Index

A

asset see portfolio optimization

B

basic solution basis identification

bound constraint, [1] variable, [1], [2], [3] Branch-and-Bound

C

cardinality constraints CBF format certificate dual, [1] infeasibility infeasible primal, [1] Cholesky factorization complementarity, [1] cone dual conic optimization interior-point mixed-integer termination criteria

constraint bound, [1] matrix, [1], [2], [3], [4], [5] constraint programming correlation matrix covariance matrix see correlation matrix cuts cutting planes

D

determinism disjunction disjunctive constraints DJC domain dual certificate, [1] cone feasible infeasible, [1], [2] problem, [1] solution variable, [1]

duality conic linear dualizer

E

efficient frontier eliminator error optimization

errors exceptions

F

factor model feasibility integer feasibility feasible dual primal, [1], [2] problem format CBF json LP MPS OPF PTF sol task

G

geometric programming

GP

H

heuristic

hot-start

I

I/O infeasibility, [1], [2] linear optimization infeasibility certificate infeasible dual, [1], [2] primal, [1], [2], [3], [4] problem, [1] information item installation requirements troubleshooting, [1] integer solution variable

integer feasibility feasibility integer optimization, [1] initial solution interior-point conic optimization linear optimization logging, [1] optimizer, [1] solution termination criteria, [1]

J

json format

L

license linear dependency linear optimization, [1] infeasibility interior-point simplex termination criteria, [1]

logging interior-point, [1] mixed-integer optimizer optimizer, [1], [2] simplex LP format

M

market impact cost Markowitz model matrix constraint, [1], [2], [3], [4], [5] MI(QC)QO MICO MIP see integer optimization mixed-integer conic optimization optimizer presolve quadratic see integer

mixed-integer optimization see integer optimization mixed-integer optimizer logging modeling design MPS format free

N

numerical issues presolve scaling simplex

O

objective, [1], [2], [3] OPF format optimal solution optimality gap optimization conic conic quadratic error integer linear, [1]

optimizer determinism interior-point, [1] logging, [1], [2] mixed-integer, [1] selection, [1] simplex termination

P

parallelization parameter simplex Pareto optimality portfolio optimization cardinality constraints efficient frontier factor model market impact cost Markowitz model Pareto optimality slippage cost transaction cost presolve eliminator linear dependency check mixed-integer numerical issues primal certificate, [1] feasible, [1], [2] infeasible, [1], [2], [3], [4] problem, [1] solution, [1]

primal heuristics primal-dual problem, [1] solution problem dual, [1] feasible infeasible, [1] load primal, [1] primal-dual, [1] save status unbounded, [1] PTF format

Q

quadratic mixed-integer

R

relaxation

response code

S

scaling simplex linear optimization logging numerical issues optimizer parameter termination criteria slippage cost sol format solution basic dual file format integer interior-point optimal primal, [1] primal-dual retrieve status

status problem solution

T

task format termination optimizer termination criteria conic optimization interior-point, [1] linear optimization, [1] simplex tolerance, [1]

thread time timing tolerance termination criteria, [1] transaction cost troubleshooting installation

U

unbounded problem, [1]

V

valid inequalities variable, [1], [2], [3] bound, [1], [2], [3] dual, [1] integer