Forum Discussion
FICO
14 years agoCommunity Manager
Quadratic Optimization
Hello!
I have the following problem:
I want to minimize a least square problem with restrictions using quadratic module from xpress MP. The model has the following form:
F:=sum(i in 1..N) (y(i)-sum(j in 1..3) w(j)*x(j))^2!and restrictionforall(i in 1..3) w(j) is_free!the objectiveminimize(F)Now, I want to complicate the model. Let T>0 be a threshold which is given as input.
All the absolute differences which are not in the interval [-T,T] introduce the error T^2.
The model become(because I don't have an equation editor I use the mosel syntax):
F:=sum(i in 1..N | abs(y(i)-sum(j in 1..3) x(i)*w(j))<T)) (y(i)-sum(j in 1..3) w(j)*x(j))^2+sum(i in 1..N |abs(y(i)-sum(j in 1..3) x(i)*w(j)>=T)) T^2 minimize(F)Can be solved with Xpress MP this type of problem?
1 Reply
- FICOCommunity Manager
Hi,
If I read your model correctly then yes, this should be possible.
I would consider a formulation along these lines:
deviation = y(i)-sum(j in 1..3) x(i)*w(j)
deviation <= T + positive_surplus
deviation >= -T - negative_surplus
minimize (positive_surplus^2 + negative_surplus^2 )

