[Coin-lpsolver] quadratic programming

[John J Forrest]

Mauro,

The answer is yes - although it is not yet as robust as linear.

There is a sequential LP solver which can theoretically solve more complex 
objective functions (if the user provides the ClpObjective class).  This 
is useful as a "crash" to the simplex quadratic solver which may one day 
be extended to more general objective functions.  There is also a 
quadratic barrier solver which will probably be the fastest.  The default 
ordering code is not very good but this does not seem to matter on many 
quadratic problems and you can always download a better one from other 
sites.

There is not a good sample at present although there is something round 
about line 1311 of Clp/test/unitTest.cpp.  If you have an mps file 
(QUADOBJ before ENDATA followed by objective) you can play with clp.  I 
would suggest switching off presolve as it is not completely tested for QP 
and maybe switch off scaling as it seems to be a bit slower.

try

clp model.mps -presolve off -scaling off -primals
or
clp model.mps -presolve off -scaling off -barrier
or
clp model.mps -presolve off -scaling off -slp 50 -primals

to play with different options.

If you have problems contact me.  I may even create a new sample.

John Forrest




Mauro Scarioni <75824002 at it.ibm.com> 
Sent by: coin-lpsolver-admin at www-124.southbury.usf.ibm.com
10/12/2004 02:39 PM

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[Coin-lpsolver] quadratic programming











I'm interested to develop an application using quadratic programming (like
a Markovitz model). At the present this application is working in 
prototype
mode with OSL.

Is CLP able to solve quadratic programming (linear constraint & convex
objective) ?

I find in COIN a method readQuadraticMps, but i'm not able to use it.
Can you help me with a sample?

Thank in advance

Mauro


Mauro SCARIONI
IBM Italia - BCS Finance
Circonvallazione Idroscalo
20090 Segrate
Telefono 02-5962-5621
Mobile 335-7248615

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