Index

A

affine conic constraint

asset see portfolio optimization

B

basic solution basis identification

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

C

cardinality constraints CBF format certificate dual, [1] 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], [5] interior-point termination criteria conic problem example, [1], [2] conic quadratic optimization constraint bound, [1], [2], [3], [4] linear optimization matrix, [1], [2] quadratic correlation matrix covariance matrix see correlation matrix cqo1 example, [1] cut

D

determinism 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 conic problem, [1], [2] cqo1, [1] pow1 qo1 quadratic objective, [1]

exceptions exponential cone

F

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

G

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 installation requirements troubleshooting integer optimizer solution variable integer feasible solution

integer optimization, [1] cut initial solution objective bound optimality gap 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

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

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

M

machine learning logistic regression market impact cost Markowitz model matrix constraint, [1], [2] semidefinite symmetric MIP see integer optimization

mixed-integer see integer mixed-integer optimization see integer optimization modeling design MPS format free Multicore

N

near-optimal solution numerical issues presolve scaling simplex

O

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

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

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 pow1 example power cone 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] 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 quadratic cone

quadratic objective example, [1] quadratic optimization quality solution

R

regression logistic

relaxation response code rotated quadratic cone

S

scaling semidefinite cone infeasibility matrix variable semidefinite optimization, [1] simplex linear optimization logging numerical issues optimizer parameter termination criteria slippage cost sol format solution basic dual file format integer integer feasible interior-point near-optimal optimal primal, [1] primal-dual quality retrieve status

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 tolerance integer optimization termination criteria, [1], [2] transaction cost troubleshooting installation

U

unbounded problem, [1]

V

variable, [1] bound, [1], [2], [3], [4] dual, [1] integer linear optimization semidefinite