<font size=2 face="sans-serif">Yes, that is correct, SMI does not handle
quadratic terms.</font>
<br>
<br><font size=2 face="sans-serif">If you would be willing to provide a
test problem (hopefully for which you know the answer) then I would be
willing to implement the needed changes. It is not hard to do, but
does require deep knowledge of the SMI infrastructure.</font>
<br>
<br><font size=2 face="sans-serif">Best</font>
<br><font size=2 face="sans-serif">Alan</font>
<br><font size=2 face="sans-serif"><br>
-------------------------------------------------------<br>
Alan King, PhD<br>
IBM Thomas J. Watson Research Center<br>
Yorktown Heights, New York<br>
<br>
914-945-1236 (o) <br>
914-260-9888 (m)<br>
</font><a href=http://www.research.ibm.com/people/k/kingaj/><font size=2 face="sans-serif">http://www.research.ibm.com/people/k/kingaj/</font></a>
<br>
<br>
<br>
<br><font size=1 color=#5f5f5f face="sans-serif">From:
</font><font size=1 face="sans-serif">"Cunniff, John
M" <JCunniff@tiaa-cref.org></font>
<br><font size=1 color=#5f5f5f face="sans-serif">To:
</font><font size=1 face="sans-serif"><smi@list.coin-or.org></font>
<br><font size=1 color=#5f5f5f face="sans-serif">Date:
</font><font size=1 face="sans-serif">01/27/2012 10:36 AM</font>
<br><font size=1 color=#5f5f5f face="sans-serif">Subject:
</font><font size=1 face="sans-serif">[SMI] Using
COIN-OR SMI to solve a QP</font>
<br><font size=1 color=#5f5f5f face="sans-serif">Sent by:
</font><font size=1 face="sans-serif">smi-bounces@list.coin-or.org</font>
<br>
<hr noshade>
<br>
<br>
<br><font size=2 face="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.</font>
<br><font size=2 face="Arial"> </font>
<br><font size=2 face="Arial">I read in Alan King’s presentation to INFORMS
in Seattle 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.</font>
<br><font size=2 face="Arial"> </font>
<br><font size=2 face="sans-serif">1. </font><font size=2 face="Arial">Is
it true that the current version of SMI cannot solve a QP?</font>
<br><font size=2 face="sans-serif">2. </font><font size=2 face="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?</font>
<br><font size=2 face="Arial"> </font>
<br><font size=2 face="Arial">Thank you in advance your help.</font>
<br><font size=2 face="Arial"> </font>
<br><font size=2 face="Arial">John Cunniff</font>
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