Cant solve using Microsoft Solver Foundation with Quadratic Objective function and Integer variable Constraints

Question

Hi,

So as mentioned in the tag line , I am trying to model a problem where I have Quadratic objective function(trying to minimize the risk return profile ) for a given parameter lambda. (lambda*w* Covar*w_transpose - Mean *w).

I have some integer variables in the constraints to model for the absolute portfolio turnover .I tried to model the problem with InteriorPointSolver but SetIntegrality function does not seem to be implemented for InteriorPointSolver.

Then I tried to model the problem with Simplex method but Debugger catch exception that I should use InteriorPointSolver

I am using 3.0.1.10599 version solver and running it on 4.0.30319 runtime enviornment C# environment.

Any inputs as to how to model the problem

Thanks

Answer 1

You should use the Gurobi plug-in solver for this. I believe it supports quadratic objectives with integer data.

The InteriorPointSolver supports quadratic or linear programming models with real-valued variables. The SimplexSolver supports linear programming models with real- or integer-valued variables. So neither will work for you.

Nate