Re: [ojAlgo-user] Using ojAlgo for generalized optimization problems

[Anders P. <ap...@op...>]

There are three different levels to use the QP-solver:

1) Instantiate the solver (in your case the ActiveSetSolver) using the=20
matrices directly. There is a constructor that takes an array of=20
matrices as input. {[AE], [be], [Q], [c], [AI], [bi]}

2) Build your problem using the modeling framework. Instantiate a=20
QuadraticModel and then add expressions. An expression is a constraint=20
and/or an objective.

3) Use something high level like the MarkowitzModel class.

Probably what you want to do is to build your own "model" (like the=20
MarkowitzModel). Since you have that working, step through the code to=20
see what happens.

/Anders

Ludwig, Robert S. wrote:
>
> Hi ojAlgo users,
>
> I have just started using ojAlgo to solve Markowitz optimization=20
> problems. My question is about the use of ojAlgo for more generalized=20
> optimization problems. For example, I would like to solve for the=20
> coefficients b which minimize (Y-Xb)=92(Y-Xb) subject to each b(i) > 0=20
> and sum b(i) =3D 1. I would like to know how to specify the objective=20
> function and constraints for this problem using ojAlgo.
>
> Thanks for your help,
>
> Rob
>
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