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<p class=MsoNormal><font size=2 face=Arial><span style='font-size:10.0pt;
font-family:Arial'>First, thank you for providing these optimization programs.
I tried using SMI to solve a multi-stage stochastic QP mean-variance asset
allocation problem (by adding a QUADOBJ section to the .core file), but the
optimizer appears to ignore quadratic terms as these terms are not in the output
deterministic equivalent mps file and do not appear to affect the optimal
solution. We have a subscription to CPLEX here at TIAA-CREF, and it is
able to read and solve the .core file as a single period QP, so I believe my
formatting is correct.<o:p></o:p></span></font></p>
<p class=MsoNormal><font size=2 face=Arial><span style='font-size:10.0pt;
font-family:Arial'><o:p> </o:p></span></font></p>
<p class=MsoNormal><font size=2 face=Arial><span style='font-size:10.0pt;
font-family:Arial'>I read in Alan King’s presentation to INFORMS in <st1:City
w:st="on"><st1:place w:st="on">Seattle</st1:place></st1:City> in Nov. 2007 that
it “would be easy to add integer variables and quadratic objectives”,
so I am assuming that SMI cannot solve a QP at this time.<o:p></o:p></span></font></p>
<p class=MsoNormal><font size=2 face=Arial><span style='font-size:10.0pt;
font-family:Arial'><o:p> </o:p></span></font></p>
<ol style='margin-top:0in' start=1 type=1>
<li class=MsoNormal style='mso-list:l0 level1 lfo1'><font size=2 face=Arial><span
style='font-size:10.0pt;font-family:Arial'>Is it true that the current
version of SMI cannot solve a QP?<o:p></o:p></span></font></li>
<li class=MsoNormal style='mso-list:l0 level1 lfo1'><font size=2 face=Arial><span
style='font-size:10.0pt;font-family:Arial'>Which .cpp and .hpp files would
need to be altered to expand SMI to handle a QP problem, and what would
those alterations be?<o:p></o:p></span></font></li>
</ol>
<p class=MsoNormal><font size=2 face=Arial><span style='font-size:10.0pt;
font-family:Arial'><o:p> </o:p></span></font></p>
<p class=MsoNormal><font size=2 face=Arial><span style='font-size:10.0pt;
font-family:Arial'>Thank you in advance your help.<o:p></o:p></span></font></p>
<p class=MsoNormal><font size=2 face=Arial><span style='font-size:10.0pt;
font-family:Arial'><o:p> </o:p></span></font></p>
<p class=MsoNormal><font size=2 face=Arial><span style='font-size:10.0pt;
font-family:Arial'>John Cunniff<o:p></o:p></span></font></p>
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