[SMI] Using COIN-OR SMI to solve a QP

[Cunniff, John M]

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.

 

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.

 

1.	Is it true that the current version of SMI cannot solve a QP?
2.	Which .cpp and .hpp files would need to be altered to expand SMI
to handle a QP problem, and what would those alterations be?

 

Thank you in advance your help.

 

John Cunniff


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