[GSoC-PortA] Mean-mETL objective?

[Brian G. Peterson]

On 10/06/2013 10:00 AM, Doug Martin wrote:
> P.S. Chapter 4 in the 2nd edition on mean-ETL optimization via LP with
> Rglpk, with some nice examples (will send when available).   I will also use
> this for the MIP examples in an advanced constraints chapter (since we don't
> have a QP solver available with MIP capability, unless I can find time to do
> a chapter using CPLEX via PortfolioAnalytics via ROI).

there is also a ROI front end to the MILP Symphony solver.

I'm not sure iof the Symphony solver includes QP constraints.

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock