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

[Alan King]

Yes, that is correct, SMI does not handle quadratic terms.

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.

Best
Alan

-------------------------------------------------------
Alan King, PhD
IBM Thomas J. Watson Research Center
Yorktown Heights, New York

914-945-1236 (o) 
914-260-9888 (m)
http://www.research.ibm.com/people/k/kingaj/



From:   "Cunniff, John M" <JCunniff at tiaa-cref.org>
To:     <smi at list.coin-or.org>
Date:   01/27/2012 10:36 AM
Subject:        [SMI] Using COIN-OR SMI to solve a QP
Sent by:        smi-bounces at list.coin-or.org



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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