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Quadratic Optimization

Question asked by ion caciula on May 27, 2012
Latest reply on Jul 31, 2014 by zsoltcsizmadia@fico.com

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?

 

 

 

 

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