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Removed Instance meanvar

Formats ams gms lp mod nl osil pip py
Primal Bounds (infeas ≤ 1e-08)
5.24339907 p1 ( gdx sol )
(infeas: 2e-17)
Other points (infeas > 1e-08)  
Dual Bounds
5.24339907 (ANTIGONE)
5.24339907 (BARON)
5.24339907 (COUENNE)
5.24339907 (CPLEX)
5.24339907 (LINDO)
5.24339907 (SCIP)
References Dahl, H, Meeraus, Alexander, and Zenios, Stavros A, Some Financial Optimization Models: Risk Management. In Zenios, Stavros A, Ed, Financial Optimization, Cambridge University Press, New York, NY, 1993.
Source GAMS Model Library model meanvar
Application Financial Optimization
Added to library 31 Jul 2001
Removed from library 16 Feb 2022
Removed because Instance is continuous and convex.
Problem type QP
#Variables 8
#Binary Variables 0
#Integer Variables 0
#Nonlinear Variables 7
#Nonlinear Binary Variables 0
#Nonlinear Integer Variables 0
Objective Sense min
Objective type quadratic
Objective curvature convex
#Nonzeros in Objective 7
#Nonlinear Nonzeros in Objective 7
#Constraints 2
#Linear Constraints 2
#Quadratic Constraints 0
#Polynomial Constraints 0
#Signomial Constraints 0
#General Nonlinear Constraints 0
Operands in Gen. Nonlin. Functions  
Constraints curvature linear
#Nonzeros in Jacobian 15
#Nonlinear Nonzeros in Jacobian 0
#Nonzeros in (Upper-Left) Hessian of Lagrangian 49
#Nonzeros in Diagonal of Hessian of Lagrangian 7
#Blocks in Hessian of Lagrangian 1
Minimal blocksize in Hessian of Lagrangian 7
Maximal blocksize in Hessian of Lagrangian 7
Average blocksize in Hessian of Lagrangian 7.0
#Semicontinuities 0
#Nonlinear Semicontinuities 0
#SOS type 1 0
#SOS type 2 0
Minimal coefficient 5.0100e-02
Maximal coefficient 7.0890e+01
Infeasibility of initial point 1
Sparsity Jacobian Sparsity of Objective Gradient and Jacobian
Sparsity Hessian of Lagrangian Sparsity of Hessian of Lagrangian

$offlisting
*  
*  Equation counts
*      Total        E        G        L        N        X        C        B
*          3        3        0        0        0        0        0        0
*  
*  Variable counts
*                   x        b        i      s1s      s2s       sc       si
*      Total     cont   binary  integer     sos1     sos2    scont     sint
*          9        9        0        0        0        0        0        0
*  FX      1
*  
*  Nonzero counts
*      Total    const       NL      DLL
*         23       16        7        0
*
*  Solve m using NLP minimizing objvar;


Variables  objvar,x2,x3,x4,x5,x6,x7,x8,x9;

Positive Variables  x3,x4,x5,x6,x7,x8,x9;

Equations  e1,e2,e3;


e1.. -0.5*(42.18*x3*x3 + 20.18*x3*x4 + 10.88*x3*x5 + 5.3*x3*x6 + 12.32*x3*x7 + 
     23.84*x3*x8 + 17.41*x3*x9 + 20.18*x4*x3 + 70.89*x4*x4 + 21.58*x4*x5 + 
     15.41*x4*x6 + 23.24*x4*x7 + 23.8*x4*x8 + 12.62*x4*x9 + 10.88*x5*x3 + 21.58
     *x5*x4 + 25.51*x5*x5 + 9.6*x5*x6 + 22.63*x5*x7 + 13.22*x5*x8 + 4.7*x5*x9
      + 5.3*x6*x3 + 15.41*x6*x4 + 9.6*x6*x5 + 22.33*x6*x6 + 10.32*x6*x7 + 10.46
     *x6*x8 + x6*x9 + 12.32*x7*x3 + 23.24*x7*x4 + 22.63*x7*x5 + 10.32*x7*x6 + 
     30.01*x7*x7 + 16.36*x7*x8 + 7.2*x7*x9 + 23.84*x8*x3 + 23.8*x8*x4 + 13.22*
     x8*x5 + 10.46*x8*x6 + 16.36*x8*x7 + 42.23*x8*x8 + 9.9*x8*x9 + 17.41*x9*x3
      + 12.62*x9*x4 + 4.7*x9*x5 + x9*x6 + 7.2*x9*x7 + 9.9*x9*x8 + 16.42*x9*x9)
      + objvar =E= 0;

e2..    x2 - 0.1287*x3 - 0.1096*x4 - 0.0501*x5 - 0.1524*x6 - 0.0763*x7
      - 0.1854*x8 - 0.062*x9 =E= 0;

e3..    x3 + x4 + x5 + x6 + x7 + x8 + x9 =E= 1;

* set non-default bounds
x2.fx = 0.115;
x3.up = 1;
x4.up = 1;
x5.up = 1;
x6.up = 1;
x7.up = 1;
x8.up = 1;
x9.up = 1;

Model m / all /;

m.limrow=0; m.limcol=0;
m.tolproj=0.0;

$if NOT '%gams.u1%' == '' $include '%gams.u1%'

$if not set NLP $set NLP NLP
Solve m using %NLP% minimizing objvar;


Last updated: 2022-10-14 Git hash: 2be6d7c0
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