Sparsity pattern

probportfolio

Nameprobportfolio
Downloadprobportfolio.mps.gz
Solutionprobportfolio.sol.gz
Set Membership Challenge
Problem StatusHard
Problem FeasibilityFeasible
Originator/ContributorS. Ahmed, S. Dey, F. Qiu
Rows302
Cols320
Num. non-zeros in A6620
Num. non-zeros in c20
Rows/Cols0.94375
Integers
Binaries300
Continuous20
min nonzero |Aij|0.800008
max |Aij|1.4996
min nonzero |cj|5
max |cj|48
Integer Objective16.734246764
LP Objective5
Aggregation
Variable Bound
Set partitioning
Set packing
Set covering
Cardinality
Equality Knapsacks
Bin packing
Invariant Knapsack1
Knapsacks
Integer Knapsack
Mixed 0/1301
General Cons.
References ShinanoAchterbergBertholdHeinzKoch2010TR

Sample average approximation formulation of a probabilistic portfolio optimization problem. Solved using ug[SCIP/spx] (see ShinanoAchterbergBertholdHeinzKoch2010TR ), a distributed massively parallel version of SCIP run on 2,000 cores at the HLRN-II super computer facility.


Last Update February 28, 2017 by Gerald Gamrath
© 2017 by Konrad-Zuse-Zentrum für Informationstechnik Berlin (ZIB)
Imprint