Index

A

algorithm approximation, [1] approximation algorithm, [1] correlation matrix

asset see portfolio optimization assignment problem

B

basic solution basis identification

bound constraint, [1], [2], [3], [4] linear optimization variable, [1], [2], [3], [4]

C

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

conic exponential optimization conic optimization, [1], [2], [3] interior-point modeling termination criteria conic quadratic optimization constraint bound, [1], [2], [3], [4] linear optimization matrix, [1], [2] modeling correlation matrix, [1] approximation covariance matrix see correlation matrix cut

D

denoising dense matrix determinant determinism dual certificate, [1] cone feasible infeasible, [1], [2] problem, [1], [2] solution, [1], [2], [3] variable, [1]

duality conic linear semidefinite dualizer

E

efficient frontier elastic net eliminator ellipsoid entropy relative error optimization

errors exceptions exponential exponential cone expression modeling

F

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

Frobenius norm Fusion reformulation

G

geometric mean, [1]

geometric programming GP

H

hot-start

I

I/O infeasibility, [1], [2] linear optimization semidefinite infeasible dual, [1], [2] primal, [1], [2], [3], [4] problem, [1], [2] information item, [1] installation Conda PIP requirements setup script troubleshooting integer optimizer solution variable

integer feasible solution integer optimization, [1] cut initial solution, [1] objective bound optimality gap parameter relaxation termination criteria tolerance integer optimizer logging interior-point conic optimization linear optimization logging, [1] optimizer, [1] solution termination criteria, [1]

J

json format

L

lasso least squares integer license checkout parameter path limitations linear constraint matrix linear dependency linear optimization, [1] bound constraint infeasibility interior-point objective simplex termination criteria, [1] variable

log-sum-exp, [1] logarithm logging integer optimizer interior-point, [1] optimizer, [1], [2] simplex logistic regression Löwner-John ellipsoid LP format

M

machine learning large margin classification logistic regression separating hyperplane Support-Vector Machine makespan market impact cost Markowitz model matrix constraint, [1], [2] dense low rank modeling semidefinite sparse symmetric memory management

MIP see integer optimization mixed-integer see integer mixed-integer optimization see integer optimization modeling conic optimization constraint design expression matrix objective variable monomial MPS format free

N

near-optimal solution norm 1-norm 2-norm Frobenius nuclear p-norm

nuclear norm numerical issues presolve scaling simplex numpy

O

objective, [1] linear optimization modeling objective bound OPF format optimal solution optimality gap optimization conic conic quadratic error linear, [1] semidefinite

optimizer determinism integer interior-point, [1] interrupt, [1] logging, [1], [2] selection, [1] simplex time limit Optimizer API reformulation

P

parallelization parameter integer optimization license simplex parameters parametrization Pareto optimality path license penalty portfolio optimization cardinality constraints, [1] correlation matrix efficient frontier factor model, [1] market impact cost Markowitz model Pareto optimality slippage cost transaction cost power power cone, [1] power cone optimization

presolve eliminator linear dependency check numerical issues primal certificate, [1] feasible, [1], [2] infeasible, [1], [2], [3], [4] problem, [1], [2] solution, [1], [2], [3], [4] 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

quadratic cone

quality solution

R

regression logistic regularization relaxation, [1]

reoptimization, [1], [2] response code ridge rotated quadratic cone

S

scaling scheduling Schur complement semicontinuous variable semidefinite cone infeasibility matrix variable semidefinite optimization, [1] separating hyperplane setup script simplex linear optimization logging numerical issues optimizer parameter termination criteria slice variable, [1], [2] slippage cost softplus

sol format solution basic dual, [1], [2], [3] file format integer integer feasible interior-point near-optimal optimal primal, [1], [2], [3], [4] primal-dual quality retrieve status sparse matrix stacking status problem solution symmetric matrix

T

task format termination termination criteria conic optimization integer optimization interior-point, [1] linear optimization, [1] simplex tolerance, [1], [2]

thread, [1] time limit, [1] tolerance integer optimization termination criteria, [1], [2] transaction cost travelling salesman problem troubleshooting installation

U

unbounded problem, [1]

user callback see callback

V

variable, [1] bound, [1], [2], [3], [4] dual, [1] integer limitations linear optimization modeling semicontinuous semidefinite slice, [1], [2]

vectorization, [1]