Index

A

affine conic constraint analysis infeasibility

asset see portfolio optimization

B

basic solution basis identification basis type sensitivity analysis

big-M bound constraint, [1], [2], [3], [4], [5], [6] linear optimization variable, [1], [2], [3], [4], [5], [6] Branch-and-Bound

C

callback cardinality constraints CBF format certificate dual, [1] infeasibility infeasible primal, [1] Cholesky factorization complementarity, [1] cone dual dual exponential exponential power quadratic rotated quadratic semidefinite

conic exponential optimization conic optimization, [1], [2], [3], [4] interior-point mixed-integer termination criteria conic quadratic optimization constraint bound, [1], [2], [3], [4], [5], [6] linear optimization matrix, [1], [2], [3], [4], [5], [6], [7] quadratic correlation matrix covariance matrix see correlation matrix cuts cutting planes

D

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

duality conic linear semidefinite dualizer

E

efficient frontier eliminator error optimization errors

example qo1 quadratic objective, [1] exceptions exponential cone

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] analysis linear optimization repair, [1] semidefinite infeasibility certificate infeasible dual, [1], [2] primal, [1], [2], [3], [4] problem, [1], [2] information item, [1] installation path setup requirements troubleshooting, [1]

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

J

json format

L

license linear constraint matrix linear dependency linear optimization, [1] bound constraint infeasibility interior-point objective simplex termination criteria, [1] variable

linearity interval 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], [6], [7] semidefinite symmetric 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] linear optimization OPF format optimal solution optimality gap optimization conic conic quadratic error linear, [1] semidefinite

optimizer determinism interior-point, [1] interrupt logging, [1], [2] mixed-integer 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 positive semidefinite power cone power cone optimization presolve eliminator linear dependency check mixed-integer numerical issues

primal certificate, [1] feasible, [1], [2] infeasible, [1], [2], [3], [4] problem, [1], [2] solution, [1] primal heuristics primal-dual problem, [1] solution problem dual, [1], [2] feasible infeasible, [1], [2] load primal, [1], [2] primal-dual, [1] save status unbounded, [1] PTF format

Q

qo1 example quadratic constraint mixed-integer

quadratic cone quadratic objective example, [1] quadratic optimization

R

relaxation repair infeasibility, [1]

response code rotated quadratic cone

S

scaling semidefinite cone infeasibility matrix variable semidefinite optimization, [1] sensitivity analysis basis type shadow price 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 symmetric matrix

T

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

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

U

unbounded problem, [1]

user callback see callback

V

valid inequalities variable, [1], [2] bound, [1], [2], [3], [4], [5], [6] dual, [1] integer linear optimization semidefinite