- 4,479
0
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1
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796
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qpsolvers error: "SolverNotFound: solver 'cvxopt' is not in the list ['ecos', 'osqp', 'quadprog', 'scs'] of available solvers"
I am trying to use qpsolvers library to solve a quadratic program using the 'cvxopt' solver, but I keep getting the following error:
SolverNotFound: solver 'cvxopt' is not in the list ['ecos', 'osqp', ...
- 1
0
votes
0
answers
127
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how come I got negative weights despite the no-short sales constraint in the portfolio optimization problem?
I used the CVXR library to find the weights of a minimum variance portfolio consisting of 183 assets.
(1) min(w) (1/2)*((w)^T)*sigma*(w)
(2) ...
- 1
0
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1
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975
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CVXPY claims matrix is not symmetric and PSD despite my matrix being symmetric and PSD
I have a quadratic program (see below) that causes an error due to my quad_form matrix being not symmetric or PSD. Why is this happening? (Note that the issue is with my matrix P below so feel free to ...
- 219
1
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1
answer
718
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When resulting in an infeasible model, what tips are there to break down the nexus of the issue
I am new to using or-tools and I have been tasked with minimizing a quadratic objective function with lots of IntVar variables. I don't know where to start breaking down what the problem could be ...
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