Instructions for optimization with PSG Run-File, PSG MATLAB Toolbox, PSG MATLAB Subroutines and PSG R.
PROBLEM 1: Markowitz_portfolio_optimization
minimize
10*st_dev(matrix_scenario)
linear(matrix_loss)
Constraint: =1
linear(matrix_budget_constraint)
Solver: BULDOZER, precision = 9, timelimit = 120
| # of Variables | Objective Value | Solving Time, PC 2GHz (sec) | Code | Data | Solution |
| 2 | 8.45331523703E+00 | 0.01 | R code | Data | Solution |
|---|
PROBLEM 2: Least_squares_regression
minimize
meansquare(matrix_scenario)
| # of Variables | Objective Value | Solving Time, PC 2GHz (sec) | Code | Data | Solution |
| 2 | 7.672769701513E-01 | 0.01 | R code | Data | Solution |
|---|
PROBLEM 3: Large_margin_distribution_machine
minimize
0.1*st_dev(matrix_scenario)
avg(matrix_scenario)
polynom_abs(matrix_objcoef)
Solver: VAN, precision = 9, timelimit = 120
| # of Variables | Objective Value | Solving Time, PC 2GHz (sec) | Code | Data | Solution |
| 3 | -1.672933481718E-02 | 0.01 | R code | Data | Solution |
|---|