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Removed Instance meanvarxsc

Formats ams gms lp osil
Primal Bounds (infeas ≤ 1e-08)
14.36923211 p1 ( gdx sol )
(infeas: 3e-17)
Other points (infeas > 1e-08)  
Dual Bounds
14.36923211 (CPLEX)
14.36923211 (GUROBI)
14.36923187 (SCIP)
14.36923211 (SHOT)
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 modified GAMS Model Library model meanvarx
Application Financial Optimization
Added to library 01 May 2001
Removed from library 01 Mar 2022
Removed because Very similar to meanvarx
Problem type MBQP
#Variables 35
#Binary Variables 14
#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 30
#Linear Constraints 30
#Quadratic Constraints 0
#Polynomial Constraints 0
#Signomial Constraints 0
#General Nonlinear Constraints 0
Operands in Gen. Nonlin. Functions  
Constraints curvature linear
#Nonzeros in Jacobian 75
#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 14
#Nonlinear Semicontinuities 0
#SOS type 1 0
#SOS type 2 0
Minimal coefficient 2.5050e-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
*         31        9        0       22        0        0        0        0
*  
*  Variable counts
*                   x        b        i      s1s      s2s       sc       si
*      Total     cont   binary  integer     sos1     sos2    scont     sint
*         36        8       14        0        0        0       14        0
*  FX      2
*  
*  Nonzero counts
*      Total    const       NL      DLL
*         83       76        7        0
*
*  Solve m using MINLP minimizing objvar;


Variables  objvar,x2,x3,x4,x5,x6,x7,x8,sc9,sc10,sc11,sc12,sc13,sc14,sc15,sc16
          ,sc17,sc18,sc19,sc20,sc21,sc22,b23,b24,b25,b26,b27,b28,b29,b30,b31
          ,b32,b33,b34,b35,b36;

Positive Variables  x2,x3,x4,x5,x6,x7,x8;

Binary Variables  b23,b24,b25,b26,b27,b28,b29,b30,b31,b32,b33,b34,b35,b36;

Semicont Variables  sc9,sc10,sc11,sc12,sc13,sc14,sc15,sc16,sc17,sc18,sc19,sc20
          ,sc21,sc22;

Equations  e1,e2,e3,e4,e5,e6,e7,e8,e9,e10,e11,e12,e13,e14,e15,e16,e17,e18,e19
          ,e20,e21,e22,e23,e24,e25,e26,e27,e28,e29,e30,e31;


e1..    x2 + x3 + x4 + x5 + x6 + x7 + x8 =E= 1;

e2..    x2 - sc9 + sc16 =E= 0.2;

e3..    x3 - sc10 + sc17 =E= 0.2;

e4..    x4 - sc11 + sc18 =E= 0;

e5..    x5 - sc12 + sc19 =E= 0;

e6..    x6 - sc13 + sc20 =E= 0.2;

e7..    x7 - sc14 + sc21 =E= 0.2;

e8..    x8 - sc15 + sc22 =E= 0.2;

e9..    sc9 + sc10 + sc11 + sc12 + sc13 + sc14 + sc15 =L= 0.3;

e10..    sc9 - 0.11*b23 =L= 0;

e11..    sc10 - 0.1*b24 =L= 0;

e12..    sc11 - 0.07*b25 =L= 0;

e13..    sc12 - 0.11*b26 =L= 0;

e14..    sc13 - 0.2*b27 =L= 0;

e15..    sc14 - 0.1*b28 =L= 0;

e16..    sc15 - 0.1*b29 =L= 0;

e17..    sc16 - 0.2*b30 =L= 0;

e18..    sc17 - 0.15*b31 =L= 0;

e19..    sc18 =L= 0;

e20..    sc19 =L= 0;

e21..    sc20 - 0.1*b34 =L= 0;

e22..    sc21 - 0.15*b35 =L= 0;

e23..    sc22 - 0.2*b36 =L= 0;

e24..    b23 + b30 =L= 1;

e25..    b24 + b31 =L= 1;

e26..    b25 + b32 =L= 1;

e27..    b26 + b33 =L= 1;

e28..    b27 + b34 =L= 1;

e29..    b28 + b35 =L= 1;

e30..    b29 + b36 =L= 1;

e31.. -(42.18*x2*x2 + 40.36*x2*x3 + 21.76*x2*x4 + 10.6*x2*x5 + 24.64*x2*x6 + 
      47.68*x2*x7 + 34.82*x2*x8 + 70.89*x3*x3 + 43.16*x3*x4 + 30.82*x3*x5 + 
      46.48*x3*x6 + 47.6*x3*x7 + 25.24*x3*x8 + 25.51*x4*x4 + 19.2*x4*x5 + 45.26
      *x4*x6 + 26.44*x4*x7 + 9.4*x4*x8 + 22.33*x5*x5 + 20.64*x5*x6 + 20.92*x5*
      x7 + 2*x5*x8 + 30.01*x6*x6 + 32.72*x6*x7 + 14.4*x6*x8 + 42.23*x7*x7 + 
      19.8*x7*x8 + 16.42*x8*x8 - 0.06435*x2 - 0.0548*x3 - 0.02505*x4 - 0.0762*
      x5 - 0.03815*x6 - 0.0927*x7 - 0.031*x8) + objvar =E= 0;

* set non-default bounds
sc9.lo = 0.03; sc9.up = 0.11;
sc10.lo = 0.04; sc10.up = 0.1;
sc11.lo = 0.04; sc11.up = 0.07;
sc12.lo = 0.03; sc12.up = 0.11;
sc13.lo = 0.03; sc13.up = 0.2;
sc14.lo = 0.03; sc14.up = 0.1;
sc15.lo = 0.03; sc15.up = 0.1;
sc16.lo = 0.02; sc16.up = 0.2;
sc17.lo = 0.02; sc17.up = 0.15;
sc18.fx = 0;
sc19.fx = 0;
sc20.lo = 0.04; sc20.up = 0.1;
sc21.lo = 0.04; sc21.up = 0.15;
sc22.lo = 0.04; sc22.up = 0.2;

Model m / all /;

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

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

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


Last updated: 2022-04-26 Git hash: de668763
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